Metrics Glossary
Definitions and context for the key execution and transparency metrics used in BTI scoring. Understanding these terms helps you evaluate broker disclosures independently.
The following metrics are central to evaluating broker execution quality and transparency. BTI uses the presence or absence of public disclosure for these metrics as part of its scoring methodology.
Fill Ratio
Definition
The percentage of submitted orders that are successfully executed at the requested price or better.
Why it matters
A consistently high fill ratio (above 95%) suggests the broker has reliable liquidity sourcing. Unusually low fill ratios may indicate the broker is selectively rejecting orders during volatile conditions.
How brokers disclose it
Some brokers publish fill ratio data in execution quality reports. A few display it in real-time dashboards. Most do not disclose this metric publicly.
Slippage
Definition
The difference between the expected fill price and the actual execution price. Can be positive (price improvement) or negative (worse price).
Why it matters
Symmetric slippage distribution (roughly equal positive and negative) is a hallmark of fair execution. Consistently negative slippage favoring the broker is a warning sign.
How brokers disclose it
Brokers may report average slippage in execution reports or as part of MiFID II RTS 28 disclosures. Granular per-instrument slippage data is rare.
Execution Speed (Latency)
Definition
The elapsed time between order submission by the client and order confirmation by the broker, typically measured in milliseconds.
Why it matters
Consistent low latency reduces the risk of slippage. Large variations in execution speed may indicate infrastructure issues or differential treatment of order types.
How brokers disclose it
Average execution speed is sometimes reported in execution quality reports. Some brokers display real-time latency metrics on dedicated dashboards.
Rejection Rate
Definition
The proportion of submitted orders that the broker rejects, typically due to price movement beyond the slippage tolerance or insufficient liquidity.
Why it matters
A high rejection rate during volatile markets may indicate the broker is filtering out trades that would be unprofitable for its dealing desk. Some rejections are normal; patterns are what matter.
How brokers disclose it
Rejection rate data is seldom disclosed publicly. Brokers with high transparency scores may include it in execution analytics dashboards.
Spread Markup
Definition
The additional spread added by the broker on top of the raw interbank or liquidity provider spread. Also called the broker's spread commission.
Why it matters
Knowing the markup versus the raw spread helps traders understand the true cost of trading. Brokers that disclose raw versus final spreads demonstrate pricing transparency.
How brokers disclose it
Some brokers show raw vs. final spreads on their pricing pages. This is more common with ECN/NDD brokers that charge a separate commission.
Price Improvement
Definition
When an order is filled at a better price than the trader requested. This occurs when the market moves favorably between order submission and execution.
Why it matters
Consistent price improvement data suggests the broker's execution engine genuinely seeks the best available price rather than just filling at the requested level.
How brokers disclose it
Price improvement statistics may appear in execution quality reports. Brokers claiming best execution should ideally show this data.
Requote Rate
Definition
The frequency at which a broker offers a new price instead of executing at the originally displayed price, requiring the trader to accept or reject the revised price.
Why it matters
Frequent requotes during normal market conditions suggest execution infrastructure issues or dealing desk intervention. NDD brokers typically have zero requote policies.
How brokers disclose it
Requote data is almost never published. Absence of requotes is sometimes mentioned in broker marketing but rarely backed by published statistics.
Related Resources
- BTI Scoring Methodology -- how these metrics factor into broker scores
- Best Execution Guide -- understanding broker obligations
- Routing Models -- how order routing affects execution quality