Order execution rarely unfolds as a single, clean print at a single price. Two concepts explain much of the gap between an intended transaction and the trade blotter that follows: partial fills and slippage. These are not edge cases or platform quirks. They are ordinary outcomes of how modern order books match buyers and sellers across fragmented venues and changing market conditions.
This article defines both terms, shows how they arise from basic market mechanics, and places them in real trading context. The goal is to make execution reports more intelligible and to clarify what is controllable, what is not, and why the distinction matters in day-to-day order management.
What Traders Mean by Partial Fills and Slippage
Partial fill refers to an order that is only partly executed, leaving a remaining quantity open or canceled, depending on the time-in-force. For example, a limit order to buy 1,000 shares at 50.00 that immediately trades 200 shares is partially filled by 200, with 800 shares remaining working at the same limit.
Slippage is the difference between a reference price and the actual execution price. The reference may be the last traded price, the quoted best bid or offer, the midquote, or a trader’s decision price before sending the order. Slippage can be adverse (worse price than the reference) or favorable (price improvement).
Although related, these concepts are distinct. A partial fill concerns quantity completion. Slippage concerns price realization. A single order can experience both, either, or neither.
How Order Matching Works at a High Level
Most electronic markets use a central limit order book with price-time priority. Orders rest at discrete price levels determined by tick size. Incoming orders that can match against resting liquidity trade with the best available prices first, then move to the next levels as needed.
Three elements drive fills:
- Displayed depth: how many units are available at each price level.
- Priority in the queue: among orders at the same price, earlier submissions fill first.
- Marketability: whether an incoming order can trade against current quotes, or must wait.
When a submitted quantity exceeds available liquidity at a price, the order either moves up or down the book to fill the remainder or leaves a balance resting. These mechanics create the basic conditions for partial fills and slippage.
What Is a Partial Fill?
A partial fill occurs when an order executes in increments rather than in one continuous trade. This can happen across multiple price levels, multiple venues, or over time as new liquidity arrives. The final report often shows multiple line items, each with a quantity and price, along with an average execution price for the total completed shares or contracts.
Examples of Partial Fills
Example 1: Market order across depth
You submit a market order to buy 3,000 shares. The best ask shows 500 shares, the next ask level shows 1,200 shares, and the third level shows 2,000 shares. The order may fill 500 at 50.10, 1,200 at 50.12, and 1,300 at 50.15, for a total of 3,000 shares. This is a complete order overall, but it is composed of partial executions. If the third level only held 700 shares, the order would be partially filled for 2,400 shares, with 600 shares remaining until more liquidity appears or the broker routes to other venues.
Example 2: Limit order with incomplete rest
You place a limit order to sell 1,000 shares at 20.20. Only 300 shares trade immediately because only 300 were bid at that price. The remaining 700 stay in the book at 20.20, waiting for additional buyers. If subsequent buyers arrive, the rest may fill in several more prints.
Time-in-Force and Partial Fills
Time-in-force instructions affect whether partial fills are acceptable and what happens to any remainder:
- Day or GTC (good till canceled): partial fills are allowed, and the remainder persists until the order expires or is canceled.
- IOC (immediate-or-cancel): any portion that can trade immediately does so, and the unfilled remainder is canceled at once.
- FOK (fill-or-kill): the order must be filled in full immediately or canceled. This instruction prevents partial fills altogether, but it can increase the chance of no fill.
- All-or-none (where supported): similar intent to FOK, but may allow the order to rest until it can be entirely filled. Not all venues accept this condition.
Brokerage and venue support varies by asset class. Some conditions are disallowed in certain markets or routed through broker-managed logic rather than exchange-native instructions.
Why Partial Fills Occur
Several structural reasons lead to partial fills:
- Insufficient displayed liquidity at the price: the simple case where your size exceeds the quoted size.
- Queue position and competition: other orders at the same price have priority. You may receive a fraction of the trades as they occur, or none if earlier orders consume incoming flow.
- Fragmented markets: an order may be split across venues and dark pools, each with different depth and speed. Pieces report back separately.
- Hidden or iceberg orders: part of the liquidity at a price may be non-displayed and revealed only as trades occur, leading to a sequence of small fills.
- Regulatory price bands and halts: protections can pause or block parts of an order from sweeping the book beyond certain thresholds.
What Is Slippage?
