# Can the Data from RTS 27 Reports Be Used to Demonstrate Adherence to the Code's Last Look Principles? ▴ Question

**Published:** 2025-08-05
**Categories:** Question

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![A sophisticated teal and black device with gold accents symbolizes a Principal's operational framework for institutional digital asset derivatives. It represents a high-fidelity execution engine, integrating RFQ protocols for atomic settlement](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-core-engine-for-best-execution.jpg)

![Geometric shapes symbolize an institutional digital asset derivatives trading ecosystem. A pyramid denotes foundational quantitative analysis and the Principal's operational framework](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-execution-system-microstructure.jpg)

## Concept

An institution’s ability to demonstrate adherence to market codes is a direct reflection of its operational architecture. The assertion that data from Regulatory Technical Standard 27 (RTS 27) reports can be used to substantiate conformity with the [FX Global Code](https://prime.greeks.live/area/fx-global-code/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)’s principles on last look is a query into the interoperability of two distinct, yet philosophically aligned, frameworks. One is a mandated public disclosure regime born from MiFID II, designed to bring transparency to [execution quality](https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

The other is a principles-based code of conduct, established to foster integrity and fairness in the global wholesale foreign exchange market. The core of the issue resides in understanding the data’s inherent capabilities and its limitations when mapped against the behavioral expectations outlined in the Code.

[RTS 27](https://prime.greeks.live/area/rts-27/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) reports provide a quantitative snapshot of execution performance from a specific venue. They offer metrics on price, costs, speed, and the likelihood of execution for individual financial instruments. These are the raw materials, the elemental data points that describe the observable outcomes of a transaction lifecycle. They document what happened, when it happened, and at what cost.

For an entity employing [last look](https://prime.greeks.live/area/last-look/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), these reports offer a foundational layer of transparency, publishing aggregated data that can be scrutinized by clients and regulators alike. The reports, in essence, create a public ledger of a venue’s execution characteristics.

> RTS 27 reports offer a public, quantitative baseline of execution metrics, while the FX Global Code provides the ethical and behavioral framework for interpreting those metrics in the context of last look.

The FX Global Code, particularly its Principle 17, operates on a higher plane of abstraction. It addresses the intent and fairness of the last look process. The Code is concerned with the ‘why’ behind an execution outcome. It dictates that last look should be a [risk control](https://prime.greeks.live/area/risk-control/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) mechanism for price and validity checks, not a tool for generating revenue from information asymmetry.

It proscribes trading activity that utilizes information from a client’s request during the [last look window](https://prime.greeks.live/area/last-look-window/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). This principle delves into the conduct of the market participant, a dimension of behavior that raw quantitative data alone cannot fully illuminate.

Therefore, the challenge is one of translation. Can the ‘what’ described by RTS 27 data be effectively used to infer the ‘why’ required by the FX Global Code? The data can show that a trade was rejected or that the price slipped between the request and the final execution. It cannot, on its own, prove that the rejection was a legitimate risk control measure or that the [price slippage](https://prime.greeks.live/area/price-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) was the result of fair, symmetrical application of a pre-disclosed policy.

This is the critical gap. Using RTS 27 data to demonstrate adherence is an exercise in building a robust analytical framework that correlates statistical outcomes with the behavioral principles of the Code. It requires moving from data reporting to data intelligence.

![Abstract forms illustrate a Prime RFQ platform's intricate market microstructure. Transparent layers depict deep liquidity pools and RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-rfq-for-institutional-digital-asset-derivatives-primeos.jpg)

![An intricate, transparent cylindrical system depicts a sophisticated RFQ protocol for digital asset derivatives. Internal glowing elements signify high-fidelity execution and algorithmic trading](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-protocol-architecture.jpg)

## Strategy

A strategic framework for leveraging RTS 27 data to monitor last look practices requires a systematic approach that transcends simple data collection. The objective is to construct an analytical model that uses the quantitative outputs of RTS 27 to build a mosaic of a [liquidity provider](https://prime.greeks.live/area/liquidity-provider/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)’s behavior, which can then be assessed against the principles of the FX Global Code. This strategy is predicated on data aggregation, the definition of specific key performance indicators (KPIs), and a structured comparative analysis.

