Last look rejections tend to show up when price is moving your way

[Amanhasnoname]

Some liquidity providers keep a short window after receiving an order where they can accept or decline it. That window is called last look, and it exists so the provider doesn't get picked off by a stale quote. In practice, it means orders sent in the direction price just moved are the ones most likely to bounce back.

Think about it from the provider's side. If the market ticked up and a buy order arrives at the old, cheaper price, accepting it is a guaranteed loss. If the market ticked down, the same order is welcome. So rejections and delays pile up on exactly the entries a momentum scalper wants most.

Worth checking: the gap between order sent and order filled on winning trades versus losing ones, and whether rejections climb during fast ticks. A simple timestamp log shows a pattern within a couple of weeks.

One more wrinkle: during quiet periods rejections almost vanish, which makes the problem look rare. That is why the sample should include fast-tick minutes specifically, not a whole month averaged together. The average hides exactly the moments that hurt.

Most brokers describe their last-look policy somewhere in the execution policy PDF. Has anyone actually compared fill times on winners and losers in their own logs?