Requotes, rejections and partial fills

An order that is submitted and comes back as a completed trade at the expected price and quantity is the ordinary case. Three other outcomes exist, and although they are often lumped together as an execution problem, they have different causes, occur under different conditions and require different things to be checked. A requote is an offer of a different price. A rejection is a refusal. A partial fill is a trade for less than the quantity asked for.

The requote 

A requote occurs when an order is submitted against a displayed price that is no longer available by the time it arrives, and the venue responds by offering the current price instead of filling or refusing. The order is not executed. It is returned with a new price and a short window in which that price may be accepted, after which it too expires.

The mechanism belongs to a particular execution model. A venue that quotes a firm price and stands behind it has nothing to requote, because the price it displayed is the price it is obliged to honour. A venue that streams indicative prices retains the right to confirm at the time of dealing, and a requote is that right being exercised. Whether requotes are possible at all is therefore a property of the model an account runs under rather than of the market conditions, though conditions decide how often it happens.

One structural question is worth noting because the industry has argued about it for years. A requote can in principle be offered on only the unfavourable side, filling orders that moved in the venue's favour and requoting those that did not. Codes of conduct address this directly by requiring symmetrical treatment, and a venue's own disclosure states whether its price validation is applied symmetrically. It is a checkable disclosure rather than a matter of trust.

The rejection 

A rejection is a refusal to process the order at all, and its causes divide cleanly into two groups. Account level causes are checked before the order goes anywhere: insufficient free margin for the resulting position, a size below the instrument's minimum or above its maximum, a quantity that is not a whole multiple of the volume step, an instrument outside the account's permissions, or a market that is closed. All of these are deterministic, all of them are checkable in advance, and all of them produce a specific message.

Market level causes arise after the order has left the firm. The liquidity that was displayed is no longer there, a price validation check failed because the market moved beyond a tolerance, or a liquidity provider exercised a last look window and declined. These are not deterministic, they cluster in exactly the conditions where a fill is most wanted, and they leave no position and no trade on the statement.

The cost of a rejection is invisible in any price statistic, because a rejected order has no execution price to measure. That is the honest reason fill rate is reported alongside price difference: a venue can improve its price statistics by rejecting the orders that would have filled badly, and only the fill rate would show it.

The partial fill 

A partial fill happens when the quantity available is smaller than the quantity requested. The available part is transacted and the remainder is handled according to the order's time in force: cancelled where the order was immediate or cancel, left resting where it was a limit with a longer life, or filled at successively worse levels where it was a market order and the book had depth below.

Each piece appears on the statement as its own transaction with its own price and its own timestamp, and the position is the sum of them. The effective price of the whole is the quantity weighted average of the pieces, and no single row on the statement shows it. That is a reporting property rather than a cost, but it is why an account holder comparing a fill against a chart can find no row that matches.

A partial fill also has a consequence for any attached orders. Where a stop and a limit were attached to the intended position, platforms differ in whether they attach to the filled quantity, to the originally requested quantity, or not at all until the order completes. The behaviour is documented per platform, and it is one of the few places where the documentation genuinely varies rather than describing the same thing in different words.

Telling them apart on a statement 

The three outcomes leave different traces, and the traces are the fastest way to identify which occurred. A requote leaves an order record with a returned price and no trade. A rejection leaves an order record with a reason code and no trade. A partial fill leaves one or more trades whose quantities sum to less than the order, plus a record of what happened to the remainder.

Reason codes are worth reading rather than skimming, because they separate the deterministic causes from the market ones. A rejection for insufficient margin, an invalid volume or a closed market describes something about the order that will recur until it changes. A rejection for a price or liquidity condition describes something about the moment, which is a different problem with a different remedy.

Where all three cluster 

All three outcomes concentrate in the same windows, and for the same underlying reason: fewer firms are quoting, so displayed prices are backed by less quantity and go stale faster. The seconds around a scheduled economic release, the minutes around a session boundary, the daily rollover and public holidays in the relevant financial centres account for a large share of them.

Order size interacts with all three as well. A size that fits comfortably inside the top of the book rarely encounters any of them; a size that requires several levels encounters partial fills as a matter of course, and encounters the other two whenever the book is thin. Neither the market nor the venue has changed between those two cases.