What "off quotes" is really telling you during fast markets

[Amanhasnoname]

The "off quotes" error shows up exactly when a fill matters most: a data release, a surprise headline, a thin Sunday open. It means the server has no valid price to offer for the instrument at that moment, or that the price it has sits outside its own tolerance. Prices are not necessarily frozen, just not tradeable.

Two situations are worth separating. If the chart keeps ticking while orders return off quotes, the quote stream and the execution stream are out of step, which says something about the setup. If the chart goes quiet as well, the liquidity behind it has pulled, which is common for a few seconds around big prints.

What to do about it is mostly rule-making in advance. A retry loop that hammers the server every 50 ms through a release adds load and rarely helps. A capped retry with a pause of a second or so, and a rule that abandons the signal after, say, three seconds, is saner, because a signal that late has different expectancy anyway.

Also worth knowing: the first fill after off quotes tends to be the worst price of the sequence, because the book has just reopened with a gap. If entries are the issue, skipping that first window is sometimes the cheapest fix.

Is a capped retry or a flat skip the better response to off quotes on news?