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Quantitative Finance · Glossary

What is Fill rate, hit ratio?

Also known as: fill rate · hit ratio

Definition 23.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 23 — Measuring Market Making and Execution

The fill rate of a set of passive orders is the quantity filled over the quantity posted. The hit ratio of a dealer answering requests for quotes is the share of its quotes that the clients trade on.

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