# How Can a Firm Prove Best Execution for an Illiquid Security with Few Available Quotes? ▴ Question

**Published:** 2025-08-09
**Categories:** Question

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![A sleek, bimodal digital asset derivatives execution interface, partially open, revealing a dark, secure internal structure. This symbolizes high-fidelity execution and strategic price discovery via institutional RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocols-price-discovery.jpg)

## Concept

Proving [best execution](https://prime.greeks.live/area/best-execution/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for an illiquid security with few available quotes is an exercise in demonstrating procedural integrity and analytical rigor in an environment defined by information scarcity. It moves the focus from a simple price comparison to a comprehensive documentation of the decision-making process. For a firm, this means constructing a defensible narrative that shows all sufficient steps were taken to achieve the best possible outcome for the client, given the challenging market conditions. The process acknowledges that in [illiquid markets](https://prime.greeks.live/question/what-are-the-key-differences-in-tca-for-lit-markets-versus-illiquid-rfq-markets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), the “best” outcome is a composite of factors including price, certainty of execution, and the minimization of adverse market impact.

The core challenge originates from the very nature of illiquid assets. Unlike their liquid counterparts, which benefit from continuous [price discovery](https://prime.greeks.live/area/price-discovery/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) on transparent exchanges, [illiquid securities](https://prime.greeks.live/area/illiquid-securities/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) often trade infrequently in opaque, over-the-counter (OTC) markets. This results in a lack of reliable, contemporaneous price data. A trader cannot simply point to the National Best Bid and Offer (NBBO) to justify an execution price.

Instead, the proof of best execution rests on the quality and thoroughness of the firm’s process. This process must be systematic, repeatable, and, most importantly, auditable. It is a shift from evidence of outcome (the best price) to evidence of process (the best effort).

![Abstract architectural representation of a Prime RFQ for institutional digital asset derivatives, illustrating RFQ aggregation and high-fidelity execution. Intersecting beams signify multi-leg spread pathways and liquidity pools, while spheres represent atomic settlement points and implied volatility](https://options.greeks.live/wp-content/uploads/2025/07/architecting-institutional-digital-asset-derivatives-trading-systems-for-optimized-rfq-execution-and-advanced-price-discovery.jpg)

## The Anatomy of Illiquidity

Understanding the specific characteristics of the security’s illiquidity is the foundational step. Illiquidity is not a monolithic concept; it manifests in various forms, each presenting unique execution challenges. A security might be illiquid due to a small float, limited investor interest, a complex structure, or because it trades in a market with few active participants. Each of these reasons requires a tailored approach to sourcing liquidity and validating price.

For instance, a corporate bond from a small, unrated issuer will have a different liquidity profile than a large block of a thinly traded equity. The former may require a manual, voice-based search for liquidity among specialized dealers, while the latter might be suitable for a carefully managed algorithmic strategy designed to minimize [market impact](https://prime.greeks.live/question/how-do-dark-pool-executions-complicate-the-calibration-of-market-impact-models-based-on-lit-market-data/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). The firm’s ability to articulate these nuances and adapt its strategy accordingly is a key component of demonstrating best execution.

![Abstract geometric planes in teal, navy, and grey intersect. A central beige object, symbolizing a precise RFQ inquiry, passes through a teal anchor, representing High-Fidelity Execution within Institutional Digital Asset Derivatives](https://options.greeks.live/wp-content/uploads/2025/07/rfq-protocols-for-digital-asset-derivatives-high-fidelity-execution-liquidity-aggregation-price-discovery-market-microstructure.jpg)

## From Price Taker to Price Discoverer

In liquid markets, traders are often price takers, executing against readily available quotes. In illiquid markets, they become price discoverers. This role reversal is central to the challenge of proving best execution. The firm must actively engage in a process of price discovery, which may involve soliciting quotes from multiple dealers, analyzing historical trade data (if available), and using internal models to estimate a [fair value](https://prime.greeks.live/area/fair-value/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

The documentation of this price discovery process is paramount. Every conversation, every quote requested, and every analytical model used becomes a piece of evidence in the best execution puzzle. This evidence demonstrates that the firm did not passively accept the first available price but actively sought to establish a fair and reasonable valuation in the absence of clear market signals.

> In the absence of continuous quotes, the quality of the execution process itself becomes the primary evidence of best execution.

The regulatory framework, particularly under regimes like [MiFID II](https://prime.greeks.live/area/mifid-ii/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), acknowledges these difficulties. It emphasizes the need for firms to take “all sufficient steps” rather than “all reasonable steps” to obtain the best result. This higher standard implies a more proactive and comprehensive approach.

It requires firms to have a formal, written [best execution policy](https://prime.greeks.live/area/best-execution-policy/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) that specifically addresses the challenges of illiquid securities. This policy should outline the factors to be considered, the venues to be used, and the methods for reviewing execution quality.

Ultimately, proving best execution for illiquid securities is about building a robust, evidence-based case. It is a testament to the firm’s professionalism, its commitment to its [fiduciary duty](https://prime.greeks.live/area/fiduciary-duty/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), and its understanding of the complex interplay between market structure, liquidity, and price. It is a demonstration of diligence in the face of uncertainty.

