Skip to content
GetProfitable
Search
Dictionary

Average fill price

The size-weighted mean price of every execution making up an order, which is the only price that matters for the position's actual cost basis.

Individual fills are bookkeeping; the weighted average is your real entry. Comparing it to the price when you started is how implementation-shortfall is measured, and comparing it to the market average over the same window is how a vwap-algo is judged.

Weight by quantity, never by count. Ten 100-share fills and one 9,000-share fill are not equally important.

Example: fills of 300 at 50.02, 700 at 50.05 and 4,000 at 50.11. The weighted average is (300 x 50.02 + 700 x 50.05 + 4,000 x 50.11) / 5,000 = 50.0986. A simple mean of the three prices gives 50.06 and would understate your cost by nearly four cents, or $190 on the position.

Related: partial-fill, implementation-shortfall, slippage-measurement, execution-report

Educational only, not advice. Spotted an error? Post in Site Feedback.