Last look and why some fills feel one-sided

[Shadow Trader]

Last look is one of those liquidity-provider features that rarely gets explained in retail forums. In simple terms, a market maker sends out a quote but keeps a short window after the order arrives to accept or reject it, depending on whether the price moved against them during that window.

For a scalper chasing two or three pips, that window matters. If the price ticks in your favour during the hold, the order can get rejected or repriced. If it ticks against you, the fill goes straight through. Over hundreds of trades this creates a quiet bias in fill quality that no single trade ever reveals.

The way to spot it is to log requested price versus filled price on every entry, then split the results by what the market did right after the click. If slippage only ever shows up on the side that hurts, that pattern is worth noticing.

Some venues advertise pools without last look, and the difference in rejection behaviour can show up within a week of side-by-side testing.

A related wrinkle is the length of the hold itself. Some liquidity providers publish a typical last look window in milliseconds, while others stay vague, and a longer window leaves more room for price to drift before the decision is made. Brokers that spell out their providers' practices in the execution policy are easier to evaluate than those that do not.

The effect also varies by pair. It tends to matter more on volatile or thinly traded pairs, where price can move meaningfully within a few hundred milliseconds, and less on the deepest majors during quiet hours. Splitting the log by pair and by volatility at the time of the order often shows the effect concentrating in a few specific conditions, which is far more useful than a single account-wide average.

Has anyone compared fill statistics between a last-look broker and a no-last-look one on the same strategy?