![Diagonal composition of sleek metallic infrastructure with a bright green data stream alongside a multi-toned teal geometric block. This visualizes High-Fidelity Execution for Digital Asset Derivatives, facilitating RFQ Price Discovery within deep Liquidity Pools, critical for institutional Block Trades and Multi-Leg Spreads on a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/high-fidelity-digital-asset-derivatives-rfq-execution-optimization-leveraging-proprietary-institutional-prime-os-for-optimal-price-discovery-and-latency-reduction.jpg)

![A precise, multi-layered disk embodies a dynamic Volatility Surface or deep Liquidity Pool for Digital Asset Derivatives. Dual metallic probes symbolize Algorithmic Trading and RFQ protocol inquiries, driving Price Discovery and High-Fidelity Execution of Multi-Leg Spreads within a Principal's operational framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-grade-rfq-protocol-mechanism-for-digital-asset-derivatives-price-discovery-and-high-fidelity-execution-via-prime-os.jpg)

## Strategy

A credible strategy for proving best execution in illiquid markets is built upon a foundation of structured processes and a multi-faceted approach to sourcing liquidity and validating price. It is a proactive framework designed to navigate information-poor environments and produce a defensible audit trail. This strategy can be broken down into three core pillars ▴ a dynamic best execution policy, a systematic [pre-trade analysis](https://prime.greeks.live/area/pre-trade-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) protocol, and a flexible approach to execution methodologies.

The starting point is a best execution policy that explicitly differentiates between liquid and illiquid assets. A generic policy is insufficient. The policy must acknowledge the unique challenges of illiquid securities and outline the specific procedures the firm will follow when trading them.

This includes identifying the range of acceptable execution venues, the methods for soliciting and documenting quotes, and the factors that will be considered when evaluating the quality of an execution. These factors extend beyond price to include the likelihood of execution, settlement risk, and the potential for market impact.

![An abstract composition featuring two intersecting, elongated objects, beige and teal, against a dark backdrop with a subtle grey circular element. This visualizes RFQ Price Discovery and High-Fidelity Execution for Multi-Leg Spread Block Trades within a Prime Brokerage Crypto Derivatives OS for Institutional Digital Asset Derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-options-rfq-for-multi-leg-spreads-price-discovery.jpg)

## A Framework for Pre-Trade Diligence

Before any order is placed, a systematic pre-trade analysis must be conducted and documented. This is the heart of the best [execution strategy](https://prime.greeks.live/guide/why-your-execution-strategy-is-as-important-as-your-trading-strategy/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for illiquid securities. The objective is to build a comprehensive picture of the available liquidity landscape and to establish a reasonable benchmark against which the final execution can be assessed. This process involves several key steps:

- **Historical Data Analysis** ▴ Even for illiquid securities, some historical trade data may exist. This data, while potentially sparse, can provide valuable context. The analysis should look at recent trades, trading volumes, and price volatility. This helps to establish a baseline valuation and to understand the security’s typical trading patterns.

- **Peer Group Comparison** ▴ In the absence of direct data, the firm can look at the trading activity of similar securities. For a corporate bond, this might involve looking at bonds from other issuers in the same industry with similar credit ratings. For an equity, it could mean analyzing the trading of peers with comparable market capitalizations and business models. This comparative analysis helps to triangulate a fair value range.

- **Indicative Quote Solicitation** ▴ The firm should solicit indicative (non-binding) quotes from a range of market makers and dealers who are active in the relevant asset class. The key is to cast a wide net to ensure a comprehensive survey of potential liquidity providers. These quotes, even if not immediately actionable, are crucial data points in the price discovery process.

- **Internal Valuation Modeling** ▴ Many firms use internal models to generate a [fair value estimate](https://prime.greeks.live/area/fair-value-estimate/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for illiquid securities. These models can range from simple discounted cash flow analyses to more complex quantitative models. The methodology and inputs for these models should be clearly documented and consistently applied.

The output of this pre-trade analysis is a “best execution file” for each order. This file should contain all the data collected, the analysis performed, and the rationale for the chosen execution strategy. It is a contemporaneous record of the firm’s diligence and serves as the primary evidence in any subsequent review.

> A documented pre-trade analysis transforms the subjective art of trading illiquids into a structured, defensible science.

![An abstract, angular sculpture with reflective blades from a polished central hub atop a dark base. This embodies institutional digital asset derivatives trading, illustrating market microstructure, multi-leg spread execution, and high-fidelity execution](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-price-discovery-system.jpg)

## Selecting the Optimal Execution Channel

With a thorough pre-trade analysis complete, the firm must then select the most appropriate execution channel. For illiquid securities, this is rarely a simple choice. The optimal channel depends on the specific characteristics of the order and the security. The firm’s strategy must be flexible enough to accommodate a range of methodologies:

- **[Request for Quote](https://prime.greeks.live/area/request-for-quote/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (RFQ)** ▴ The [RFQ process](https://prime.greeks.live/area/rfq-process/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is a common method for trading illiquid securities. It involves formally requesting quotes from a select group of dealers. For large or sensitive orders, a non-competitive RFQ, where only one dealer is approached, may be justified to minimize information leakage. The rationale for selecting the number and identity of the dealers in the RFQ process must be documented.

