Partial fill

An execution for less than the quantity submitted. The part that executed becomes a real position at the price or prices obtained, and the balance either stays working, waiting for more volume, or is cancelled, according to the instruction attached to the order. Partial fills concentrate where size meets thin liquidity: large orders relative to the volume on offer, quiet sessions between the main trading centres, and the minutes around a scheduled release.

The mechanism is the shape of the order book. An order is matched against resting volume level by level, and when the volume at the best price is exhausted the remainder either continues into worse prices, if the order permits that, or stops there. The instruction decides which: fill or kill requires the entire quantity at once or nothing at all, immediate or cancel takes whatever is available and cancels the rest, and an ordinary working order leaves the balance live. On a quote driven market the same logic applies against the size a price maker is showing rather than against a public book.

Two things are commonly missed. The first is the average price: a fill spread across several levels reports one blended figure, and the distance between the price requested and that blended figure is what slippage is measured on. The second is that a partial fill is not a rejection. It leaves a genuine position, with genuine exposure, in a smaller size than intended, and the balance may never execute. Practitioners disagree about which behaviour is preferable, because an all or nothing instruction removes the size uncertainty only by raising the chance of no execution at all, which in a fast market is its own outcome.