Price Improvement

What Price Improvement means

Price improvement is slippage in the trader's favour. It occurs when the market moves helpfully in the interval between order submission and execution, or when an aggregator finds a better quote in the depth of book than the one displayed. A buy filled below the expected ask and a sell filled above the expected bid are both improvements, and the benefit is credited directly to the trade's entry or exit price rather than shown as a separate line.

Whether a trader sees it at all depends on the execution model. Symmetric execution passes on both positive and negative deviation, so improvements appear regularly in a fill history. Asymmetric practice, where negative slippage is applied but positive movement is quietly retained by the broker, is a recognised conduct failing and is one of the things best execution obligations under regimes such as MiFID are designed to prevent. Comparing the frequency of positive and negative slippage in a statement is a simple test.

Limit orders can also be improved, since a buy limit is by definition filled at its price or better and a gap straight through the level yields a materially better entry. Traders should be wary of treating that as an unqualified benefit, however, because improvement on a limit entry usually means price is moving hard against the direction the position is about to take. Over a large sample, price improvement is best read as evidence of neutral execution rather than as a source of profit in its own right, since its expected value across many fills is close to zero.