🎯 How your order gets filled, and how to check you got a fair price

🎯 In 30 seconds: When you send an order, your broker decides where it goes, and that choice decides the exact price you get. You can measure the result. Compare your fill with the best quote at that moment: a buy below the ask or a sell above the bid is price improvement. Twice the distance from the midpoint is your effective spread, the real cost of the round trip. Brokers have to publish where they send orders and what they are paid for them (Rule 606), and execution statistics (Rule 605). Most of the time the difference is fractions of a cent. In fast markets, big orders or thin stocks, it can be much more, and your order type matters more than any report.

Where this fits

How the stock market works introduced the players: exchanges, wholesale market makers, alternative trading systems, the NBBO and payment for order flow. What trading really costs showed why the spread is a cost. This chapter is about checking your own fills and reading the public reports that let you compare brokers. It assumes you know what a bid, an ask and the NBBO are; if not, read Bid, ask, spread and liquidity first.

One order, start to finish

Take a hypothetical stock with this quote. The NBBO (national best bid and offer) is the best bid and best ask across all exchanges.

You place a market order to buy 200 shares. Here is roughly what happens, usually in well under a second:

1. Your app sends the order to your broker, which runs automatic checks: buying power, price limits, trading restrictions.
2. The broker's order router picks a destination: a wholesale market maker, an exchange, or an alternative trading system. Many retail brokers send most marketable orders to wholesalers.
3. The destination fills the order. A wholesaler trades with you from its own inventory, often at a price slightly better than the NBBO.
4. The trade is reported to the public tape within seconds, so it shows in the day's volume and last price.
5. You get a confirmation with the price, time and, at many brokers, the venue.

Measuring your fill: price improvement and effective spread

Say the 200 shares filled at $25.135. Two numbers tell you how good that was.

Price improvement = for a buy, the ask minus your price; for a sell, your price minus the bid.

Effective spread = 2 x the distance between your price and the midpoint. It is what a round trip at that quality would cost, and it is the number to compare with the quoted spread.

Now a harder case. You place a market order to sell 1,000 shares while the best bid shows only 300. The rest has to find buyers at lower prices:

Ten dollars is small here. In a thinly traded stock or the first minute after the open, the same order could walk down dimes or dollars. That is why a limit order matters more than any broker comparison. Order types in depth covers how to use one.

Rule 606: where your broker sends orders, and what it is paid

Every quarter, brokers must publish a Rule 606 report, free on their website, within a month after the quarter ends, and keep it up for three years. For orders in exchange-listed stocks and options it shows:

• The split of orders by type: market, marketable limit, non-marketable limit, other.
• The top ten venues receiving orders, plus any venue getting 5% or more.
• For each venue, the net payment for order flow received, any rebates, and fees paid, in total dollars and per share or per contract.
• A description of material arrangements with those venues.

You also have a personal right: under Rule 606(b)(1), you can ask your broker where your orders were routed during the previous six months, and it must tell you.

How to read one. Suppose a hypothetical broker's report shows market orders in listed stocks going 60% to Wholesaler A, paying the broker $0.0010 per share, and 30% to Wholesaler B, paying $0.0006. Ask two questions. Did customers get price improvement larger than what the broker was paid? And did the venue paying more also deliver better prices? The 606 report shows the payments. The 605 report, below, shows the prices. You need both.

Rule 605: the execution quality numbers

Rule 605 requires monthly, standardized statistics on how orders were executed. It dates from 2000 and originally covered market centers such as exchanges and market makers. In March 2024 the SEC adopted amendments that widened it to include brokers that introduce or carry 100,000 or more customer accounts, added new measures, and required a short summary report in CSV and PDF form. After one extension, the compliance date was August 1, 2026, so these broker-level reports are new as of late 2026.

The measures that matter most for a retail trader:

• Average effective spread divided by average quoted spread. The same ratio you computed above. Lower is better; 75% means customers crossed three quarters of the spread on average.
• Price improvement statistics, now also measured against the best displayed price including odd-lot quotes (quotes for fewer than 100 shares), which are often better than the round-lot NBBO.
• Size categories based on dollar value and whether an order was fractional, odd-lot or round-lot, so you can look at orders your size.
• Execution speed, now in finer time buckets.

Best execution: the duty behind it all

FINRA Rule 5310 requires brokers to use reasonable diligence to find the best market for a customer's order, so the price is as favorable as possible under current conditions. The factors include how the market for that security behaves, the size and type of order, how many markets were checked, and how accessible the quotes were. Brokers that route customer orders in bulk must run "regular and rigorous" reviews of execution quality, at least quarterly.

Best execution does not mean every order gets the best possible price. It means the broker has a process, tests it against alternatives, and changes routing when another venue would do better. Payment for order flow is allowed, but it cannot override that duty. If you believe a broker is not meeting it, Who protects you explains how to complain.

Try it

Take your next three trades, real or in the paper portfolio, and screenshot the quote just before you send each order. Afterward, compute price improvement and effective spread from the fill, as in the worked example. Then find your broker's latest Rule 606 report on its website (search the site for "606") and write down its top three venues for market orders and the payment per share from each. If your broker now posts a Rule 605 summary, note its effective-to-quoted spread ratio for orders your size.

Sources

• Investor.gov (SEC): Executing an Order
• Cornell LII: 17 CFR 242.606, disclosure of order routing information
• SEC: Disclosure of Order Execution Information (Rule 605) fact sheet, 2024
• SEC: Extension of the Rule 605 compliance date to August 1, 2026
• FINRA: Rule 5310, Best Execution and Interpositioning