Price improvement

An execution better than its reference price: the quote displayed when the order was sent, or the level named on a pending order. On a limit order it means a fill inside the limit rather than at it. On a market or stop order it is the favourable half of slippage, which is a symmetrical phenomenon that is simply named differently depending on which way it lands.

It arises from the gap in time between an order being sent and being matched. The quote moves in that interval, and where the execution model fills at the price prevailing on arrival rather than at the price requested, a favourable move is passed through as a better fill. The symmetry is the whole of the mechanism: a model that passes on the better price passes on the worse one too, and a model that fills only at the requested price or rejects the order, which is what a requote is, removes both halves at once.

The trip is reading it as a feature rather than as an outcome. Improvement is a property of an individual fill and cannot be promised in advance, and a rate of improvement quoted in marketing is an average over some period, on some set of instruments, measured against a reference the firm chose. Practitioners look at the whole distribution instead, because frequent small improvements alongside rare large adverse fills net out very differently from the headline. Arrangements in which a price maker may reject an order after seeing it, known as last look, are examined for exactly this reason: they can remove the favourable tail while leaving the unfavourable one in place.