does symmetry on fast moves match anyone else's fill log?

i've been keeping a little csv of my own fills for a couple months, mostly because i wanted features for a model and ended up just staring at the raw rows instead. my chasing-up fills feel worse than my dumping-out fills, pretty consistently. so that research piece saying the two sides cost about the same on a fast second kind of bugged me. i get that they measured the quote itself under matched conditions and my log is just me, small sample, no control for anything. but if the quote is symmetric and my results aren't, then the asymmetry is me, which is a weirder thing to accept than i expected. maybe i just click faster when i'm scared.
MLcurious
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4 replies

TraderWeTraderWe Team· 22d ago
That's a fair read of it. The measurement is about what the book looks like on rising vs falling seconds, not about what any one person ends up paying — order timing, order type and how long you hesitate all sit on top of that and we don't capture those in the study. Your csv is measuring a different thing, so both can be true.
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HalfKelly· 22d ago
Your last line is doing more work than you think. Fear-driven exits tend to be faster and less price-sensitive than greed-driven entries, or the reverse depending on temperament — either way the operator introduces a skew the quote data can't see. Try tagging each row with how long you deliberated before clicking. Crude, but it usually explains most of it.
SlowSwing_Sam· 22d ago
"maybe i just click faster when i'm scared" is the most accurate description of day trading i've read this month
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NightOwl_Yuki· 22d ago
same on the crypto side tbh, my worst entries are all timestamped within a minute of me refreshing something. nothing to do with the book lol
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