- **[Algorithmic Trading](https://prime.greeks.live/area/algorithmic-trading/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)** ▴ For certain types of illiquid equities, algorithmic strategies can be effective. Algorithms such as Volume-Weighted Average Price (VWAP) or Time-Weighted Average Price (TWAP) can be used to break up a large order into smaller pieces, minimizing market impact. The choice of algorithm and its parameters (e.g. participation rate, limit price) should be justified based on the pre-trade analysis.

- **[Voice Brokerage](https://prime.greeks.live/area/voice-brokerage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)** ▴ The traditional method of voice brokerage remains highly relevant for the most illiquid and complex securities. Experienced brokers often have deep relationships and unique insights into pockets of latent liquidity. The decision to use a voice broker, and the selection of that broker, should be documented, along with a record of all communications.

The following table provides a comparative overview of these execution strategies, highlighting their suitability for different scenarios:

| Execution Strategy | Primary Strengths | Key Considerations | Optimal Scenario |
| --- | --- | --- | --- |
| Request for Quote (RFQ) | Competitive pricing, direct access to dealer liquidity | Risk of information leakage, requires careful dealer selection | Illiquid corporate bonds, OTC derivatives |
| Algorithmic Trading | Minimization of market impact, systematic execution | Requires some level of continuous liquidity, potential for signaling risk | Large blocks of thinly traded equities |
| Voice Brokerage | Access to unique liquidity, expertise in complex securities | Higher commission costs, potential for human error | Highly distressed debt, esoteric structured products |

By combining a robust policy, diligent pre-trade analysis, and a flexible execution approach, a firm can construct a powerful and defensible best execution strategy. This strategy transforms the challenge of trading illiquid securities from a potential compliance liability into a demonstration of the firm’s market expertise and commitment to its clients.

![A sophisticated mechanism features a segmented disc, indicating dynamic market microstructure and liquidity pool partitioning. This system visually represents an RFQ protocol's price discovery process, crucial for high-fidelity execution of institutional digital asset derivatives and managing counterparty risk within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/advanced-digital-asset-derivatives-rfq-liquidity-aggregation-system.jpg)

![A dark, precision-engineered module with raised circular elements integrates with a smooth beige housing. It signifies high-fidelity execution for institutional RFQ protocols, ensuring robust price discovery and capital efficiency in digital asset derivatives market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-system-core-high-speed-price-discovery-module.jpg)

## Execution

The execution phase is where the strategic framework for proving best execution is put into practice. It is a meticulous, detail-oriented process that requires a combination of sophisticated technology, experienced trading personnel, and an unwavering commitment to documentation. The goal is to create an unassailable audit trail that chronicles every step taken to achieve the best possible outcome for the client. This process can be divided into three distinct stages ▴ the pre-trade workflow, the execution protocol, and the [post-trade transaction cost analysis](https://prime.greeks.live/area/post-trade-transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (TCA).

The operational integrity of the execution process relies heavily on the firm’s systems, particularly its [Order Management System](https://prime.greeks.live/area/order-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (OMS) and Execution Management System (EMS). These systems should be configured to capture all relevant data points automatically, from the initial order entry to the final fill confirmation. For illiquid securities, where much of the critical information may be communicated outside of electronic systems (e.g. via phone or instant message), the firm must have procedures in place to ensure this data is manually entered into the OMS in a timely and accurate manner.

![A futuristic system component with a split design and intricate central element, embodying advanced RFQ protocols. This visualizes high-fidelity execution, precise price discovery, and granular market microstructure control for institutional digital asset derivatives, optimizing liquidity provision and minimizing slippage](https://options.greeks.live/wp-content/uploads/2025/07/advanced-rfq-protocols-for-digital-asset-derivatives-price-discovery.jpg)

## The Pre-Trade Operational Checklist

Before an order for an illiquid security is released to a trader, a formal pre-trade checklist should be completed within the OMS. This checklist serves as a gatekeeping mechanism, ensuring that all necessary diligence has been performed. It operationalizes the pre-trade analysis strategy and creates a standardized record for every order.

- **Order Parameter Validation** ▴ Confirm all order details, including security identifier, size, and any client-specific instructions or constraints.

- **Security Characterization** ▴ Classify the security’s level of illiquidity based on predefined criteria (e.g. average daily volume, bid-ask spread, number of available quotes). This classification will trigger the appropriate execution protocol.

- **Fair Value Estimation** ▴ Generate and record a pre-trade fair [value estimate](https://prime.greeks.live/question/what-quantitative-models-do-dealers-use-to-estimate-the-probability-of-adverse-selection-in-real-time/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) using the firm’s approved methodology. This could be based on a quantitative model, a peer group analysis, or recent trade data. This estimate will serve as the primary benchmark for the execution.

- **Liquidity Source Identification** ▴ Identify and document all potential sources of liquidity. This includes electronic venues, exchanges, and a list of high-touch voice brokers or dealers known to be active in the security.

- **Execution Strategy Selection** ▴ Based on the above, the portfolio manager or head trader selects and documents the intended execution strategy (e.g. competitive RFQ, single-dealer negotiation, algorithmic approach). The rationale for this choice must be clearly articulated.

