Glossary
Fill
The execution of an order; a partial fill means only part of the requested quantity traded.
A fill is the completed execution of an order, in whole or in part: shares changed hands at a specific price and time. A partial fill means only some of the requested quantity has traded, with the rest still working or cancelled. Fills are what actually determine your cost basis and profit, so the fill price, not the price on screen when you clicked, is the number that matters.
How fills happen
Your broker routes the order to an exchange, a wholesaler or another venue, where it meets one or more resting orders. A large order can be matched against several counterparties at several prices, producing multiple fills that the account statement may combine into one average price.
Why fills differ from what you expected
- Market orders fill quickly but at whatever prices are available, which can be worse than the last quote, especially in fast or thin markets. The gap is called slippage.
- Limit orders control the worst price but may fill only partly or not at all.
- Price improvement. Fills sometimes beat the quoted NBBO by a fraction of a cent, which brokers report in their execution statistics.
- Special instructions such as fill or kill forbid partial fills entirely.
Some brokers charge commissions per order and others per fill or per share, so many small partial fills can occasionally cost more than one larger execution.