last look and why a limit fill differs from a market fill
Posted: Fri Oct 30, 2026 11:03 am
Some liquidity providers use a short last-look window. After an order arrives at a quoted price, they get a brief moment to check whether that price is still acceptable before confirming. The window is usually measured in milliseconds, and practice varies by venue. Industry codes of conduct have tightened how it should be used.
For a retail scalper it rarely appears as a label. It shows up as behaviour. A market order during movement gets filled a pip off. A limit order sits untouched while price trades through it, or fills only when price comes back.
The asymmetry is where suspicion starts. If rejections or delays cluster on trades that would've been winners, that looks like last look working against the client. Whether it really happens depends on the venue, the rules and the broker's own routing in between, which no retail trader can see.
So skip the accusations and measure. Log requested versus filled price on both order types, split by direction, and check whether slippage is symmetrical. A few hundred fills say more than a feeling.
Worth separating two situations that look similar. A fill a pip worse during a fast move is normal market behaviour. A fill a pip worse on a quiet minute, with a tight spread and nothing scheduled, is the one that raises questions. Context decides everything, so the log should note the spread and whether any release was due.
Does your fill data show any difference between limit and market outcomes, and how many trades did it take before the pattern showed?
For a retail scalper it rarely appears as a label. It shows up as behaviour. A market order during movement gets filled a pip off. A limit order sits untouched while price trades through it, or fills only when price comes back.
The asymmetry is where suspicion starts. If rejections or delays cluster on trades that would've been winners, that looks like last look working against the client. Whether it really happens depends on the venue, the rules and the broker's own routing in between, which no retail trader can see.
So skip the accusations and measure. Log requested versus filled price on both order types, split by direction, and check whether slippage is symmetrical. A few hundred fills say more than a feeling.
Worth separating two situations that look similar. A fill a pip worse during a fast move is normal market behaviour. A fill a pip worse on a quiet minute, with a tight spread and nothing scheduled, is the one that raises questions. Context decides everything, so the log should note the spread and whether any release was due.
Does your fill data show any difference between limit and market outcomes, and how many trades did it take before the pattern showed?