![Two spheres balance on a fragmented structure against split dark and light backgrounds. This models institutional digital asset derivatives RFQ protocols, depicting market microstructure, price discovery, and liquidity aggregation](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-price-discovery-liquidity-aggregation.jpg)

## The Execution and Documentation Protocol

During the execution phase, the trader’s primary responsibility is to work the order according to the selected strategy while meticulously documenting every action and observation. This is a real-time process of evidence gathering.

For an RFQ-based execution, the protocol is particularly detailed. The trader must log the following for each dealer included in the request:

- **Dealer Name** ▴ The legal entity of the counterparty.

- **Time of Request** ▴ A timestamp for when the quote was solicited.

- **Quote Received** ▴ The bid and/or offer provided by the dealer, including any specified size.

- **Time of Quote** ▴ A timestamp for when the quote was received.

- **Trader’s Comments** ▴ Any qualitative information gathered during the interaction, such as the dealer’s level of interest, any color on market conditions, or reasons for a wide spread.

This information is critical. It demonstrates that the firm engaged in a competitive process and provides the context necessary to understand the final [execution price](https://prime.greeks.live/question/how-can-institutions-differentiate-between-price-reversion-and-trading-along-a-genuine-price-trend/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). If a verbal quote is received, it must be documented with the same level of detail as an electronic quote. The following table illustrates what a well-documented RFQ log might look like within a firm’s OMS:

| Dealer | Time of Request (UTC) | Quote Received (Price/Size) | Time of Quote (UTC) | Trader Notes |
| --- | --- | --- | --- | --- |
| Dealer A | 14:32:15 | 98.50 / 99.00 (1M x 1M) | 14:32:45 | Firm two-way market. Indicated larger size available on the offer side. |
| Dealer B | 14:32:18 | 98.45 / 99.05 (500k x 500k) | 14:33:10 | Slightly better bid, wider offer. Less interest in providing a large quote. |
| Dealer C | 14:32:21 | No Quote | 14:34:00 | Trader on desk indicated they were restricted on the name. |
| Dealer D | 14:32:25 | 98.95 (Offer Only, 2M) | 14:33:30 | Showed an offer only. Indicated they were natural sellers from a recent client flow. |

Upon execution, the final trade details ▴ price, size, counterparty, and time ▴ are logged. The trader must then add a final comment summarizing the rationale for the execution decision (e.g. “Executed with Dealer A at 99.00, the best offer received from the competitive RFQ process. The price was also favorable compared to our pre-trade fair value estimate of 99.10.”).

> A detailed execution log transforms a trade into a story, with each entry a verifiable fact in a compelling narrative of diligence.

![A central illuminated hub with four light beams forming an 'X' against dark geometric planes. This embodies a Prime RFQ orchestrating multi-leg spread execution, aggregating RFQ liquidity across diverse venues for optimal price discovery and high-fidelity execution of institutional digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-engine-orchestrating-high-fidelity-execution-and-optimal-price-discovery.jpg)

## Post-Trade Transaction Cost Analysis

The final stage is the post-trade review, or TCA. For illiquid securities, traditional TCA metrics like VWAP or implementation shortfall against the arrival price can be misleading or impossible to calculate. Therefore, the TCA process must be adapted to focus on the quality of the process and the execution relative to the pre-trade benchmarks established earlier.

The TCA report for an illiquid trade should include:

- **Execution Price vs. Pre-Trade Fair Value** ▴ A direct comparison of the final execution price against the documented pre-trade fair value estimate. Any significant deviation should be explained.

- **Execution Price vs. Quoted Prices** ▴ A comparison of the execution price against all other quotes received during the RFQ process. This demonstrates that the firm achieved a price that was at or near the best available at that moment in time.

- **Qualitative Factor Review** ▴ A formal review by a compliance officer or best execution committee of the qualitative factors documented by the trader. This includes an assessment of the rationale for the chosen execution strategy and the thoroughness of the documentation.

- **Market Impact Assessment** ▴ Where possible, an analysis of the market’s behavior before, during, and after the trade. For an illiquid security, the goal is to demonstrate a lack of significant adverse price movement, which would indicate minimal information leakage and market impact.

This comprehensive, multi-stage execution process, from the pre-trade checklist to the post-trade TCA, provides a robust and defensible framework for proving best execution. It creates a detailed, contemporaneous record that demonstrates the firm’s commitment to a systematic and diligent approach, even in the most challenging market conditions.

![A slender metallic probe extends between two curved surfaces. This abstractly illustrates high-fidelity execution for institutional digital asset derivatives, driving price discovery within market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/precision-instrument-navigating-institutional-digital-asset-derivatives-rfq-protocols-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## References

- “Optimal execution of illiquid securities.” Quantitative Finance Stack Exchange, 2018.

- AFG. “Best Execution.” AFG, Date unavailable.

- The Investment Association. “FIXED INCOME BEST EXECUTION ▴ NOT JUST A NUMBER.” The Investment Association, Date unavailable.

- UBS. “January 2023 Best Execution of Equity Securities.” UBS, 2023.

- “Best execution ▴ A call to action.” The TRADE, 2016.

- Financial Conduct Authority. “Markets in Financial Instruments Directive II (MiFID II).” FCA, 2018.

- U.S. Securities and Exchange Commission. “Staff Report on Algorithmic Trading in U.S. Capital Markets.” SEC, 2020.

