Stale quotes: the price that was true a moment ago

[Amanhasnoname]

A stale quote is a price that no longer reflects the market. It sits in the system because the provider has not yet updated it, and a trade against it can produce an instant profit or loss.

Sometimes the broker's feed lags the market by a fraction of a second. Sometimes a liquidity provider's quote lingers after the market has moved.

Brokers protect themselves with last look and price filters. They reject orders at stale prices that favor the trader, and accept ones that favor the house. That produces the sense that slippage is asymmetric.

For scalpers, it explains why some perfect entries get rejected and bad ones get filled. It is not necessarily malicious, but it is built into the system.

Trying to exploit stale quotes, through latency advantage, is the subject of many broker rules and account closures. It is also a game that retail connections rarely win.

A better use of the idea is understanding why fills are asymmetric, and planning for it in cost estimates.

Has asymmetric slippage shown up in the trade statistics?