Getting orders filled
A backtest assumes perfect fills; the market does not oblige. These pages explain execution — the order types you can send, and the frictions (slippage, latency, partial fills, thin liquidity) that make live results differ from theory. Understanding execution is what turns a good idea into realised P&L rather than a spreadsheet fantasy.
Execution: Execution is the process of turning a trading decision into a filled order. It involves choosing an order type (market for certainty of fill, limit for certainty of price, stop to trigger on a level), and managing frictions — slippage (price moving against you), latency (delay between decision and fill), partial fills, and liquidity (whether enough size is available). Good execution minimises the gap between the theoretical and the realised price.
Market Orders
Order typeA market order is an instruction to buy or sell immediately at the best price currently available in the order book, prioritising speed of execution …
Limit Orders
Order typeA limit order is an instruction to buy or sell only at a specified price or better, giving you full control of the price you accept but no guarantee …
Stop Orders
Order typeA stop order is a dormant order that activates only when the market touches a specified trigger price, at which point it is released to the book as e…
Slippage
Execution costSlippage is the difference between the price a strategy expected when it decided to trade and the price at which the order actually filled, expressed…
Latency
TimingLatency is the elapsed time between a trading system observing market data and its resulting order being acknowledged or filled at the exchange, span…
Partial Fills
Order stateA partial fill occurs when only part of an order's quantity is executed and the remainder either continues to rest, is cancelled, or must be actively…
Liquidity
Market qualityLiquidity is the degree to which an instrument can be traded in size, quickly, without materially moving its price, summarised through order-book dep…
Execution Quality
MeasurementExecution quality is the measured degree to which a trading system converts its intended decisions into fills at favourable prices, assessed against …
Smart Order Routing (Conceptual)
RoutingSmart order routing (SOR) is the automated process of deciding where and how to send each order or child order — across trading venues and execution …