What is a Fill Rate? Definition, Formula, and Example
Fill rate is the percentage of orders that get executed at the desired price or better, measuring the efficiency of an order execution strategy or a market maker's ability to complete orders.
What is a Fill Rate?
Fill rate is the percentage of orders that a trader, broker, or market maker successfully executes at the target price or better. It measures execution quality. For a trader, a high fill rate means their limit orders are being filled as intended. For a market maker, the fill rate measures the proportion of incoming orders they are able to complete. For an algorithmic trading system, the fill rate is a critical performance metric that determines whether the strategy's theoretical returns translate into actual returns.
How Fill Rate is Calculated / Identified
The basic formula for fill rate is:
Fill Rate = (Number of Orders Filled / Total Number of Orders Submitted) × 100
For a more granular analysis, the fill ratio is used, which measures the quantity filled relative to the quantity ordered:
Fill Ratio = (Quantity Filled / Total Quantity Ordered) × 100
For a limit order, a fill occurs only if the market price reaches the limit price or better. For a market order, the fill rate is effectively 100%, but the execution price may be worse than expected, which is slippage. For an algorithmic execution strategy like VWAP or TWAP, the fill rate is measured against the benchmark: the strategy's goal is to achieve a fill rate of 100% of the target quantity at a price close to the benchmark.
Worked Example
A trader submits 10 limit orders to buy NVDA at $120.00. Over the course of the day, 7 of these orders are filled at $120.00 or lower. The fill rate is:
Fill Rate = (7 / 10) × 100 = 70%
The 3 unfilled orders expired at the end of the day. The trader analyzes the order book and sees that the stock only traded at $120.00 or lower for 35% of the trading session. The 70% fill rate reflects that the orders were active during the periods when the price reached the target level.
For an institutional trader executing a large order, the fill rate is measured differently. The trader needs to buy 100,000 shares of MSFT using a VWAP algorithm. The algorithm completes 98,500 shares. The fill rate is 98.5%. The remaining 1,500 shares were not filled due to the algorithm's execution constraints or the stock's price moving away from the target.
When Traders Use Fill Rate
Traders use fill rate to evaluate the quality of their order execution. A persistently low fill rate on limit orders suggests the limit prices are set too far from the market, or the orders are not active during periods of price movement. Traders use fill rate to compare brokers: a broker with a higher fill rate for the same order type and price provides better execution. Algorithmic traders use fill rate as a key performance indicator for their execution algorithms, alongside slippage and implementation shortfall. Market makers use fill rate to measure their participation in the market and their ability to provide liquidity.
Limitations / Common Misconceptions
Fill rate does not measure execution price quality. A high fill rate on a limit order does not guarantee the price was favorable; the order could have been filled at the limit price while the market immediately moved lower. Fill rate ignores opportunity cost: a 100% fill rate on a limit order that was priced too aggressively may result in a worse average price than a 70% fill rate on a properly priced order. A common misconception is that a 100% fill rate is always the goal. For a limit order, a 100% fill rate often means the limit price was set at or above the market price, which is a poor execution. The fill rate for market orders is always 100%, but that metric is meaningless without measuring slippage. Fill rate also does not account for the time dimension; an order filled at the end of the day may have a different economic impact than one filled at the open.