- Harris, Larry. “Trading and Exchanges ▴ Market Microstructure for Practitioners.” Oxford University Press, 2003.

![A precision-engineered metallic institutional trading platform, bisected by an execution pathway, features a central blue RFQ protocol engine. This Crypto Derivatives OS core facilitates high-fidelity execution, optimal price discovery, and multi-leg spread trading, reflecting advanced market microstructure](https://options.greeks.live/wp-content/uploads/2025/08/precision-engineered-institutional-digital-asset-derivatives-execution-core-facilitating-rfq-protocol-driven-optimal-price-discovery-and-multi-leg-spread-trading-for-capital-efficiency.jpg)

## Reflection

The framework for proving best execution in illiquid markets transcends mere [regulatory compliance](https://prime.greeks.live/area/regulatory-compliance/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). It becomes a mirror, reflecting the operational sophistication and fiduciary integrity of the entire firm. The meticulous documentation, the structured analysis, and the disciplined execution protocols are not simply bureaucratic hurdles.

They are the tangible outputs of a deeply ingrained culture of diligence. A firm that can consistently and defensibly prove best execution for its most challenging trades demonstrates a mastery of market mechanics and a profound respect for its client obligations.

This capability is not static. It requires continuous refinement of internal models, ongoing education of trading staff, and investment in technology that can capture and analyze increasingly fragmented data. The process itself becomes a source of intelligence, revealing patterns in liquidity and counterparty behavior that can inform future trading decisions. In this light, the challenge of illiquid execution is an opportunity ▴ a chance to build a durable competitive advantage rooted in operational excellence and unwavering client focus.

![A central metallic bar, representing an RFQ block trade, pivots through translucent geometric planes symbolizing dynamic liquidity pools and multi-leg spread strategies. This illustrates a Principal's operational framework for high-fidelity execution and atomic settlement within a sophisticated Crypto Derivatives OS, optimizing private quotation workflows](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-facilitating-high-fidelity-price-discovery-and-optimal-capital-efficiency-within-advanced-market-microstructure.jpg)

## Glossary

<a href="https://prime.greeks.live/question/what-are-the-key-differences-in-tca-for-lit-markets-versus-illiquid-rfq-markets/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, dark, angled component, representing an RFQ protocol engine, rests on a beige Prime RFQ base. Flanked by a deep blue sphere representing aggregated liquidity and a light green sphere for multi-dealer platform access, it illustrates high-fidelity execution within digital asset derivatives market microstructure, optimizing price discovery](https://options.greeks.live/wp-content/uploads/2025/07/advanced-rfq-system-for-digital-asset-derivatives-price-discovery.jpg)

## Illiquid Markets

TCA contrasts measuring slippage against a public data stream in lit markets with auditing a private price discovery process in RFQ markets. </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 glowing blue module with a metallic core and extending probe is set into a pristine white surface. This symbolizes an active institutional RFQ protocol, enabling precise price discovery and high-fidelity execution for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-protocol-driving-institutional-digital-asset-derivatives-high-fidelity-execution-precise-price-discovery-for-block-trades-and-capital-efficiency.jpg)

## Best Execution

Meaning ▴ Best Execution is the obligation to obtain the most favorable terms reasonably available for a client's order. </a><a href="https://prime.greeks.live/area/illiquid-securities/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A robust, dark metallic platform, indicative of an institutional-grade execution management system. Its precise, machined components suggest high-fidelity execution for digital asset derivatives via RFQ protocols](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-platform-high-fidelity-price-discovery-and-atomic-settlement-infrastructure.jpg)

## Illiquid Securities

Meaning ▴ Illiquid securities are financial instruments that cannot be readily converted into cash without substantial loss in value due to a lack of willing buyers or an inefficient market. </a><a href="https://prime.greeks.live/area/price-discovery/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A curved grey surface anchors a translucent blue disk, pierced by a sharp green financial instrument and two silver stylus elements. This visualizes a precise RFQ protocol for institutional digital asset derivatives, enabling liquidity aggregation, high-fidelity execution, price discovery, and algorithmic trading within market microstructure via a Principal's operational framework](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-high-fidelity-execution-via-rfq-protocols-optimizing-market-microstructure-and-price-discovery.jpg)

## Price Discovery

Meaning ▴ Price discovery is the continuous, dynamic process by which the market determines the fair value of an asset through the collective interaction of supply and demand. </a><a href="https://prime.greeks.live/question/how-do-dark-pool-executions-complicate-the-calibration-of-market-impact-models-based-on-lit-market-data/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Market Impact

Dark pool executions complicate impact model calibration by introducing a censored data problem, skewing lit market data and obscuring true liquidity. </a><a href="https://prime.greeks.live/area/fair-value/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![An institutional-grade RFQ Protocol engine, with dual probes, symbolizes precise price discovery and high-fidelity execution. This robust system optimizes market microstructure for digital asset derivatives, ensuring minimal latency and best execution](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-engine-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## Fair Value

Meaning ▴ Fair Value represents the theoretical price of an asset, derivative, or portfolio component, meticulously derived from a robust quantitative model, reflecting the true economic equilibrium in the absence of transient market noise. </a><a href="https://prime.greeks.live/area/mifid-ii/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intersecting translucent aqua blades, etched with algorithmic logic, symbolize multi-leg spread strategies and high-fidelity execution. Positioned over a reflective disk representing a deep liquidity pool, this illustrates advanced RFQ protocols driving precise price discovery within institutional digital asset derivatives market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-optimized-algorithmic-execution-microstructure-for-price-discovery.jpg)

