Average fill price
The average fill price is the volume-weighted average of the prices at which an order, or a position built from several orders, was executed: the sum of each fill's quantity times its price, divided by the total quantity. It is the reference for the position's profit and loss and for any stop measured from the entry.
Senzoukria · Glossary · Updated September 2026
The formula
Average fill price = Σ (quantity of each fill × its price) / Σ quantities. It is the same arithmetic as a VWAP, applied to one trader's executions instead of to the whole market's volume. Because it is an average, it is usually not a price the contract can trade at: it falls between ticks as soon as fills at different prices are combined.
Example 1: a market order that sweeps the book
A market buy of 12 contracts meets 3 contracts offered at 5,000.00, 5 at 5,000.25 and 4 at 5,000.50. The fills are worth 15,000.00 + 25,001.25 + 20,002.00 = 60,003.25 index points, and 60,003.25 / 12 = about 5,000.27. The best offer when the order was sent was 5,000.00, so the order paid about 0.27 points, a little over one tick, of slippage on average.
Example 2: a position built in steps
A trader buys 1 ES at 5,000.00, then 2 more at 4,998.00. The position is 3 contracts at an average of (5,000.00 + 2 × 4,998.00) / 3 = about 4,998.67. At 5,002.00 the open result is (5,002.00 − 4,998.67) × 3 contracts × 50 dollars per point, which is 500 dollars: the first contract is 2 points up and the other two are 4 points up each, 10 points in total. Scaling in moves the average toward the later fills, which is exactly why a stop measured from the first entry no longer describes the risk.
| Fill | Quantity | Price | Points at 5,002.00 |
|---|---|---|---|
| First entry | 1 | 5,000.00 | +2.00 |
| Add | 2 | 4,998.00 | +4.00 each |
| Position | 3 | about 4,998.67 | +10.00 in total |
Practical points
- Fees are not part of the average: it is a price, and costs are added separately.
- A stop meant to sit at the average must be placed on a valid tick; an average between ticks has to be rounded one way or the other.
- Brokers may compute realized profit and loss by matching individual lots, first in, first out, rather than from the average, so a partial exit can show a different realized figure than the average suggests.
In Senzoukria
The positions table on the Trading page shows each position's size and its average price in the Avg column, as reported by the broker. On the chart, the entry line is drawn at the average price and labeled with the side, the size and the unrealized result rounded to the dollar, for example 'LONG 2 · +$48'. The stop and target lines show the money at stake computed from that entry price rather than from the market. The break-even shortcut places its stop at the average entry price.
Related
In the same section
- Averaging down
- Autopilot
- b-shaped profile
- Automated trading
- Back month
- Autocorrelation
- Backtest
- Auto-deleveraging
This page in other languages
Frequently asked questions
- Why is my average price not a multiple of the tick size?
- Because it is a weighted average of fills at different prices. Two contracts at 5,000.00 and one at 5,000.25 average about 5,000.08, a price the contract cannot trade at. The average is an accounting value; orders still have to be placed on the tick grid.
- Does the average fill price include commissions?
- No. It is computed from execution prices and quantities only. Commissions and exchange fees are costs on top of it, which is why a stop filled exactly at the average entry price still ends with a small net loss.