What I log so that a bad day is debuggable later
When something goes wrong, "the strategy lost money" is not a diagnosis. Here's what I keep so I can actually reconstruct a session:
1) Every signal that fired, including ones that didn't become orders and why.
2) Intended price vs actual fill, per order.
3) The exact strategy version running, not "the momentum one."
4) Connection state changes with timestamps.
5) Anything I changed manually mid-session, with the time I changed it.
Number 5 is the one people skip and it's the one that explains the mystery days.
