You will notice that in GraphQL version of orders api , shopify provide “query” argument wherein further by using the filter_parameters of “fulfillment_status” you can get the required result by avoiding an extra call in comparison to REST ADMIN API version.
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GraphQL is not suitable for my use. The orders I deal will have 100+ items from time to time, I can get all of the items with REST in one call, but not with GraphQL. I do use GraphQL for mutation however, it is cheaper than REST call.
The REST order.json resource does already include Fulfillments [doc reference], are you perhaps referring to FulfillmentOrders? FulfillmentOrders are new with the updated fulfillment process and do require a separate call to the [fulfillment_orders.json endpoint] to read as those are not included in order.json.
There is not currently a way to include FulfillmentOrders in the reply when querying the REST order.json resource. There’s a lot of info in FulfillmentOrders, possibly enough to process the fulfillment without needing to query the order itself in some cases, which would add a lot of bulk to the order.json.