![A polished, dark teal institutional-grade mechanism reveals an internal beige interface, precisely deploying a metallic, arrow-etched component. This signifies high-fidelity execution within an RFQ protocol, enabling atomic settlement and optimized price discovery for institutional digital asset derivatives and multi-leg spreads, ensuring minimal slippage and robust capital efficiency](https://options.greeks.live/wp-content/uploads/2025/08/quantitative-finance-driven-rfq-workflow-for-best-execution-in-digital-assets.jpg)

## Data Aggregation and Normalization

The first strategic step is the aggregation and normalization of RTS 27 reports. These reports are published by individual execution venues, including Systematic Internalisers and other liquidity providers. A significant challenge is the lack of a standardized format; reports can be in XML or CSV, with varying interpretations of the required fields.

An effective strategy must therefore begin with the implementation of a system capable of ingesting these disparate reports and transforming them into a unified, analyzable dataset. This normalized database becomes the foundational asset upon which all subsequent analysis is built.

This process involves mapping the various fields from different provider reports to a single, coherent schema. Key data points to extract and standardize include:

- **Instrument Identification** ▴ Ensuring consistent identification of currency pairs across all reports.

- **Timestamps** ▴ Normalizing all timestamps to a common standard (e.g. UTC) to allow for accurate latency calculations.

- **Price and Cost Data** ▴ Aggregating data from RTS 27 Tables 3, 4, and 5, which detail intra-day prices, end-of-day prices, and costs.

- **Execution Likelihood Data** ▴ Compiling information from Table 6, which provides insight into the number of orders or requests received, accepted, and executed.

![A polished metallic modular hub with four radiating arms represents an advanced RFQ execution engine. This system aggregates multi-venue liquidity for institutional digital asset derivatives, enabling high-fidelity execution and precise price discovery across diverse counterparty risk profiles, powered by a sophisticated intelligence layer](https://options.greeks.live/wp-content/uploads/2025/08/principal-rfq-hub-digital-asset-derivatives-liquidity-aggregation.jpg)

## Developing Key Performance Indicators for Last Look

With a normalized dataset, the next step is to develop specific KPIs that act as proxies for the behaviors addressed in the FX Global Code’s Principle 17. These KPIs are derived from the raw RTS 27 data but are designed to flag statistical anomalies that may warrant further investigation. The goal is to translate the Code’s principles into measurable metrics.

Key KPIs include:

- 
**[Hold Time](https://prime.greeks.live/area/hold-time/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Analysis** ▴ While RTS 27 does not explicitly provide the ‘hold time’ of a last look window, it does provide data on the speed of execution. By analyzing the distribution of execution speeds, a firm can identify outliers. A consistently long execution time for a particular provider, especially when correlated with trade rejections, could indicate that the last look window is being used for purposes other than a simple price and validity check.

- 
**Price Slippage Analysis** ▴ RTS 27 reports contain detailed price information. A critical KPI is the measurement of price slippage, which is the difference between the price at the time of the trade request and the final execution price. The analysis should focus on the symmetry of this slippage.
Does the liquidity provider pass on price improvements as readily as they pass on price deteriorations? [Asymmetrical slippage](https://prime.greeks.live/area/asymmetrical-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), where the client is consistently disadvantaged, is a strong indicator of unfair last look practices.

- 
**[Rejection Rate](https://prime.greeks.live/area/rejection-rate/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Correlation** ▴ The likelihood of execution data in RTS 27 Table 6 is fundamental. This KPI involves correlating trade [rejection rates](https://prime.greeks.live/area/rejection-rates/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) with market volatility. While a higher rejection rate during volatile periods can be a legitimate use of last look as a risk control, a consistently high rejection rate in stable market conditions, or a rate that is an outlier compared to peers, requires justification from the liquidity provider.

![A precision-engineered interface for institutional digital asset derivatives. A circular system component, perhaps an Execution Management System EMS module, connects via a multi-faceted Request for Quote RFQ protocol bridge to a distinct teal capsule, symbolizing a bespoke block trade](https://options.greeks.live/wp-content/uploads/2025/07/precision-engineered-interface-for-institutional-digital-asset-derivatives-request-for-quote-protocol-high-fidelity-execution-within-principal-operating-system.jpg)

## How Can Data Reveal Adherence to the Code?

The core of the strategy lies in using these KPIs within a comparative framework. By benchmarking liquidity providers against each other using the normalized RTS 27 data, a firm can identify which providers are statistical outliers. This data-driven approach moves the conversation with a provider from a subjective discussion about fairness to an objective review of their execution statistics. A provider with significantly longer hold times, more asymmetrical slippage, and higher rejection rates than its peers can be asked to provide a qualitative explanation for these discrepancies, referencing their disclosed last look policies.