Slippage is the difference between a chosen reference price and the actual execution price. It captures the cost or benefit of executing in a market that moves, and it also captures the cost of crossing the bid-ask spread.
Two simple categories are helpful:
- Quote-based slippage: compares execution to the prevailing best bid or offer or the midpoint. For a buy order that executes above the best ask at the time of the decision, the difference is adverse slippage. For a sell order that executes above the best bid, the difference is favorable slippage, often called price improvement.
- Decision-based slippage: compares execution to the price when the trading decision was made, sometimes called the arrival price. This captures the market movement during the time it takes to submit, route, and fill the order.
Slippage reflects several components at once: the spread, market impact, latency, and price changes unrelated to the order. It is not exclusively a penalty. When markets move in your favor between decision and execution, or when you receive an execution better than the quoted price, slippage can be negative in cost terms, which is favorable.
Measuring Slippage
Traders and risk teams use different reference points for measurement:
- Midquote: midpoint between best bid and offer at order arrival. Useful for estimating spread cost and price impact.
- Best quote: the best bid for a sell, or best offer for a buy, at arrival. Useful for evaluating price improvement when using market or marketable limit orders.
- Last trade: the most recent transaction price. Less reliable during fast markets, since the last trade may lag the quote.
- Decision price: the price when the order was initiated in the trading system or when the trader decided to trade. Central to implementation shortfall analysis.
There is no single correct measure. The choice depends on what one wants to evaluate: spread cost, timing, or market impact.
Price Improvement vs Slippage
It is common to discuss price improvement as the positive counterpart to slippage. If a buy order executes below the best offer, or a sell above the best bid, that portion of the execution achieved improvement. Aggregated across partial fills, the net result may still be adverse if parts of the order traded at worse levels. Execution quality reports often present the average effective spread or the percentage of shares that received price improvement.
Why Slippage Exists
Slippage arises from the basic features of two-sided markets:
- Bid-ask spread: the difference between the best bid and best offer is the immediate cost of demanding liquidity. Market orders that cross the spread incur this cost even if the price does not move.
- Market impact: larger orders can push price by consuming displayed depth. For a buy order, each successive level may be offered at a higher price, creating adverse slippage relative to the initial quote.
- Latency and routing: time passes between decision and fill. Quotes may update during that interval. Routing across venues also introduces delays that allow prices to change.
- Volatility: in fast conditions, even small orders can experience slippage because prices update rapidly and depth refreshes inconsistently.
- Hidden liquidity and matching rules: non-displayed orders, midpoint pegs, and different priority rules can produce fills that differ from the top-of-book quotes.
These features are integral to how markets balance liquidity provision and liquidity demand. Slippage is therefore a routine attribute of execution rather than an exception.
How Order Type Influences Partial Fills and Slippage
Order type determines which side of the liquidity equation you are on and how the system will behave if the requested size exceeds available depth.
Market Orders
A market order instructs immediate execution at the best available prices. It will normally fill completely by sweeping up the book until size is met. In very thin markets or under protection bands, a market order might not fully complete at once. Market orders commonly produce multiple partial executions as they traverse price levels, which means the final price is an average of several prints. Slippage relative to the decision price and the top-of-book quote is common, especially during volatile periods.
Marketable Limit Orders
A limit order priced to trade immediately at or through the quote behaves like a market order with a price ceiling for buys or price floor for sells. For example, a buy limit set above the best offer will match the offer and potentially the next levels until the limit price is reached. Any unfilled remainder rests at the limit price. This can reduce the worst-case execution price but may increase the chance of a partial fill if the limit is reached before the entire quantity is executed.
Passive Limit Orders
A passive limit order rests in the book, providing liquidity. It may be partially filled as incoming marketable orders interact with it over time. If the market trades through the price quickly, the fill can be immediate and complete. If flow is sparse, fills may arrive in small increments or not at all.
Stop and Stop-Limit Orders
Stop orders trigger a market order once a specified price trades. Execution after the trigger follows market order behavior, with the same potential for multiple partial executions and slippage. Stop-limit orders trigger a limit order, which can cap the execution price but may increase the chance of partial fills or no execution if the market moves past the limit price.
Special Conditions: IOC, FOK, and AON
IOC permits partial execution and cancels any remainder immediately. FOK requires an all-or-nothing immediate execution. All-or-none, where supported, also enforces full-size completion, often without the immediate requirement. These conditions are designed to control partial fills, but they do not eliminate slippage if the order executes, since the price can still differ from the reference.
