Average Fill Price

The average fill price represents the weighted mean cost per unit of an asset when an order is executed across multiple trades. In high-volume cryptocurrency or derivatives markets, a large order may not be filled by a single counterparty at one price.

Instead, the order is broken down and matched against various limit orders resting in the order book. To calculate this, the total cost of all executed portions is divided by the total quantity of the asset purchased or sold.

This metric is essential for traders to understand their true entry or exit position relative to the current market price. It accounts for slippage, which occurs when market liquidity is insufficient to fill an order at the desired single price point.

By tracking this, traders can better evaluate their execution strategy and the efficiency of their order routing. It is a fundamental concept in market microstructure and trade execution analysis.