The following table illustrates how the principles of the FX Global Code can be mapped to the data available in RTS 27 reports, forming the basis of this strategic analysis.

| FX Global Code Principle 17 Guidance | Relevant RTS 27 Data Fields/Tables | Analytical Approach | Potential Inference |
| --- | --- | --- | --- |
| Transparency of Use ▴ Market participants should be transparent regarding the use of last look and provide appropriate disclosures. | Table 1 ▴ Venue Information. Table 6 ▴ Likelihood of execution. | Compare rejection rates from Table 6 with the provider’s disclosed last look policy. High rejection rates may contradict claims of a “light touch” last look. | A disconnect between disclosed policy and statistical outcomes suggests a lack of transparency. |
| Risk Control Mechanism ▴ Last look should be a risk control for verifying validity and/or price. | Table 3 ▴ Intra-day price. Table 6 ▴ Likelihood of execution. Speed of execution metrics. | Analyze hold times (inferred from execution speed) and rejection rates, correlating them with market volatility data. | Consistently long hold times or high rejection rates in low-volatility environments may indicate use beyond simple risk control. |
| No Information Gathering ▴ Last look should not be used for information gathering with no intention to trade. | Table 6 ▴ Number of requests received vs. executed. | Calculate the overall fill ratio for a provider. A very low fill ratio compared to peers could be a red flag. | A pattern of receiving many requests but executing few may suggest information gathering. |
| Confidential Information ▴ Trading activity should not utilize information from the client’s trade request during the last look window. | Table 3 ▴ Price information. Table 6 ▴ Likelihood of execution. | Analyze for asymmetrical price slippage. Does the provider reject trades when the market moves against them, but accept when it moves in their favor? | A consistent pattern of negative slippage for the client is a strong indicator that information from the trade request is being used to the provider’s advantage. |

This strategic framework allows an institution to build a defensible, evidence-based process for evaluating liquidity provider adherence to the FX Global Code. It transforms the public, and often cumbersome, RTS 27 data into a powerful internal governance and risk management tool.

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## Execution

The execution of a robust monitoring system for last look practices using RTS 27 data is a multi-stage process that requires significant technical and analytical capabilities. It moves from the theoretical strategy to the practical implementation of data pipelines, quantitative models, and reporting dashboards. This is where the architectural vision is translated into a functional, operational reality.

![A multi-layered, circular device with a central concentric lens. It symbolizes an RFQ engine for precision price discovery and high-fidelity execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-for-precision-execution.jpg)

## Quantitative Modeling of Last Look Behavior

The central pillar of the execution phase is the development of quantitative models to analyze the aggregated RTS 27 data. These models are designed to detect patterns and outliers that would be invisible in a simple review of the raw reports. The analysis must be granular, systematic, and statistically rigorous.

![An abstract composition of interlocking, precisely engineered metallic plates represents a sophisticated institutional trading infrastructure. Visible perforations within a central block symbolize optimized data conduits for high-fidelity execution and capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-multi-leg-execution-layer.jpg)

## Hold Time and Latency Profile Analysis

While RTS 27 does not provide a direct “hold time” field, a proxy can be engineered by analyzing the “speed of execution” metrics provided in the reports. The first step is to create a latency profile for each liquidity provider (LP). This involves plotting a distribution of their execution speeds for a given currency pair and trade size.

> A detailed quantitative analysis of RTS 27 data, focusing on hold time, price slippage, and rejection rate correlations, is the primary mechanism for identifying potential deviations from the FX Global Code’s last look principles.

The table below presents a hypothetical analysis of [execution speed](https://prime.greeks.live/area/execution-speed/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) data extracted and aggregated from multiple RTS 27 reports for a standard EUR/USD transaction of 1 million.

| Liquidity Provider | Transaction Count | Median Execution Speed (ms) | 95th Percentile Speed (ms) | 99th Percentile Speed (ms) | Standard Deviation of Speed (ms) |
| --- | --- | --- | --- | --- | --- |
| LP A | 15,234 | 2.5 | 15.8 | 45.2 | 8.1 |
| LP B | 12,876 | 3.1 | 18.2 | 51.7 | 9.5 |
| LP C (Outlier) | 14,567 | 8.9 | 150.4 | 480.1 | 75.3 |
| LP D | 16,012 | 2.8 | 16.5 | 48.9 | 8.8 |

In this model, LP C is immediately identifiable as an outlier. Its median execution speed is significantly higher, but more telling are the 95th and 99th percentile speeds. These figures suggest that while many trades are executed relatively quickly, a material number of trades are being held for an exceptionally long time. This long tail distribution is a quantitative red flag.

