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Sweep-to-fill order

An order that is chopped into pieces and sent to several price levels or venues at once to capture size immediately.

Instead of walking the book one level at a time, the broker scans displayed liquidity and fires simultaneous immediate-or-cancel slices. Speed comes first, price second.

Sweeps are for urgency: closing a losing position, or getting in before a move you believe is starting. Expect several fills at several prices and an average-fill-price worse than the touch.

Example: you need 10,000 shares now. Displayed size is 2,000 at 30.00, 3,000 at 30.01, 6,000 at 30.02. A sweep takes 2,000 + 3,000 + 5,000 for an average of 30.015, all within milliseconds. A patient limit at 30.00 might have got 2,000 and watched the rest leave.

Related: intermarket-sweep-order, immediate-or-cancel

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