Real-World Context: Reading an Execution Report
Execution reports often show a sequence of fills, each with a time stamp, venue, price, and size, followed by an average price and the remaining open quantity. Consider a hypothetical order to buy 5,000 shares submitted with a marketable limit at 25.25 when the best offer is 25.20:
- 1,500 shares at 25.20
- 1,200 shares at 25.21
- 1,300 shares at 25.22
- 700 shares at 25.24
- 300 shares at 25.25
The total is 5,000 at a volume-weighted average price of 25.22. If the last 300 at 25.25 were unavailable, the report would show a partial fill of 4,700 with 300 remaining at 25.25. The difference between 25.22 and the initial 25.20 offer reflects both spread cost and price impact. If some shares had filled at 25.19 through a midpoint facility, those shares would be price improvement relative to the displayed offer, partially offsetting adverse slippage elsewhere.
When Slippage Tends to Increase
While slippage can appear at any time, certain conditions amplify it:
- Open and close auctions: quotes update rapidly and depth can be thin or hidden as markets transition between auction and continuous trading.
- News and scheduled releases: volatility increases and depth at the top of book shrinks, causing orders to sweep through levels.
- Low-liquidity instruments: wide spreads and sparse depth make even moderate orders move price.
- After-hours or overnight sessions: many venues show thinner books outside regular trading hours.
- Fragmented liquidity: when routing is constrained or venues are slow, the order may miss the best pockets of liquidity, increasing slippage.
Costs and Operational Considerations of Partial Fills
Partial fills have administrative and cost implications beyond price:
- Average price calculation: the booked cost or proceeds reflect the weighted average of all fills. Accounting and reporting systems track lots for each partial execution.
- Commissions and fees: fee schedules may charge per order, per share, or per fill. Multiple small fills can alter total transaction costs.
- Linked orders: contingent or bracket orders may only activate after the parent is fully filled. Partial completion can leave linked orders partially staged or inactive until the full size is executed.
- Residual odd lots: partials can leave non-standard lot sizes that behave differently in some markets. Many venues now execute odd lots routinely, but quoting and priority rules can differ.
- Cancel-replace behavior: modifying a working order often loses queue priority, which can extend the time to complete the remainder.
Asset Class and Venue Differences
While the principles are general, details vary by asset class and venue:
- Equities: discrete tick sizes, fragmented venues, and a mix of lit and dark liquidity. Odd lots may not always appear in top-of-book quotes, yet they can execute. Price bands and limit up or limit down rules can interrupt large market orders and produce partials.
- Options: tighter or wider spreads depending on series, with distinct lot sizes and exchange-specific priority rules. Partial fills across strikes or expirations do not apply, but partials within a single series are common.
- Futures: centralized venues per contract month with depth-of-market ladders. Partial fills are common when trading size exceeds depth at best prices, particularly in less active contract months or during roll periods.
- FX spot: often quote-driven with streams from multiple liquidity providers. Executions can fragment across banks or ECNs, generating multiple partial fills reported almost simultaneously. Slippage reflects both spread and provider-specific last look or reject policies where applicable.
- Crypto: numerous venues with varying liquidity, fees, and matching engines. Depth can change quickly, increasing both the frequency of partial fills and the variability of slippage.
Common Misconceptions
Myth: Market orders always fill completely.
Market orders typically strive for complete execution by traversing available depth. However, in extremely thin markets, during halts, or when price bands prevent execution beyond certain thresholds, a market order can end up only partially filled until more liquidity appears.
Myth: Partial fills indicate a system error.
Partial fills are a normal outcome of the matching process and reflect available liquidity, queue position, and routing. They do not necessarily imply a platform problem.
Myth: Slippage equals poor execution.
Some slippage is inherent, such as the spread cost when demanding liquidity. Distinguishing between unavoidable components and avoidable ones requires careful benchmarking to an appropriate reference price.
Myth: Price improvement means the whole order beat the quote.
Improvement may apply to a subset of the shares or contracts. The net outcome depends on the weighted average across all partial fills.
Risk Controls and Protections That Affect Fills
Several market protections can influence both partial fills and slippage:
- Limit up or limit down: trading halts or price bands can stop an order from executing beyond set thresholds. If momentum carries price quickly, a portion of the order might fill before a halt, with the remainder pending.
