When I look at the result of a trading bot, knowing how much it earned is not enough for me. I also want to understand a more down-to-earth thing: at what price did it actually buy and sell? The order asked for one price. Did the exchange give the same price, a better one, or a worse one?

I checked this against backup copies of the databases of two of our live bots. I took the available history from 29 August to 22 October 2026. For this review I kept only limit orders — the ones that state a price boundary we agree to buy or sell at.

The number that came out was reassuring: not a single fill was worse than the order's recorded price. But the check did not end there. In the same history I also found orders that were never filled at all. Price and the fact of a trade turned out to be two different questions.

First, let's agree on what we're counting

The sample has 2,242 limit orders in total. Of these, 2,219 received at least a partial fill, and 23 were cancelled without any fill.…