It provides a concrete data point to begin a discussion with LP C about the nature of their last look window and why certain trades experience such high latency. This data allows a firm to ask a precise question ▴ “What are the circumstances under which 5% of our trade requests are taking longer than 150 milliseconds to process?”

![A precision-engineered component, like an RFQ protocol engine, displays a reflective blade and numerical data. It symbolizes high-fidelity execution within market microstructure, driving price discovery, capital efficiency, and algorithmic trading for institutional Digital Asset Derivatives on a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-execution-engine-core-for-institutional-digital-asset-derivatives-rfq-protocol-price-discovery.jpg)

## Symmetrical Price Slippage Modeling

The next critical model is the analysis of price slippage. This model assesses the fairness of the price check during the last look window. It requires data on the price at the time of the request and the final executed price.

While RTS 27 provides aggregated price data, a truly effective analysis often requires supplementing this with the firm’s own [transaction cost analysis](https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (TCA) data for greater granularity. The model calculates slippage for every trade and then analyzes the distribution of that slippage.

The key is to test for symmetry. A fair last look process, applied consistently as a risk control, should result in a roughly symmetrical distribution of slippage around zero. The provider should be just as likely to pass on a price improvement (positive slippage for the client) as they are to pass on a price deterioration (negative slippage for the client).

![Modular institutional-grade execution system components reveal luminous green data pathways, symbolizing high-fidelity cross-asset connectivity. This depicts intricate market microstructure facilitating RFQ protocol integration for atomic settlement of digital asset derivatives within a Principal's operational framework, underpinned by a Prime RFQ intelligence layer](https://options.greeks.live/wp-content/uploads/2025/07/modular-high-fidelity-execution-architecture-for-institutional-digital-asset-derivatives-rfq-protocol-integration-and-principals-operational-framework-optimization.jpg)

## What Does Asymmetrical Slippage Indicate?

Asymmetrical slippage, where the distribution is skewed towards negative outcomes for the client, strongly suggests that the last look process is being used opportunistically. It implies that the provider is rejecting trades when the market moves against them (protecting themselves from a loss) but holding the client to the original price when the market moves in their favor (capturing the profit for themselves). This directly contravenes the spirit and letter of the FX Global Code.

An analysis might produce the following summary statistics:

- **LP A** ▴ Mean Slippage ▴ +0.01 pips; Skewness ▴ 0.05 (Symmetrical)

- **LP B** ▴ Mean Slippage ▴ -0.15 pips; Skewness ▴ -1.2 (Highly Asymmetrical)

The data for LP B provides quantitative evidence of a potential issue. The negative mean slippage and high negative skewness are objective data points that demonstrate the client is, on average, receiving worse execution from this provider due to their last look practices.

![An abstract system depicts an institutional-grade digital asset derivatives platform. Interwoven metallic conduits symbolize low-latency RFQ execution pathways, facilitating efficient block trade routing](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-rfq-execution-engine.jpg)

## Building an Internal Compliance Dashboard

The final execution step is to operationalize this analysis by building an internal compliance dashboard. This tool is for the [Best Execution](https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Committee, compliance officers, and traders. It should visualize the KPIs and model outputs in an intuitive way. The dashboard should allow users to:

- 
**View LP Scorecards** ▴ A summary view for each liquidity provider, showing their key metrics (latency profile, slippage symmetry, rejection rates) against the peer group average.

- 
**Set Alert Thresholds** ▴ The system should allow compliance to set thresholds for each KPI. If a provider’s 99th percentile hold time exceeds 200ms, or their slippage skewness falls below -1.0, an automated alert is generated for review.

- 
**Drill Down into Data** ▴ Users should be able to click on an anomalous result and see the underlying aggregated data that generated it. While RTS 27 is aggregated, the ability to see the data for a specific instrument on a specific day is crucial for investigating issues.

By executing this three-part process ▴ quantitative modeling, deep analysis of specific behaviors like slippage, and the creation of an operational dashboard ▴ a firm can transform the raw, public data of RTS 27 into a sophisticated, internal system for monitoring adherence to the FX Global Code. It creates a structured, defensible, and data-driven process for ensuring fair treatment from liquidity providers.

![A central glowing core within metallic structures symbolizes an Institutional Grade RFQ engine. This Intelligence Layer enables optimal Price Discovery and High-Fidelity Execution for Digital Asset Derivatives, streamlining Block Trade and Multi-Leg Spread Atomic Settlement](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-microstructure-core.jpg)

## References

- Global Foreign Exchange Committee. “Execution Principles Working Group Report on Last Look.” 2021.

