Fill Rate
The proportion of submitted order quantity that is actually executed.
The proportion of submitted order quantity that is actually executed.
How Fill Rate works
Execution microstructure focuses on how an investment decision becomes an actual trade. The distinction matters because order instructions, routing rules and fill conditions can materially change realized cost even when the investment view is unchanged. Fill Rate is best understood as part of the chain connecting trading interest to an observable transaction price. Its effect depends on the market's participant mix, transparency, liquidity and the rules governing interaction.
Why it matters in markets
In fixed income, many instruments still trade through dealer and RFQ workflows rather than a single consolidated order book, so execution quality often depends on protocol choice, dealer response, size and prevailing liquidity. Understanding Fill Rate helps distinguish a fundamental repricing from a move caused primarily by execution mechanics, inventory pressure or temporary scarcity of liquidity. That distinction is important when comparing yields, spreads or prices across instruments and venues.
How to interpret it
Fill Rate should be compared across similar instruments, trade sizes and market regimes. A value that looks favorable in normal conditions may deteriorate rapidly when volatility rises or dealer capacity contracts. Cross-sectional comparison is usually more informative than reading the measure in isolation.
Limits and context
Microstructure measures are highly sensitive to market design and data quality. Public feeds may omit hidden interest, bilateral dealer negotiations or delayed reports, while definitions can vary across venues and jurisdictions. BondStats therefore treats Fill Rate as a structural concept rather than a universal trading rule, and users should defer to the relevant venue, regulator or instrument documentation for binding definitions.
Independently written BondStats reference content. Venue rules, regulatory definitions and official instrument documentation remain authoritative where terminology differs across markets.