Two of the ways that this happens imply extra work by your broker, the third is just luck. First, a market order may be filled inside the spread. For example, a market order for 100 sh of IBM means that your broker should just buy the shares for you at the current asking price. If the price you pay is less than the current asking price, you experienced price improvement Second, a limit order may be filled better than the limit. And third, the market may simply have moved in your favor during the time it took to route your order to the exchange, resulting in a lucky saving for you.
Price improvement is extremely important to people who frequently trade large blocks of stocks.
So beware saving a penny on the commission and losing a pound on the execution price. It is difficult for the small investor to determine independently whether his or her order was filled with price improvement or not. However, there are several sources on the net for intraday price charts that may help you analyze your fills. On a lightly traded stock, spotting you own trade crossing the tape is easy - and a minor thrill. For many stocks, remember that there are a lot of places it may trade beyond the exchange it is listed on.