Partial fills on bigger lots: what happens when your size is bigger than top of book

[Fairman]

Partial fills on bigger lots: what happens when your size is bigger than top of book

Most retail traders never think about this because their size is small enough to be filled at the quoted price. But as account sizes grow, or on less liquid pairs and quiet hours, your order can be larger than what's available at the best price.

How that's handled depends on the broker and account type. On some ECN style accounts, a market order may be filled across several price levels, so part of it gets the quoted price and the rest gets slightly worse prices. You see this as an average fill a little off what you clicked. On some setups, a limit order might only be partially filled, leaving the rest of the order open or cancelled depending on the settings. On market maker accounts, the broker often fills the whole order at one price but may adjust the price or spread on larger tickets.

For scalping, this matters because the cost of a trade isn't just the spread you see. It's the spread plus how far your size moves through the available liquidity.

If you're trading larger sizes, check your fill reports. Compare the price you requested to the average fill price on each trade. If there's a consistent gap at certain times of day or on certain pairs, that's real cost to account for.

Does anyone here know how their broker displays partial fills?

[Fairman]

A related point: splitting a large order into smaller pieces doesn't always help. If you send several small orders in quick succession, each one may still eat into the same liquidity, and the later ones get worse prices anyway. On some platforms, sending orders too fast can also trigger requotes or rejections. If size is becoming an issue, it might be better to trade pairs with more depth during busier hours, rather than trying to engineer the fill on a thinner pair. The cheapest fix is usually timing, not order mechanics.

[Fairman]

I'd also look at what happens with stop orders at size. A stop becomes a market order when triggered, so if it's hit during a fast move, a larger stop can be filled across several levels with more slippage than a small one. Backtests rarely model that well. If your strategy depends on tight stops at larger size, I'd check live fill data on stopped trades separately from entries, because exits during fast moves are often where the real cost difference shows up, and it's the part people tend not to review.