Order Fill

When you submit a Limit Order or Market Order on a platform like Kalshi or Polymarket, the Matching Engine attempts to match it immediately against the best resting orders on the opposite side of the Order Book. A Market Order fills at whatever prices are available, walking up or down the book as needed. A Limit Order fills only at or better than your specified price. If the full quantity is available at acceptable prices, you receive a complete fill in one execution. If only a portion of the Liquidity is available at your price, you receive a partial fill: some contracts execute, the rest either rest on the book (for limit orders) or are cancelled (for immediate-or-cancel orders). Each partial fill is a separate execution event with its own timestamp and price.

Fill quality refers to how close the actual execution price is to the price you expected when placing the order. On a liquid market with a tight Bid-Ask Spread, fill quality is high: your Limit Order fills at your price or your Market Order fills at the posted ask with minimal Slippage. On an illiquid market, fill quality degrades because the Order Book is thin and even moderate-sized orders sweep through multiple price levels. Poor fill quality erodes Edge: if your model says a contract is worth 58 cents and you buy at an average fill of 61 cents due to Slippage, you have already surrendered more than half of your expected value before fees. Monitoring average fill price versus the midpoint of the Bid-Ask Spread at order submission time is the standard way to track fill quality over time.