Fill-or-Kill (FOK) Rejection Rate
The Formal Definition
The quantitative frequency with which an institutional Fill-or-Kill limit order is instantly canceled by a matching engine due to the market's inability to execute the entire order size at the specified price without partial fills.
FOK Rejection Rate (%) = [ Total Cancelled FOK Submissions / Total Dispatched FOK Submissions ] × 100
Cole Barrett's Reality Check
The Unvarnished Bottom Line"Fill-or-Kill is the ultimate hardline order type. You tell the exchange: fill my entire order right now at my price, or cancel the whole thing immediately. High-frequency algorithms use FOKs to test market depth. If your FOK rejection rate spikes, it tells you the market is thinner than it looks and large orders can't clear without severe slippage."
Interactive Simulator: Test the Math
Real-World Example: Scenario Breakdown
Examining the real numbers for: An algorithmic fund submitting a 5,000-share Fill-or-Kill purchase into a fast-moving, volatile equity market
| Execution Metric | Disciplined Institutional Execution | Standard Market Order Trader |
|---|---|---|
| Fee / Rate | $0.0035/share direct DMA fee | $0 advertised commission |
| Spread / Buffer | Submitted a 5,000-share FOK order at $75.10; the book only had 4,200 shares available at that price level | Submitted a raw market order for 5,000 shares into the same thin market book |
| Execution / Status | Matching engine instantly cancelled the order within 1 millisecond, preventing a partial fill | Filled 1,000 shares at $75.10, but the rest of the order swept the book up to $75.85 to complete execution |
| Total Cost / Result | Avoided partial fill imbalances and managed execution risk | Suffered heavy slippage on a sweeping market fill |
How Brokers Weaponize This Term
Use Fill-or-Kill (FOK) or Immediate-or-Cancel (IOC) order flags when trading illiquid options contracts. This prevents brokers from partially filling a small portion of your multi-leg strategy, which can leave you stuck holding an unhedged options leg.
Broker Evaluation Matrix
Cole Approves
Interactive Brokers: Provides complete support for all advanced conditional time-in-force instructions, including FOK, IOC, and GTC across global exchanges.
Read Audit →Cole Flags / Avoids
Simplified Retail Trading Apps: Removes conditional order flags like FOK, forcing retail users into basic market and limit orders that leave them exposed to partial fills.
View Trap Details →Frequently Asked Questions
What is the difference between Fill-or-Kill (FOK) and Immediate-or-Cancel (IOC)?
FOK requires the entire order to be filled immediately or cancelled completely (no partial fills). IOC fills whatever quantity is available right now at your limit price and cancels the rest.
Can retail traders submit FOK orders on standard broker platforms?
Only on advanced trading platforms that support professional order types and direct exchange routing.