A split fill is an order consisting of more than one lot, where contracts are filled at different prices, this is also known as order splitting. This is most commonly done with larger orders so that the order in question can be filled automatically. A split fill is most likely to happen market depth and trading volume is lower than usual. A split fill allows smaller time traders (ordering less than 1,000 shares) to have the same type of access to orders and contracts and large-scale traders.