How long an order actually took - EXEC TIMING
How long did an order actually take? The order log answers it in a few lines: the order as it left the desk, the broker's acknowledgement, the fill, an EXEC TIMING line with each leg measured in milliseconds, and how late the entry was against the move. This video reads one real example.
In this video
The 30-second version
The same topic in thirty seconds, made for a phone screen.
Both videos use the desk in paper mode with made-up symbols and prices.
Read the transcript
One real entry, timed
Here is one real entry, read newest first: sent, acknowledged, filled, timed, and then, how late it was. It is the desk's own bookkeeping, so it appears with show everything ticked, and it is always in orders.log.
SEND and PendingNew
SEND is the order as it left the desk: side, size, symbol, type and price, and the broker call used. PendingNew means the broker has the order, and has given it an ID. The desk is now waiting for the fill. It records the exact parameters, so the log can be checked later.
FILLED
FILLED is the fill, at the price actually paid, not the limit that was asked for. Compare it with the limit you asked for, in the same log.
EXEC TIMING
EXEC TIMING holds three separate measurements. Broker answered in: your round trip to the broker. Fill seen after send: the whole thing, end to end, and whether the fill came from the stream or from polling. And at the broker, submitted to filled: the broker's own part, the only part that is not your connection. Read the three numbers together, not one on its own.
PRE-ENTRY
PRE-ENTRY is written after the trade, when recording the minute before each entry is on: how long the move had already been running when you got in. Set that switch in ANALYSE; it is off by default.
Why it matters
These are milliseconds on a working connection, and they are worth reading after a bad fill: a slow broker and a slow line are different problems, and these lines separate them. Check these lines first, before deciding which side the delay was on. Knowing which part was slow is the whole point.