## Mifid Ii

Meaning ▴ MiFID II, the Markets in Financial Instruments Directive II, constitutes a comprehensive regulatory framework enacted by the European Union to govern financial markets, investment firms, and trading venues. </a><a href="https://prime.greeks.live/area/best-execution-policy/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek spherical device with a central teal-glowing display, embodying an Institutional Digital Asset RFQ intelligence layer. Its robust design signifies a Prime RFQ for high-fidelity execution, enabling precise price discovery and optimal liquidity aggregation across complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-rfq-microstructure-price-discovery-prime-os.jpg)

## Best Execution Policy

Meaning ▴ The Best Execution Policy defines the obligation for a broker-dealer or trading firm to execute client orders on terms most favorable to the client. </a><a href="https://prime.greeks.live/area/fiduciary-duty/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, metallic mechanism symbolizes an advanced institutional trading system. The central sphere represents aggregated liquidity and precise price discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-for-optimal-price-discovery-and-best-execution.jpg)

## Fiduciary Duty

Meaning ▴ Fiduciary duty constitutes a legal and ethical obligation requiring one party, the fiduciary, to act solely in the best interests of another party, the beneficiary. </a><a href="https://prime.greeks.live/area/pre-trade-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract structure combines opaque curved components with translucent blue blades, a Prime RFQ for institutional digital asset derivatives. It represents market microstructure optimization, high-fidelity execution of multi-leg spreads via RFQ protocols, ensuring best execution and capital efficiency across liquidity pools](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-optimizing-market-microstructure-for-high-fidelity-execution-best-execution-price-discovery-across-liquidity-pools-and-prime-os.jpg)

## Pre-Trade Analysis

Meaning ▴ Pre-Trade Analysis is the systematic computational evaluation of market conditions, liquidity profiles, and anticipated transaction costs prior to the submission of an order. </a><a href="https://prime.greeks.live/guide/why-your-execution-strategy-is-as-important-as-your-trading-strategy/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, illuminated object, symbolizing an advanced RFQ protocol or Execution Management System, precisely intersects two broad surfaces representing liquidity pools within market microstructure. Its glowing line indicates high-fidelity execution and atomic settlement of digital asset derivatives, ensuring best execution and capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/principals-rfq-protocol-high-fidelity-execution-digital-asset-derivatives-market-microstructure-price-discovery-alpha-generation.jpg)

## Execution Strategy

Master your market interaction; superior execution is the ultimate source of trading alpha. </a><a href="https://prime.greeks.live/area/fair-value-estimate/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Reflective and translucent discs overlap, symbolizing an RFQ protocol bridging market microstructure with institutional digital asset derivatives. This depicts seamless price discovery and high-fidelity execution, accessing latent liquidity for optimal atomic settlement within a Prime RFQ](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-derivatives-rfq-execution-best-price-discovery.jpg)

## Fair Value Estimate

Meaning ▴ The Fair Value Estimate represents a computationally derived, objective valuation of a financial instrument, synthesizing comprehensive market data and intrinsic asset characteristics to establish its theoretical equilibrium price. </a><a href="https://prime.greeks.live/area/request-for-quote/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two smooth, teal spheres, representing institutional liquidity pools, precisely balance a metallic object, symbolizing a block trade executed via RFQ protocol. This depicts high-fidelity execution, optimizing price discovery and capital efficiency within a Principal's operational framework for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/07/precision-execution-bridging-institutional-liquidity-pools-via-rfq-protocol-for-optimized-digital-asset-derivatives-price-discovery.jpg)

## Request for Quote

Meaning ▴ A Request for Quote, or RFQ, constitutes a formal communication initiated by a potential buyer or seller to solicit price quotations for a specified financial instrument or block of instruments from one or more liquidity providers. </a><a href="https://prime.greeks.live/area/rfq-process/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Precision-engineered modular components display a central control, data input panel, and numerical values on cylindrical elements. This signifies an institutional Prime RFQ for digital asset derivatives, enabling RFQ protocol aggregation, high-fidelity execution, algorithmic price discovery, and volatility surface calibration for portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/firm-fx-options-rfq-trade-system-key-microstructure-data-flow-core-engine.jpg)

## Rfq Process

Meaning ▴ The RFQ Process, or Request for Quote Process, is a formalized electronic protocol utilized by institutional participants to solicit executable price quotations for a specific financial instrument and quantity from a select group of liquidity providers. </a><a href="https://prime.greeks.live/area/algorithmic-trading/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A transparent glass bar, representing high-fidelity execution and precise RFQ protocols, extends over a white sphere symbolizing a deep liquidity pool for institutional digital asset derivatives. A small glass bead signifies atomic settlement within the granular market microstructure, supported by robust Prime RFQ infrastructure ensuring optimal price discovery and minimal slippage](https://options.greeks.live/wp-content/uploads/2025/07/institutional-grade-digital-asset-derivatives-rfq-execution-prime-os-intelligence-layer-facilitating-optimal-price-discovery-and-best-execution.jpg)

