What it means
When you place an order with a broker, you are only expressing an intention. The fill is the record that the trade occurred, showing quantity, price, timestamp and venue, and it is the event that creates a legal obligation to settle and pay.
Big orders rarely fill in one go, because the quantity available at any one price is limited by whoever is willing to trade there. The order works down through the order book, taking what is offered at the best price, then the next best, which produces a sequence of partial fills at progressively worse prices.
This matters commercially because the price you saw when you decided is not the price you get. The gap between the price at the moment the order was sent and the volume-weighted average price of your fills is called slippage, and on a large or illiquid trade it can easily exceed the commission you were negotiating so carefully.
Fill quality is why execution algorithms exist. Rather than pushing one large order into a thin market, traders slice it across time or across traded volume so the market has time to replenish, accepting slower completion in exchange for a better average price.
Order type also shapes the outcome. A market order all but guarantees a fill but says nothing about price, while a limit order guarantees the price will be no worse than your limit but may leave you partly filled or entirely unfilled if the market moves away from you.
In practice
Real-world examples.
Example
A pension fund wants 400,000 shares of a mid-cap industrial that trades 90,000 shares a day. The trader spreads the order over six sessions, accepting that it will take a week to be fully filled rather than moving the price 4% against the fund in a single afternoon.
Example
A corporate treasurer buying $8,000,000 of euros for a supplier payment asks three banks to quote. She sends the order to the bank showing the tightest spread, receives a single fill at the quoted rate, and books the confirmed rate into the payables ledger.
Example
A founder selling shares in a secondary window places a limit order at a price he is happy with. Only 60% of the order fills before the window closes, leaving him partly filled and needing to decide whether to lower the limit next quarter.
Formula
Calculation
Average fill price = total cash traded / total quantity filled.
Slippage = average fill price - arrival price (the price when the order was sent).
Suppose a fund sends an order to buy 10,000 shares when the market is showing $25.05. The order fills in three parts: 4,000 shares at $25.10, 3,500 shares at $25.20 and 2,500 shares at $25.35.
The cash spent on each leg is 4,000 x $25.10 = $100,400, then 3,500 x $25.20 = $88,200, then 2,500 x $25.35 = $63,375. Total cash is $100,400 + $88,200 + $63,375 = $251,975 for 10,000 shares, giving an average fill price of $251,975 / 10,000 = $25.1975.
Slippage against the $25.05 arrival price is $25.1975 - $25.05 = $0.1475 per share, or $0.1475 x 10,000 = $1,475 on the whole order. If the broker's commission on that trade was $200, the slippage cost more than seven times the commission.Case study
Seen in the real world.
Harbourline Asset Management is a fictional boutique fund created here to illustrate fill quality. The team had strong stock selection but kept underperforming its own model portfolio by roughly 1.5% a year, and nobody could explain the gap.
An execution review showed the cause. Traders were sending full position sizes as market orders on the morning of a decision, and in the thinly traded small caps the fund favoured, those orders were walking up the order book by 40 to 60 basis points before completing. The model portfolio, meanwhile, assumed every trade filled at the mid price.
Harbourline moved to volume-participation algorithms capped at 15% of daily volume and began measuring average fill price against arrival price on every trade. The illustrative result was that most of the performance gap turned out to be an execution problem, not a stock-picking one.
Watch out
Common mistakes.
- Treating a placed order as a completed trade, when an unfilled or partly filled order leaves you with an exposure quite different from the one you intended.
- Judging execution costs by commission alone and ignoring slippage, which on large or illiquid orders is usually the bigger number by a wide margin.
- Using market orders for size in thin markets, which guarantees a fill but effectively hands the price to whoever is on the other side.
Questions
People also ask.
What is a partial fill?
It is when only some of your requested quantity trades, leaving the remainder either working in the market or cancelled depending on the instructions attached to the order.
Can a fill be cancelled?
Once a trade is filled it is generally binding, and it can only be undone in narrow cases such as a clearly erroneous price busted by the exchange under its own rules.
Why did my fill price differ from the screen price?
The screen shows the best price for a limited quantity at one instant, so a larger order consumes that quantity and then trades at worse prices further down the book.
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