Delphic Alpha

Delphic Alpha

Research

Reference Guides - Fill Probability Models

From First Principles to Partial Fills

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oracle
Jan 12, 2026
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One of the most fundamental questions in market microstructure is:

If I post a limit order, what is the probability it gets filled?

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This question governs spread capture, adverse selection, and ultimately PnL.
Fill probabili…

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