Duration as a metric

Time-to-fill measures how long it takes an order to complete or reach a target fill percentage. It reflects both market conditions and the aggressiveness of tactics used during execution.

Shorter times reduce exposure to price risk but may raise impact; longer times carry opportunity cost.

What drives timing

Drivers include depth, spread, and incoming flow, along with queue position for passive orders. Venue stability and latency asymmetry also influence how quickly orders progress.

Strategy choices, such as limit prices, refresh rules, and venue selection, materially change observed times.

Operational significance

Desks set service levels around time-to-fill for different order types and sizes. Monitoring distributions helps detect venue slowdowns, changes in liquidity, or issues in routing logic.

Time-to-fill is a key input to sizing and urgency decisions during live execution.

Benchmarking across venues

Comparisons by venue and time of day highlight where completion is reliably faster for similar conditions. Segmenting by size and volatility ensures like-for-like evaluation.

Persistent differences often align with depth refill speed, queue risk, and quote stability metrics.

Things to Remember

• Speed vs cost: Faster fills trade off against impact; balance to the objective.
• Segment wisely: Compare times by size, venue, and regime for fairness.
• Watch tails: Long outliers signal liquidity or routing issues needing attention.
• Feed into sizing: Use time-to-fill to set realistic progress targets.