- Trade-through rules: routing logic often seeks the best displayed price across venues. The sequencing of fills and the speed of venues can cause small differences between reference quotes and realized prices.
- Auction mechanisms: opening and closing auctions pool liquidity, which may reduce slippage for some sizes but create different execution prices than the continuous market just before or after the auction.
Putting It Together: A Full Walkthrough
Imagine initiating a decision to buy 10,000 units of an instrument quoted 100.00 bid and 100.05 ask. The visible depth shows 1,500 at 100.05, 2,000 at 100.06, and 4,000 at 100.07, with more at higher prices. You choose a marketable limit at 100.08 to cap the worst price while enabling immediate execution.
The order routes to several venues. Fills arrive as follows: 1,500 at 100.05, 1,700 at 100.06 from two venues, 3,000 at 100.07, and 2,500 at 100.08 within the limit. At this point you have 8,700 filled with an average of 100.066. The remaining 1,300 rest at 100.08. Over the next 20 seconds, new sellers appear at 100.08 for 800, then at 100.07 for 500 as the market softens, completing the order. The final average is slightly lower than the interim average after the initial sweep.
Relative to the decision price at a 100.05 ask, the first 1,500 shares show no adverse slippage except the spread cost. The next layers represent adverse slippage from price impact. The final 500 at 100.07 could be viewed as modest improvement relative to the worst price reached, but the overall average still reflects the cost of demanding liquidity.
This sequence illustrates how partial fills, time-in-force, depth, and slippage combine into a single execution outcome. None of these steps imply a strategy. They are simply the mechanics of how orders interact with dynamic quotes.
Interpreting Execution Quality Without Making Predictions
Execution quality is best interpreted through consistent measurement rather than ad hoc impressions. Select a reference such as the arrival midquote or the decision price, compute the difference between the average execution and that reference, and then evaluate how much of that difference likely comes from spread, impact, or timing. Repeating that process across many orders provides a sense of typical slippage under specific market conditions and order sizes. The objective is interpretation, not prediction.
Administrative Follow-Through After Partial Fills
After an order that generates partial fills, several housekeeping steps are common in professional environments:
- Confirm average price and quantity: verify that total share or contract counts match the intended size and that the average price aligns with the line-item fills.
- Check open remainders: ensure any residual size is either resting as intended or was canceled per the time-in-force.
- Review commissions and fees: examine whether fees were assessed per fill or per order and whether any maker-taker pricing applied.
- Audit linked or conditional orders: confirm whether child orders were triggered appropriately once the parent reached full size, and note any that depend on full completion.
- Recordkeeping: maintain lot-level detail for compliance and accounting, including timestamps and venues for each partial execution.
Partial Fills and Slippage Across Different Market Conditions
Market conditions shape how frequently partial fills occur and the degree of slippage observed:
- Calm, liquid conditions: narrow spreads and deep books often produce smaller slippage and faster completion, though large orders can still generate multiple prints.
- Directional moves with momentum: as quotes chase price, orders may encounter shrinking depth at the best price and greater traversal through the book.
- Cross-venue delays: small timing differences between venues can cause out-of-sequence fills that appear as partials with slightly different prices moments apart.
None of these patterns guarantee outcomes. They simply shape the environment in which orders interact with liquidity.
What Traders Control and What They Do Not
Several aspects of fills and slippage lie outside the trader’s control, such as real-time volatility, the size and timing of other participants, and venue-specific matching rules. Other elements are defined by explicit order instructions, such as price limits and time-in-force, which influence whether partial fills are accepted and how far into the book the order will travel. Recognizing the boundary between inherent market behavior and controllable parameters helps interpret execution results without resorting to ad hoc explanations.
Key Takeaways
- Partial fills arise when available liquidity cannot complete an order at once, leading to a sequence of executions across price levels, venues, or time.
- Slippage measures the gap between a reference price and the execution price and includes spread costs, market impact, and timing effects.
- Order type and time-in-force shape both the likelihood of partial fills and the range of possible execution prices.
- Price improvement and adverse slippage can occur within the same order, so the net outcome depends on the volume-weighted average across all fills.
- Market structure, volatility, and routing determine much of the execution experience, while clear order instructions define what happens to any unfilled remainder.