Last look gives a liquidity provider a short window, often tens of milliseconds, to accept or reject an order at the quoted price. That window has practical effects for short-term traders.
What happens during the window:
The LP checks whether its quoted price is still valid.
If the market moved against the LP, the order can be rejected.
If the market moved in the trader's favour, the order is usually filled at the original price.
Effects for traders:
Rejections during fast markets, which hit scalping strategies hardest.
Possible asymmetric outcomes if rejections only happen when the move favours the trader.
Longer windows mean more opportunity for rejection.
The FX Global Code sets out principles on last-look transparency, and many LPs publish disclosure statements. Some brokers offer firm "no last look" liquidity, usually at slightly wider spreads.
Have you experienced rejections that you suspect were due to last look?
Most retail scalpers never see last look directly. What shows up is an off quotes message or a market order filling a beat later at a worse price.
The test I ran was crude but useful. I logged requested price, fill and the mid one second later on about 400 market orders over six weeks, then split them by whether price moved my way or against me in the first 100 ms.
Rejections were rare in the quiet Asian hours, under 2 percent. In the first ten seconds after US data they jumped to roughly one order in eight, and nearly all of those were orders where price had ticked in my favour.
That asymmetry is what to look for, more than the window length itself. A symmetric 50 ms hold that also rejects when the trader is on the wrong side is annoying but fair, while a one sided hold is a hidden cost on every good entry.
I would also check whether positive slippage is ever passed back. If your fills only ever slip against you, the disclosure statement matters less than moving to firm liquidity at a slightly wider spread. Has any broker ever told you its hold time as an actual number?
