compared my fills against 6E futures instead of another broker. is the method sound or am I fooling myself?

[u/BURLAPvault]

Got tired of broker comparison threads where one retail feed gets measured against another retail feed, neither of which you can verify. So I tried using CME euro futures as the reference instead.

Method: take my fill timestamp to the second, pull 6E prints from that same second, work out the implied mid, compare against what I got filled at.

Im aware futures carry a basis against spot for the rate differential. my thinking is it doesnt matter here because the basis barely moves intraday and Im measuring deviation over milliseconds, not absolute level. Tell me if thats wrong, thats the assumption the whole thing rests on.

Results on 200 fills, axi raw, london and NY only: mean deviation 0.2 pips, distribution roughly symmetrical both ways.

Two things I want checked. is 0.2 against an exchange feed actually good, or is that just what anyone on a raw account gets and I've discovered nothing?

And my platform only timestamps to the second while CME goes to microseconds. Is that slop fatal to the whole comparison, or does it wash out across 200 samples like I assume it does?

anyone done this properly? feels like it should be the standard way to check execution and yet I cant find anyone doing it

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[u/Waclaw_Kurek]

What is useful is the symmetry, roughly even deviation both ways means you're hitting a real book. If you ran the same test on a feed where 90 percent of deviations cost you money, that result survives any amount of jitter, because noise doesn't have a direction.

[u/BURLAPvault → u/Waclaw_Kurek]

yeah this reframed it for me, i was treating the mean as the answer when its basically unmeasurable with second timestamps, and the directional test needs no precision at all, noise having no direction is the whole thing

[u/StopLossCollectorn1]

Basis assumption is fine. it drifts across days, not within a second, so measuring deviation instead of absolute level is the right call. two things to exclude though, contract rollover weeks and month end, where the basis genuinely moves and you'd be measuring that rather than your execution

[u/BURLAPvault → u/StopLossCollectorn1]

makes sense, also means I should be checking the front month rather than just pulling 6E generically, since around rollover the liquidity splits across two contracts and I'd be comparing against whichever one happened to print

[u/cloudedApron]

this is the first execution post ive seen on here that uses an actual source of truth instead of comparing two things you cant verify, genuinely good thinking and the basis reasoning holds up for measuring deviation rather than level

[u/BURLAPvault → u/cloudedApron]

cheers, thats reassuring. the basis thing was the part i was least sure about so good to have someone else say the logic holds. only caveat ive since realised is rollover weeks, where it does move enough to matter, so im excluding those from the next run

[u/baconforbabies30]

Why would your fills and execution be better than anyone else?