Fill Probability Analysis

Fill Probability Analysis is the statistical evaluation of the likelihood that a submitted order will be successfully executed at a specific price. This analysis considers factors such as the current order book depth, historical execution rates, and the speed of the market.

Traders use this information to adjust their limit orders or to decide whether to use market orders. High fill probability is desirable for rapid execution, while lower probability may be acceptable if the trader is seeking a more favorable price.

This analysis is critical for automated trading systems that need to balance the trade-off between price improvement and the risk of not getting filled. It is a quantitative approach to managing execution risk.