Who this is for — Readers who see the market trade at their limit but receive only part of a fill, or want to understand why two orders at the same price are not necessarily served in the same way.
Order priority determines which trading interest is eligible to match first; allocation determines how available quantity is distributed among several compatible orders. Both rules belong to the venue and often to the individual product. Price-time is a common model, but it is not universal: FIFO, pro-rata, hybrid systems, auctions and additional rulebook priorities all exist.
A partial fill occurs when only part of the requested quantity finds an eligible counterparty. By itself, it is not a broker or venue error: it is one possible result of available quantity and matching rules.
Price, time and allocation
In a price-priority system, a buy order willing to pay a higher price precedes buys at lower prices; a sell order willing to accept a lower price precedes sells at higher prices. Only after the best level has been identified do the rules among orders at the same price come into play.
| Family | Main criterion | Consequence |
|---|---|---|
| FIFO / price-time | arrival sequence at the same price | the time queue is decisive |
| Pro-rata | share of displayed size or another stated formula | several orders may receive allocations in one event |
| Hybrid | combination of FIFO, pro-rata or dedicated priorities | outcome depends on product parameters |
| Auction | auction algorithm and phase | price and quantity may be determined collectively |
CME Group documents several algorithms on Globex, including FIFO, pro-rata and hybrid variants. This shows why “first in is always first filled” cannot be turned into a general rule. The current venue, instrument, session and algorithm must be identified.
Client handling and venue matching
In the European Union, Article 28 MiFID II requires a firm to handle otherwise comparable orders according to receipt time and through prompt, fair and expeditious procedures. This requirement concerns the firm's handling of client orders. It does not require all trading venues to use the same allocation algorithm: matching remains governed by venue rules.
The distinction prevents a common misunderstanding. The timestamp at which a broker receives an order may govern its internal queue; the timestamp at which the venue accepts it may determine its position in that venue's book. Latency, routing and intermediate controls separate the two moments.
How a partial fill arises
An aggressive order may encounter less quantity than its own size at the best price. Compatible quantity executes; the remainder may cross additional levels, rest in the book or be cancelled, depending on order type and duration. A passive limit can instead receive several executions over time against incoming orders.
In its Rule 605 FAQ updated in 2026, the SEC treats each partial execution separately and weights statistics by executed quantity. The same accounting principle applies when reading an average fill price:
average fill price = the sum of each price multiplied by its corresponding quantity, divided by total executed quantity.
The full order quantity must not be used as the denominator while part remains unexecuted. Commissions and other costs may also be calculated separately and do not automatically coincide with the gross average fill price.
Remaining quantity is not a minor detail
After the first fill, at least three fields should be observed:
- filled quantity: quantity already traded, which a simple cancellation of the remainder cannot reverse;
- leaves quantity: the portion still available for execution;
- order status: working, cancel pending, cancelled, expired or another system-defined state.
Duration changes the remainder's fate. A day order may expire at the end of its session; an immediate-or-cancel order attempts immediate execution and cancels what remains; a fill-or-kill order requires the full condition stated by the venue. Names and implementations must be checked in the rulebook: not every qualifier is available for every product.
Common mistake — Seeing a print at one's limit and concluding that the whole order should have filled. The print may come from another venue, concern quantity already ahead in the queue, belong to an auction or reflect a different allocation rule.
What can change queue position
A price amendment, quantity increase, order replacement or change of attributes may be treated as a new order and lose priority; other amendments may retain it. The answer is venue-specific. Hidden quantity, iceberg reserves and dedicated priorities can also make the visible queue incomplete.
A conditional order such as a stop-limit generally does not have the same position as a limit that was active before the trigger. When and how it enters the queue depends on implementation. Likewise, a cancellation request races with possible executions: until confirmed, the remainder may still receive fills.
Auditing a disputed fill
Reconstructing the event requires the order identifier, venue, product, algorithm and session; receipt, acceptance, amendment and fill timestamps; initial, executed and remaining quantities; individual fill prices; duration and attributes; and any reject or cancel messages. A bar chart or the last price alone contains none of this history.
Sources
- CME Group, Matching Algorithm Overview — FIFO, pro-rata and hybrid algorithm families used on CME Globex.
- CME Group, CME Globex Reference Guide — orders, market controls and matching within the platform's perimeter.
- U.S. Securities and Exchange Commission, Frequently Asked Questions: Rule 605 of Regulation NMS — partial executions and cancellations, quantity weighting and timestamps.
- European Securities and Markets Authority, MiFID II, Article 28 — Client order handling rules — time sequencing of comparable orders in the firm's handling process.