- European Securities and Markets Authority. “MiFID II/MiFIR review report on the development in prices for pre- and post-trade data and on the consolidated tape for equity instruments.” 2020.

- The Investment Association. “Guide to the FX Global Code.” 2019.

- Barclays Investment Bank. “MiFID II RTS 27 Quality of Execution Reporting.” 2022.

- SteelEye. “ESMA publishes review on MiFID II best execution reports.” 2021.

- ICMA. “MiFID II/R Fixed Income Best Execution Requirements.” 2016.

- Tradeweb. “Best Execution Under MiFID II and the Role of Transaction Cost Analysis in the Fixed Income Markets.” 2017.

- Giraud, Jean-René, and Catherine D’Hondt. “On the importance of Transaction Costs Analysis.” EDHEC Risk and Asset Management Research Centre, 2006.

![A sophisticated institutional-grade device featuring a luminous blue core, symbolizing advanced price discovery mechanisms and high-fidelity execution for digital asset derivatives. This intelligence layer supports private quotation via RFQ protocols, enabling aggregated inquiry and atomic settlement within a Prime RFQ framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-core-intelligence.jpg)

## Reflection

The successful integration of RTS 27 data into a compliance framework for the FX Global Code is more than a regulatory exercise. It represents a fundamental shift in how an institution approaches its own operational intelligence. The data itself is a commodity, publicly available and often unwieldy.

The true value is unlocked in the architecture of the analytical system built upon it. This system becomes a lens, focusing disparate data points into a coherent picture of counterparty behavior.

Consider the framework not as a static compliance tool, but as a dynamic component of your firm’s overall liquidity sourcing strategy. The insights generated from this analysis should feed directly back into your execution protocols. Which providers offer genuine risk-transfer pricing?

Which counterparties exhibit patterns that increase implicit trading costs? The answers to these questions, derived from a rigorous and systematic analysis, allow for the intelligent routing of orders and the cultivation of a higher-quality liquidity pool.

Ultimately, the question of adherence to the Code is a question of trust. The framework detailed here provides a method for verifying that trust with quantitative evidence. It transforms the principles of the Code from abstract ideals into measurable benchmarks. The challenge now is to look at your own data architecture.

Does it merely collect information, or does it generate intelligence? The answer will define your firm’s capacity to navigate the complexities of modern market structure and secure a durable competitive edge.

![A sophisticated digital asset derivatives RFQ engine's core components are depicted, showcasing precise market microstructure for optimal price discovery. Its central hub facilitates algorithmic trading, ensuring high-fidelity execution across multi-leg spreads](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-optimizing-multi-leg-spreads-for-optimal-capital-efficiency.jpg)

## Glossary

<a href="https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A transparent, blue-tinted sphere, anchored to a metallic base on a light surface, symbolizes an RFQ inquiry for digital asset derivatives. A fine line represents low-latency FIX Protocol for high-fidelity execution, optimizing price discovery in market microstructure via Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-rfq-protocol-sphere-high-fidelity-execution-gateway.jpg)

## Execution Quality

Meaning ▴ Execution Quality quantifies the efficacy of an order's fill, assessing how closely the achieved trade price aligns with the prevailing market price at submission, alongside consideration for speed, cost, and market impact. </a><a href="https://prime.greeks.live/area/fx-global-code/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated, modular mechanical assembly illustrates an RFQ protocol for institutional digital asset derivatives. Reflective elements and distinct quadrants symbolize dynamic liquidity aggregation and high-fidelity execution for Bitcoin options](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-architecture.jpg)

## Fx Global Code

Meaning ▴ The FX Global Code represents a comprehensive set of global principles of good practice for the wholesale foreign exchange market. </a><a href="https://prime.greeks.live/area/rts-27/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated institutional digital asset derivatives platform unveils its core market microstructure. Intricate circuitry powers a central blue spherical RFQ protocol engine on a polished circular surface](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-prime-os-unveiling-rfq-protocol-engine-market-microstructure-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## Rts 27

Meaning ▴ RTS 27 mandates that investment firms and market operators publish detailed data on the quality of execution of transactions on their venues. </a><a href="https://prime.greeks.live/area/last-look/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, multi-layered institutional crypto derivatives platform interface, featuring a transparent intelligence layer for real-time market microstructure analysis. Buttons signify RFQ protocol initiation for block trades, enabling high-fidelity execution and optimal price discovery within a robust Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/institutional-crypto-derivatives-os-precision-execution-rfq-protocol-intelligence-layer.jpg)

