Beyond the Spread: Fill Rate, Depth and Hold Time as Hidden Prices

[Shadow Trader]

Spread is the easiest cost to see, which is why it receives most of the attention. Liquidity has other prices, and they are paid in less visible ways.

Fill rate is one. A tight quote that is rejected or requoted in a third of attempts is worth less than a slightly wider quote that is honoured reliably, because missed entries in fast moves carry an opportunity cost that never appears on a statement.

Depth is another. A quote displayed for a small size says little about the price available for larger orders, and the price may deteriorate in steps as size increases.

Hold time, the delay between order submission and acceptance, is a third. A brief pause lets the provider check the market before committing, and when price has moved against the provider, the order may be declined or filled at a different level. Asymmetry matters here: if favourable moves lead to rejection while adverse moves lead to fills, the effective cost is much higher than the spread suggests.

A fair comparison between venues therefore combines quoted spread, execution speed, rejection rate, and slippage distribution. A spread that looks cheap in isolation can turn out expensive once those components are measured over a few hundred orders.

[FXS HongKong Scalper]

Fill rate is the one people underestimate most. We compared two brokers for a month: the one with a 0.1 pip tighter average spread had about 3 percent of market orders rejected during news minutes, the other almost none. On a strategy where the best trades come in fast moves, the rejected orders were often the winners.

Hold time is harder to measure, but it shows up as fills worse than the quote at order time. Logging the quote, the fill price and the delay for each order is the only way to see the true cost.