Glossary · Trading and execution
Price improvement is execution at a better price than the best quoted market price at the time the order was routed.
It is usually reported as the share of trades filled at or better than the best available price, and it is one of the few execution measures that is meaningful across firms.
The measure is only as credible as its source. A figure produced by the same party that executed the trade is worth less than one produced by an independent measurement firm.