## Last Look

Meaning ▴ Last Look refers to a specific latency window afforded to a liquidity provider, typically in electronic over-the-counter markets, enabling a final review of an incoming client order against real-time market conditions before committing to execution. </a><a href="https://prime.greeks.live/area/risk-control/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A segmented teal and blue institutional digital asset derivatives platform reveals its core market microstructure. Internal layers expose sophisticated algorithmic execution engines, high-fidelity liquidity aggregation, and real-time risk management protocols, integral to a Prime RFQ supporting Bitcoin options and Ethereum futures trading](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-core-microstructure.jpg)

## Risk Control

Meaning ▴ Risk Control defines systematic policies, procedures, and technological mechanisms to identify, measure, monitor, and mitigate financial and operational exposures in institutional digital asset derivatives. </a><a href="https://prime.greeks.live/area/last-look-window/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intricate mechanisms represent a Principal's operational framework, showcasing market microstructure of a Crypto Derivatives OS. Transparent elements signify real-time price discovery and high-fidelity execution, facilitating robust RFQ protocols for institutional digital asset derivatives and options trading](https://options.greeks.live/wp-content/uploads/2025/07/principal-rfq-protocol-engine-for-institutional-digital-asset-derivatives.jpg)

## Last Look Window

Meaning ▴ The Last Look Window defines a finite temporal interval granted to a liquidity provider following the receipt of an institutional client's firm execution request, allowing for a final re-evaluation of market conditions and internal inventory before trade confirmation. </a><a href="https://prime.greeks.live/area/price-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A multi-layered, institutional-grade device, poised with a beige base, dark blue core, and an angled mint green intelligence layer. This signifies a Principal's Crypto Derivatives OS, optimizing RFQ protocols for high-fidelity execution, precise price discovery, and capital efficiency within market microstructure](https://options.greeks.live/wp-content/uploads/2025/08/principal-digital-asset-derivatives-rfq-execution-system-intelligence.jpg)

## Price Slippage

Meaning ▴ Price slippage denotes the difference between the expected price of a trade and the price at which the trade is actually executed. </a><a href="https://prime.greeks.live/area/liquidity-provider/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A central luminous, teal-ringed aperture anchors this abstract, symmetrical composition, symbolizing an Institutional Grade Prime RFQ Intelligence Layer for Digital Asset Derivatives. Overlapping transparent planes signify intricate Market Microstructure and Liquidity Aggregation, facilitating High-Fidelity Execution via Automated RFQ protocols for optimal Price Discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-prime-os-intelligence-layer.jpg)

## Liquidity Provider

Meaning ▴ A Liquidity Provider is an entity, typically an institutional firm or professional trading desk, that actively facilitates market efficiency by continuously quoting two-sided prices, both bid and ask, for financial instruments. </a><a href="https://prime.greeks.live/area/hold-time/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek system component displays a translucent aqua-green sphere, symbolizing a liquidity pool or volatility surface for institutional digital asset derivatives. This Prime RFQ core, with a sharp metallic element, represents high-fidelity execution through RFQ protocols, smart order routing, and algorithmic trading within market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-core-for-high-fidelity-execution.jpg)

## Hold Time

Meaning ▴ Hold Time defines the minimum duration an order must remain active on an exchange's order book. </a><a href="https://prime.greeks.live/area/asymmetrical-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sophisticated metallic and teal mechanism, symbolizing an institutional-grade Prime RFQ for digital asset derivatives. Its precise alignment suggests high-fidelity execution, optimal price discovery via aggregated RFQ protocols, and robust market microstructure for multi-leg spreads](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-precision-execution.jpg)

## Asymmetrical Slippage

Meaning ▴ Asymmetrical slippage describes a differential price deviation observed when executing orders of equivalent size and market impact potential, where the deviation is directionally biased. </a><a href="https://prime.greeks.live/area/rejection-rates/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intersecting metallic structures symbolize RFQ protocol pathways for institutional digital asset derivatives. They represent high-fidelity execution of multi-leg spreads across diverse liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-framework-optimizing-multi-leg-spreads-and-liquidity-aggregation-for-best-execution.jpg)

## Rejection Rates

Meaning ▴ Rejection Rates quantify the proportion of order messages or trading instructions that a trading system, execution venue, or counterparty declines relative to the total number of submissions within a defined period. </a><a href="https://prime.greeks.live/area/rejection-rate/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A light sphere, representing a Principal's digital asset, is integrated into an angular blue RFQ protocol framework. Sharp fins symbolize high-fidelity execution and price discovery](https://options.greeks.live/wp-content/uploads/2025/07/principals-core-asset-rfq-protocol-framework-for-digital-derivatives.jpg)

