What is Partial fill probability?

Partial fill probability quantifies the chance that an order achieves less than its intended size over a specified window. It matters for schedules that depend on steady progress and for traders balancing urgency against impact.

Higher probability implies greater completion risk and potential opportunity cost.

Determinants of completion

Drivers include depth-at-levels, incoming market order flow, and quote stability. Venue rules, hidden liquidity, and matching priorities shape how resting interest is consumed.

Large notional relative to recent capacity raises the odds of partial outcomes.

Planning with probabilities

Traders set thresholds for acceptable partial risk and adapt tactics when estimates exceed limits. Options include widening the time window, increasing aggressiveness, or diversifying venues to raise completion odds.

Risk frameworks compute expected remaining size and potential catch-up cost if progress stalls.

Estimation techniques

Methods track historical completion rates by size, venue, and time of day, with controls for volatility and spread. Real-time models incorporate current depth and refill speed to update odds during execution.

Validating estimates against realized outcomes helps refine models and avoid stale assumptions.

Things to Remember

• Quantify progress risk: Know the odds of not finishing within your window.
• Link to capacity: Depth, flow, and stability drive completion outcomes.
• Adapt early: Change tactics before partial risk becomes opportunity cost.
• Backtest and verify: Keep models aligned with realized fills.