What Happens Between Clicking Buy and the Fill
Six things happen in the fraction of a second after you confirm an order, and almost every complaint about execution is really about one of them. A walk through the sequence, step by step.
The order leaves your machine
What you send is not a price; it is an instruction. The ticket carries the instrument, the side, the size, the order type and whatever tolerance you allowed, and it travels to the broker's trade server over whatever connection you happen to have. The price you were looking at when you clicked stays on your screen. It is not part of the message, except as the reference against which any tolerance will be measured.
Everything between that moment and the confirmation happens without you, which is why the length of the gap matters more than most people assume. A distant server, a saturated home connection or a laptop busy with a background task all stretch the same interval.
The server checks whether the order is admissible at all
Before anything is priced, the order is validated. Is the instrument open for trading right now? Is the size within the minimum and maximum for this account? Does the stop or limit sit closer than the minimum distance the broker enforces? Is there enough free margin to support the position? Would the order breach a position limit or an instrument-level restriction?
Most rejections happen here, and they happen quickly. A rejection at this stage says nothing about the market: it says the instruction was not admissible on this account under these conditions.
The price check
An admissible order is then priced against whatever the broker's feed shows at that instant, not against the price on your screen. If the two agree within your tolerance, the order proceeds. If the market has moved beyond it, the outcome depends on the execution mode: instant execution typically returns a requote, market execution fills at the new price, and a maximum deviation setting rejects rather than fills when the gap is too wide.
This is the step people call slippage, and it is worth being precise about what it implies. A price that moved between the click and the check is a fact about latency and market speed. Whether such movement runs systematically against you is a separate question, and only a body of your own fills can answer it.
Where the order goes next
Depending on the model, the broker either takes the other side itself and manages the exposure afterwards, or passes the order to one or more liquidity providers and matches your fill to theirs. Which of the two is happening is set out in the execution policy rather than in the platform, and it is invisible in the moment.
The fill comes back, possibly in pieces
A large order may be filled at more than one price, because it consumed the quantity available at the first level and continued into the next. The platform usually reports an average. In some accounts an order that cannot be filled in full is partially filled and the remainder either cancelled or left working, depending on the time in force you chose.
The record
Finally the server writes the outcome: an execution report carrying status, price, quantity and timestamps, which the terminal renders in the journal and the trade history. That record, and not your memory of the screen, is what exists afterwards.
Which step your complaint belongs to
Almost every execution dispute belongs to exactly one of these steps, and identifying which one changes the question you should ask. A rejection is step two or three. An unexpected price is step three. A fill spread across several prices is step five. A trade you cannot find is step one or six. Working out the step before writing to support turns a vague grievance into a question that has an answer.
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