## Rejection Rate

Meaning ▴ Rejection Rate quantifies the proportion of submitted orders or requests that are declined by a trading venue, an internal matching engine, or a pre-trade risk system, calculated as the ratio of rejected messages to total messages or attempts over a defined period. </a><a href="https://prime.greeks.live/area/execution-speed/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![The abstract visual depicts a sophisticated, transparent execution engine showcasing market microstructure for institutional digital asset derivatives. Its central matching engine facilitates RFQ protocol execution, revealing internal algorithmic trading logic and high-fidelity execution pathways](https://options.greeks.live/wp-content/uploads/2025/07/principal-rfq-engine-for-institutional-digital-asset-derivatives.jpg)

## Execution Speed

Meaning ▴ Execution Speed refers to the temporal interval between the initiation of an order transmission and the definitive confirmation of its processing, whether as a fill, partial fill, or rejection, by a market venue or counterparty. </a><a href="https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A reflective surface supports a sharp metallic element, stabilized by a sphere, alongside translucent teal prisms. This abstractly represents institutional-grade digital asset derivatives RFQ protocol price discovery within a Prime RFQ, emphasizing high-fidelity execution and liquidity pool optimization](https://options.greeks.live/wp-content/uploads/2025/07/digital-asset-derivatives-rfq-prime-os-microstructure-optimization.jpg)

## Transaction Cost Analysis

Meaning ▴ Transaction Cost Analysis (TCA) is the quantitative methodology for assessing the explicit and implicit costs incurred during the execution of financial trades. </a><a href="https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek device showcases a rotating translucent teal disc, symbolizing dynamic price discovery and volatility surface visualization within an RFQ protocol. Its numerical display suggests a quantitative pricing engine facilitating algorithmic execution for digital asset derivatives, optimizing market microstructure through an intelligence layer](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-for-digital-asset-rfq-execution-system-with-smart-liquidity-routing.jpg)

## Best Execution

Meaning ▴ Best Execution is the obligation to obtain the most favorable terms reasonably available for a client's order. </a>

**Tags:** [Systematic Internaliser](https://options.greeks.live/area/systematic-internaliser/), [Execution Speed](https://options.greeks.live/area/execution-speed/), [Asymmetrical Slippage](https://options.greeks.live/area/asymmetrical-slippage/), [Regulatory Reporting](https://options.greeks.live/area/regulatory-reporting/), [Transaction Cost Analysis](https://options.greeks.live/area/transaction-cost-analysis/), [Price Slippage](https://options.greeks.live/area/price-slippage/)	

## Discover More

- 
### [What Are the Regulatory Implications of Using Last Look Data in TCA and Best Execution Analysis?](https://options.greeks.live/question/what-are-the-regulatory-implications-of-using-last-look-data-in-tca-and-best-execution-analysis/)
![A sophisticated digital asset derivatives trading mechanism features a central processing hub with luminous blue accents, symbolizing an intelligence layer driving high fidelity execution. Transparent circular elements represent dynamic liquidity pools and a complex volatility surface, revealing market microstructure and atomic settlement via an advanced RFQ protocol.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-framework-optimizing-market-microstructure-price-discovery-intelligence-layer.jpg)

Last look data requires a TCA framework that quantifies the economic impact of conditional liquidity to satisfy best execution mandates.

- 
### [What Are the Primary Differences between RTS 27 and RTS 28 Reporting Obligations?](https://options.greeks.live/question/what-are-the-primary-differences-between-rts-27-and-rts-28-reporting-obligations/)
![An advanced digital asset derivatives system features a central liquidity pool aperture, integrated with a high-fidelity execution engine. This Prime RFQ architecture supports RFQ protocols, enabling block trade processing and price discovery. It manages multi-leg spreads and optimizes portfolio margin through quantitative analysis for alpha generation.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-protocol-execution-system-architecture.jpg)

RTS 27 is a venue's report on its execution quality, while RTS 28 is a firm's report on which venues it used to execute orders.

- 
### [What Are the Key Differences between Firm and Last Look Liquidity?](https://options.greeks.live/question/what-are-the-key-differences-between-firm-and-last-look-liquidity/)
![Abstract geometric planes in grey, gold, and teal symbolize a Prime RFQ for Digital Asset Derivatives, representing high-fidelity execution via RFQ protocol. It drives real-time price discovery within complex market microstructure, optimizing capital efficiency for multi-leg spread strategies.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-protocol-digital-asset-derivatives-high-fidelity-execution.jpg)

Firm liquidity offers execution certainty via a binding quote, while last look provides an optional, final review for the provider.

