Fill ratio measures the number of successfully filled orders as a fraction of the total number of orders placed, normally stated as a percentage.
What good is a tight spread if you don’t get filled?
Rejected or unfilled orders represent an opportunity cost.
The trader must forego the opportunity to trade or attempt to trade again at a potentially worse price.
This means that higher fill ratios are desirable.
The higher the fill ratio, the better, as a reject will normally result either in a missed opportunity to trade or at a worse price if the order is later resubmitted to the same (or different) venue.
For a quoted price stream from a single LP, the fill ratio should just be a measure of whether the deal was done at the agreed price or not.
Basically, was the order filled or rejected (or requoted)?
Rejects (errors aside) are due to insufficient liquidity to match the trader’s order.