Last Look Hold Window Sequence

How to Read This Diagram

When a client order reaches the LP, instead of immediate execution, the LP holds the order for a brief hold window (typically 5-200 milliseconds). During this window, the LP checks whether the market has moved since the quote was issued.

If the market has moved in the client's favor (against the LP), the LP may reject the order. If the market is stable or has moved in the LP's favor, the order is accepted. This creates an asymmetric outcome: clients bear the cost of adverse moves but don't benefit from favorable moves during the hold window.

Hold Window Duration

• Tier-1 banks: Typically 5-25ms. Shorter windows signal higher confidence and better technology.
• Non-bank LPs: Often 10-50ms. May vary based on market conditions.
• Aggressive last-look: 100-200ms+. These extended windows allow the LP to observe significant market movement, substantially increasing rejection rates.

The Asymmetric Slippage Problem

Last look creates a structural asymmetry: when the market moves against the client during the hold window, the LP rejects and the client must resubmit at a worse price. When the market moves in the client's favor, the LP accepts at the original (less favorable to client) price. Over thousands of trades, this creates a measurable negative expected value for the client, even if individual slippage amounts are small.

No-Last-Look Alternatives

Some venues and LPs offer "firm" or "no-last-look" pricing where the quoted price is the executed price with no hold window. These quotes typically carry wider spreads to compensate the LP for the execution risk, but eliminate the asymmetric rejection problem. Clients trading during volatile conditions often achieve better effective execution on no-last-look venues despite the wider quoted spread.