Fill Rate¶
Fill rate is the percentage of orders successfully executed at the target price or better, out of the total number of orders submitted. It measures the efficiency of an order execution strategy and is a core indicator of execution quality. A higher fill rate indicates that more orders are reaching the market and completing at intended price levels.
HOW IT WORKS¶
Fill rate is calculated as the number of filled orders divided by the total orders submitted, expressed as a percentage. For quantity-level analysis, the fill ratio compares the total quantity executed against the total quantity ordered. Limit orders are only filled when the market reaches the specified price or better, so fill rate varies with market conditions. Market orders carry a fill rate of effectively 100%, but that figure is meaningless without also measuring slippage. For algorithmic strategies such as VWAP or TWAP, fill rate is benchmarked against a target quantity and reference price rather than a simple order count.
Formula:
Fill Rate = (Orders Filled ÷ Total Orders Submitted) × 100
Fill Ratio = (Quantity Filled ÷ Total Quantity Ordered) × 100
IN TAPEBOARD¶
Tapeboard displays fill rate as part of the execution analytics panel, giving traders a real-time and session-level view of how their orders are performing. When reviewing limit order ladders, fill rate data helps identify whether price levels are set too far from the market or are poorly timed relative to price movement. For algorithmic execution, Tapeboard tracks fill rate alongside slippage and implementation shortfall so traders can assess whether a strategy's live performance matches its theoretical model. Traders can also use fill rate breakdowns to compare execution quality across brokers or routing destinations directly within the terminal.