A fill is the portion of your order that actually trades. Until your buy or sell order is matched with an opposing order, it is just an instruction. The moment a match occurs, you receive a fill.
Fills are recorded with the price, quantity, time and the trading venue. An order can be filled in one shot or in several pieces at different prices and times. Each piece is a separate fill. Add them together and you get the executed quantity, while any remainder stays working or is cancelled depending on your order settings.
How a fill happens on the order book
Most modern markets use a central limit order book on an exchange. Buyers queue bids and sellers queue offers. When a new order arrives that can trade against resting liquidity, a fill occurs. If you submit a market order, it crosses the spread and takes the best available prices until your size is done or the order’s limit is reached. If you submit a limit order that is better than the current opposite price, it is marketable and may fill straight away. If it is not marketable, it rests in the book and will only fill if the market comes to it.
Order books follow price and time priority. Better prices get filled first, then earlier arrivals at the same price. This is why you might see partial fills. If you bid for 5,000 shares at a price where only 1,800 are available ahead of you, you will be filled on 1,800 now and the rest will wait in the queue. As more sellers hit your price, further fills arrive over time.
Hidden or iceberg orders can also generate fills. You might trade against displayed size, then more size appears at the same price, producing additional fills. Some brokers route orders to alternative venues or dark pools that price off lit markets. A fill there will still show on your confirmation with a venue code.
Order instructions that affect fills
Your choice of order type and time in force changes how and whether you accept partial fills. The exact labels can vary by broker or venue, but common instructions include:
- Market order: prioritises speed. You accept the prices available now, which may result in several fills at progressively worse or occasionally better levels, depending on depth.
- Limit order: sets a maximum buy or minimum sell price. You can receive one or many fills, but you should not pay more than your buy limit or receive less than your sell limit on a single venue. Routing and fees can vary by provider.
- Immediate or cancel (IOC): take whatever can fill now, cancel the rest. You often see one or a few fills followed by a cancellation of the remainder.
- Fill or kill (FOK): either the entire size fills at once or the order is cancelled without any fill.
- All or none (AON): only fills if the full size can be matched, but not necessarily instantly. Availability of AON varies by market and broker.
- Day and good till cancelled instructions: set how long the unfilled balance can rest before the platform cancels it automatically. Naming and behaviour can differ by provider.
Some products have their own rules. Options and futures often use specific matching algorithms or auction periods around open and close, which can bunch fills into a short window.
Fill price, slippage and price improvement
The price you thought you would pay is not always the price you get. The gap between your expected price and your actual fill is known as slippage. It is common when you use marketable orders in thin or fast markets. Slippage reflects the bid ask spread, the order book depth and your own market impact if your order is large relative to available liquidity.
Price improvement is the positive version. A smart router or internalising broker might fill you at a slightly better level than the best quoted price, for example at the midpoint between bid and ask. With a sell order, a small improvement means a higher price. With a buy order, it means a lower price.
With limit orders, your limit sets the worst acceptable price. You can still be filled at better levels if the market moves in your favour while your order is being matched. When an order fills in several pieces, your platform will usually display an average fill price that is weighted by size.
Multiple fills and how they appear on statements
It is normal to see a string of small fills that together complete your order. A straightforward example helps. Say you place a limit buy for 1,000 shares at 10.00. You might receive 400 at 9.98, then 500 at 9.99, then 100 at 10.00. Your total fill is 1,000 shares at a size weighted average of 9.992, plus fees. If the market only offered 700 shares before moving away, you would be partially filled, and the remaining 300 would either keep working or be cancelled depending on your time in force.
Platforms and brokers typically show each execution with its own timestamp and venue code, then summarise them as a single position with an average price. Your contract note or trade confirmation lists the details for your records. In derivatives, a trade ticket will also show the contract month and any relevant settlement terms. Settlement cycles and contract specs vary by market, and providers may display different levels of detail.
Measuring the quality of your fills
Traders track a few simple metrics to judge how well an order was executed. Fill rate is the percentage of the requested size that actually traded. Speed to fill is the time from order submission to execution. More advanced metrics compare your fills with benchmarks, such as the arrival price when you placed the order, the day’s volume weighted average price, or the close.
If you consistently see poor fill quality, the causes might be order type choice, routing, market volatility, or the size of your order relative to typical daily volume. Using passive limits reduces slippage but introduces the risk of not getting filled. Using marketable orders increases certainty of a fill but can cost more in spread and market impact. Execution algorithms such as VWAP or TWAP try to balance these trade offs by slicing your order into smaller pieces that aim to blend into market flow.
Where you will see fill information in practice
On most platforms, fills appear in your blotter or recent activity panel within seconds. Notifications often include the price, size and venue, along with an order ID you can reference if you need to query the trade. A formal confirmation or contract note follows, which is the record you keep for reconciliation.
The word fill also comes up in conversations about execution quality, broker service and venue choice. Market participants compare how quickly and at what prices they tend to get filled across exchanges, alternative trading systems and internalisers. Understanding what a fill is, and what can influence it, helps you pick the right order type for the situation and read your post trade reports with confidence.