## Algorithmic Trading

Meaning ▴ Algorithmic trading is the automated execution of financial orders using predefined computational rules and logic, typically designed to capitalize on market inefficiencies, manage large order flow, or achieve specific execution objectives with minimal market impact. </a><a href="https://prime.greeks.live/area/voice-brokerage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Voice Brokerage

Meaning ▴ Voice Brokerage refers to the traditional financial intermediation service where human brokers facilitate over-the-counter (OTC) transactions between institutional counterparties. </a><a href="https://prime.greeks.live/area/post-trade-transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek, institutional-grade device, with a glowing indicator, represents a Prime RFQ terminal. Its angled posture signifies focused RFQ inquiry for Digital Asset Derivatives, enabling high-fidelity execution and precise price discovery within complex market microstructure, optimizing latent liquidity](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-execution-terminal-facilitating-high-fidelity-price-discovery-and-optimal-liquidity-aggregation.jpg)

## Post-Trade Transaction Cost Analysis

Meaning ▴ Post-Trade Transaction Cost Analysis quantifies the implicit and explicit costs incurred during the execution of a trade, providing a forensic examination of performance after an order has been completed. </a><a href="https://prime.greeks.live/area/order-management-system/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Intersecting transparent and opaque geometric planes, symbolizing the intricate market microstructure of institutional digital asset derivatives. Visualizes high-fidelity execution and price discovery via RFQ protocols, demonstrating multi-leg spread strategies and dark liquidity for capital efficiency](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-market-microstructure-architecture.jpg)

## Order Management System

Meaning ▴ A robust Order Management System is a specialized software application engineered to oversee the complete lifecycle of financial orders, from their initial generation and routing to execution and post-trade allocation. </a><a href="https://prime.greeks.live/question/what-quantitative-models-do-dealers-use-to-estimate-the-probability-of-adverse-selection-in-real-time/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Value Estimate

Dealers use a layered system of quantitative models to estimate adverse selection by decoding information asymmetry from real-time market data. </a><a href="https://prime.greeks.live/question/how-can-institutions-differentiate-between-price-reversion-and-trading-along-a-genuine-price-trend/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A precision optical system with a reflective lens embodies the Prime RFQ intelligence layer. Gray and green planes represent divergent RFQ protocols or multi-leg spread strategies for institutional digital asset derivatives, enabling high-fidelity execution and optimal price discovery within complex market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-intelligent-core-driving-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-across-diverse-liquidity-pools-for-optimal-price-discovery.jpg)

## Execution Price

Institutions differentiate trend from reversion by integrating quantitative signals with real-time order flow analysis to decode market intent. </a><a href="https://prime.greeks.live/area/regulatory-compliance/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A sleek blue and white mechanism with a focused lens symbolizes Pre-Trade Analytics for Digital Asset Derivatives. A glowing turquoise sphere represents a Block Trade within a Liquidity Pool, demonstrating High-Fidelity Execution via RFQ protocol for Price Discovery in Dark Pool Market Microstructure](https://options.greeks.live/wp-content/uploads/2025/07/advanced-institutional-digital-asset-derivatives-rfq-execution-system-for-optimal-price-discovery-and-high-fidelity-execution.jpg)

## Regulatory Compliance

Meaning ▴ Adherence to legal statutes, regulatory mandates, and internal policies governing financial operations, especially in institutional digital asset derivatives. </a>

**Tags:** [Voice Brokerage](https://options.greeks.live/area/voice-brokerage/), [Illiquid Securities](https://options.greeks.live/area/illiquid-securities/), [Post-Trade Transaction Cost Analysis](https://options.greeks.live/area/post-trade-transaction-cost-analysis/), [Request for Quote](https://options.greeks.live/area/request-for-quote/), [Price Discovery](https://options.greeks.live/area/price-discovery/), [Pre-Trade Analysis](https://options.greeks.live/area/pre-trade-analysis/)	

## Discover More

- 
### [What Are the Regulatory Implications of the Shift towards RFM Protocols?](https://options.greeks.live/question/what-are-the-regulatory-implications-of-the-shift-towards-rfm-protocols/)
![A sophisticated dark-hued institutional-grade digital asset derivatives platform interface, featuring a glowing aperture symbolizing active RFQ price discovery and high-fidelity execution. The integrated intelligence layer facilitates atomic settlement and multi-leg spread processing, optimizing market microstructure for prime brokerage operations and capital efficiency. This represents a robust crypto derivatives OS.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-crypto-derivatives-rfq-engine-intelligence-layer.jpg)

The shift to RFM protocols embeds strategic ambiguity into the execution process, enhancing best execution compliance.

- 
### [What Are the Regulatory Implications of Best Execution When Choosing between an RFQ and a CLOB?](https://options.greeks.live/question/what-are-the-regulatory-implications-of-best-execution-when-choosing-between-an-rfq-and-a-clob/)
![A sleek, multi-segmented sphere embodies a Principal's operational framework for institutional digital asset derivatives. Its transparent 'intelligence layer' signifies high-fidelity execution and price discovery via RFQ protocols. Distinct segments highlight integrated liquidity pools, atomic settlement, and optimized market microstructure for efficient multi-leg spread trading.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-rfq-protocol-digital-asset-derivatives-execution-engine.jpg)

The regulatory duty of best execution requires a firm to systematically justify its choice between a discreet RFQ and a transparent CLOB.

