Order fill

An order fill is the moment an order actually executes, when intent becomes a real trade at a specific price and quantity. An order can fill completely, fill partially (only some of the requested quantity), or not fill at all before it’s cancelled, rejected, or expired.

Fills are where a strategy’s assumptions meet reality. The fill price versus the price the strategy expected is slippage; the fill time versus the decision time tells you about latency. Recording every fill, its price, quantity, and the order it belongs to, is what lets you measure execution quality and reconcile what happened against what you intended.