The rate at which orders are filled or executed by a given exchange/ venue at a specific time or within a specific time interval. 100% fill rate means that all incoming orders are being filled at the time. The rate denotes the frequency at which orders are executed on any particular market. For example, the fill rate for an exchange may exceed 90%, reflecting the efficiency of that exchange. The fill rate impacts the entire volume of execution orders and an individual order. For an individual order, a less than 100% fill rate in a given trading session would result in a partial fill.
Generally, the fraction filled depends on the difference between buy order volume and sell order volume. For example, if buy order volume is double that of sell order, the system will fill only half the total volume of all buy orders. The percentage of filled orders depends for a specific order on a set of exchange rules, as applicable at the time of placing an order at a given market. Additionally, there is a set of matching rules that governs a situation where sell orders are larger than buy orders (in terms of volume).
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