- 
### [What Are the Primary Risks Associated with Ambiguous Last Look Disclosures for a Portfolio Manager?](https://options.greeks.live/question/what-are-the-primary-risks-associated-with-ambiguous-last-look-disclosures-for-a-portfolio-manager/)
![A modular, institutional-grade device with a central data aggregation interface and metallic spigot. This Prime RFQ represents a robust RFQ protocol engine, enabling high-fidelity execution for institutional digital asset derivatives, optimizing capital efficiency and best execution.](https://options.greeks.live/wp-content/uploads/2025/08/principals-institutional-digital-asset-derivatives-prime-os-for-optimized-rfq-protocol-best-execution-system.jpg)

Ambiguous last look disclosures inject execution uncertainty, creating information leakage and adverse selection risks for a portfolio manager.

- 
### [From a Regulatory Perspective Is Last Look Considered a Fair Practice in Financial Markets?](https://options.greeks.live/question/from-a-regulatory-perspective-is-last-look-considered-a-fair-practice-in-financial-markets/)
![A sleek, metallic control mechanism with a luminous teal-accented sphere symbolizes high-fidelity execution within institutional digital asset derivatives trading. Its robust design represents Prime RFQ infrastructure enabling RFQ protocols for optimal price discovery, liquidity aggregation, and low-latency connectivity in algorithmic trading environments.](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-execution-control-for-optimal-market-microstructure-precision.jpg)

From a regulatory viewpoint, last look is a permissible risk control if applied fairly and transparently; otherwise, it is an unfair practice.

- 
### [What Are the Technological Challenges in Minimizing Last Look Hold Times While Ensuring Robust Risk Checks?](https://options.greeks.live/question/what-are-the-technological-challenges-in-minimizing-last-look-hold-times-while-ensuring-robust-risk-checks/)
![Precision-engineered multi-layered architecture depicts institutional digital asset derivatives platforms, showcasing modularity for optimal liquidity aggregation and atomic settlement. This visualizes sophisticated RFQ protocols, enabling high-fidelity execution and robust pre-trade analytics.](https://options.greeks.live/wp-content/uploads/2025/08/modular-digital-asset-derivative-prime-os-for-institutional-rfq-and-block-trade-execution.jpg)

Minimizing last look hold times requires a technological architecture where risk computation outpaces market arbitrage.

- 
### [What Are the Differences between Symmetric and Asymmetric Last Look in FX Markets?](https://options.greeks.live/question/what-are-the-differences-between-symmetric-and-asymmetric-last-look-in-fx-markets/)
![Abstract geometric representation of an institutional RFQ protocol for digital asset derivatives. Two distinct segments symbolize cross-market liquidity pools and order book dynamics. A central, illuminated conduit signifies high-fidelity execution, price discovery, and algorithmic trading within a Principal's operational framework, optimizing block trade settlement and capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-protocol-2.jpg)

Symmetric last look is a neutral price-check protocol, while asymmetric last look is a one-sided option benefiting the liquidity provider.

- 
### [What Are the Primary TCA Benchmarks for Evaluating Systematic Internaliser Performance?](https://options.greeks.live/question/what-are-the-primary-tca-benchmarks-for-evaluating-systematic-internaliser-performance/)
![A luminous digital market microstructure diagram depicts intersecting high-fidelity execution paths over a transparent liquidity pool. A central RFQ engine processes aggregated inquiries for institutional digital asset derivatives, optimizing price discovery and capital efficiency within a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-principal-operational-framework-price-discovery.jpg)

Systematic Internaliser TCA benchmarks quantify the trade-off between price improvement and the risks of bilateral liquidity.

- 
### [What Are the Primary Data Requirements for Building an Effective Last Look Tca Model?](https://options.greeks.live/question/what-are-the-primary-data-requirements-for-building-an-effective-last-look-tca-model/)
![A precision probe, symbolizing Smart Order Routing, penetrates a multi-faceted teal crystal, representing Digital Asset Derivatives multi-leg spreads and volatility surface. Mounted on a Prime RFQ base, it illustrates RFQ protocols for high-fidelity execution within market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-digital-asset-derivatives-high-fidelity-execution-probe.jpg)

A Last Look TCA model requires high-precision, synchronized timestamps of the entire trade lifecycle to quantify provider hold times and rejection costs.

---

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---

**Original URL:** https://options.greeks.live/question/can-the-data-from-rts-27-reports-be-used-to-demonstrate-adherence-to-the-codes-last-look-principles/
