Partial fills on market orders in thin markets

[Shadow Trader]

A partial fill on a market order feels like it should be rare, and then it shows up at rollover or in the first seconds after a news release and suddenly a position is half the size that was requested. The order did not fail. It found only part of the volume at an acceptable price, and the rest was either cancelled or left hanging, depending on the fill policy the server uses.

The detail people tend to skip is that the remainder matters as much as the part that filled. Fill or kill, immediate or cancel and return behave very differently. Under return, the leftover can sit as a working order and fill later at a price nobody wanted. Under immediate or cancel, the remainder just disappears, and the position ends up smaller than the stop and target were designed for.

Thin moments are also when a small lot gets assumed to be safe. Size is not the only factor. Depth at the top of the book can be tiny even for a size that looks trivial.

What is worth checking is the fill policy listed in the symbol specifications, since it sits in plain sight and rarely gets read.

Which fill policy does your broker use on the pairs you scalp, and have you ever caught a partial fill on a position under a few lots?