Last look rejections are not the same thing as slippage

[Fairman]

Last look rejections are not the same thing as slippage

Picture a scalper aiming for 1.5 pips on EURUSD. The entry button gets clicked, the spinner flickers for a blink, and the order either fills or comes back rejected. Over a couple of hundred trades a strange pattern shows up in the log: the rejected orders are the ones where price jumped in the trader's favour right after the click.

That is the whole point of last look. A liquidity provider gets a short window, sometimes 20 to 200 milliseconds, to decide whether to honour a quote after the order arrives. If the market ticked their way, the fill goes through. If it ticked against them, the order bounces. It works like a free option handed to the other side.

Slippage is different. Slippage gives a fill, just not at the quoted price, and in a clean setup it should go both ways. Rejection gives nothing, and it cannot be measured by looking at fill prices because the evidence is the trade that never happened.

The only way to catch it is to log every rejected order with the price at click and the price one second later. After a few weeks, split rejected orders into those where price moved for and against the trade. A heavy lean one way says plenty.

Some brokers disclose last look policies in their execution documents, usually in a section nobody reads. Worth a look before funding anything.

Has a rejection log ever shown a lean like that on your account?