- 
### [How Does a Data-Driven RFQ Strategy Help in Fulfilling Best Execution Regulatory Requirements?](https://options.greeks.live/question/how-does-a-data-driven-rfq-strategy-help-in-fulfilling-best-execution-regulatory-requirements/)
![A sleek, metallic mechanism symbolizes an advanced institutional trading system. The central sphere represents aggregated liquidity and precise price discovery. Its metallic arm signifies an algorithmic trading engine, facilitating high-fidelity execution for digital asset derivatives, with intricate base circuitry depicting optimized RFQ protocols and robust market microstructure.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-engine-for-optimal-price-discovery-and-best-execution.jpg)

A data-driven RFQ strategy fulfills best execution requirements by creating a verifiable, quantitative audit trail of diligent price discovery.

- 
### [What Are the Key Differences in Best Execution Obligations between Liquid and Illiquid Instruments?](https://options.greeks.live/question/what-are-the-key-differences-in-best-execution-obligations-between-liquid-and-illiquid-instruments/)
![A polished, light surface interfaces with a darker, contoured form on black. This signifies the RFQ protocol for institutional digital asset derivatives, embodying price discovery and high-fidelity execution. It represents dark liquidity aggregation for block trades, optimizing capital efficiency and atomic settlement within the Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-interface.jpg)

Best execution shifts from optimizing against data in liquid markets to creating data through structured inquiry in illiquid markets.

- 
### [How Do Firms Evidence Best Execution without RTS 27 and RTS 28 Reports?](https://options.greeks.live/question/how-do-firms-evidence-best-execution-without-rts-27-and-rts-28-reports/)
![A polished metallic needle, crowned with a faceted blue gem, precisely inserted into the central spindle of a reflective digital storage platter. This visually represents the high-fidelity execution of institutional digital asset derivatives via RFQ protocols, enabling atomic settlement and liquidity aggregation through a sophisticated Prime RFQ intelligence layer for optimal price discovery and alpha generation.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-optimization-for-high-fidelity-execution-and-liquidity-aggregation-via-prime-os-intelligence-layer.jpg)

Firms evidence best execution by architecting a framework of robust governance and granular TCA to prove process integrity.

- 
### [What Are the Key Differences between a Standard Best Execution Policy and One for Capped Securities?](https://options.greeks.live/question/what-are-the-key-differences-between-a-standard-best-execution-policy-and-one-for-capped-securities/)
![A sleek, high-fidelity beige device with reflective black elements and a control point, set against a dynamic green-to-blue gradient sphere. This abstract representation symbolizes institutional-grade RFQ protocols for digital asset derivatives, ensuring high-fidelity execution and price discovery within market microstructure, powered by an intelligence layer for alpha generation and capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-institutional-digital-asset-derivatives-rfq-execution-terminal-system.jpg)

A standard best execution policy optimizes for a continuous market; a capped security policy manages a terminal, non-linear event.

- 
### [How Does the Integration of Machine Learning Change the Role of the Human Trader in the RFQ Process?](https://options.greeks.live/question/how-does-the-integration-of-machine-learning-change-the-role-of-the-human-trader-in-the-rfq-process/)
![Sleek, modular infrastructure for institutional digital asset derivatives trading. Its intersecting elements symbolize integrated RFQ protocols, facilitating high-fidelity execution and precise price discovery across complex multi-leg spreads. This represents a Prime RFQ intelligence layer for optimal capital efficiency and reduced slippage in volatile markets.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-system-optimizing-high-fidelity-block-trade-liquidity-and-multi-leg-spread-precision.jpg)

The integration of machine learning elevates the human trader from a simple executor to a strategic manager of an intelligent quoting system.

- 
### [How Does MiFID II Influence Liquidity Provider Selection in Quote-Driven Trading?](https://options.greeks.live/question/how-does-mifid-ii-influence-liquidity-provider-selection-in-quote-driven-trading/)
![A sleek, dark sphere, symbolizing the Intelligence Layer of a Prime RFQ, rests on a sophisticated institutional grade platform. Its surface displays volatility surface data, hinting at quantitative analysis for digital asset derivatives. Precision mechanisms suggest RFQ protocol engagement enabling high-fidelity execution.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-platform-intelligence-layer-optimizing-high-fidelity-execution.jpg)

MiFID II fundamentally reshaped liquidity provider selection in quote-driven trading by mandating verifiable best execution and data-driven transparency.

- 
### [How Does Technology Alter Best Execution Obligations for Different Asset Classes?](https://options.greeks.live/question/how-does-technology-alter-best-execution-obligations-for-different-asset-classes/)
![An abstract composition featuring two overlapping digital asset liquidity pools, intersected by angular structures representing multi-leg RFQ protocols. This visualizes dynamic price discovery, high-fidelity execution, and aggregated liquidity within institutional-grade crypto derivatives OS, optimizing capital efficiency and mitigating counterparty risk.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-optimizing-aggregated-liquidity-and-multi-leg-execution-via-advanced-market-microstructure.jpg)

Technology transforms best execution from a price-focused task into a data-driven, systematic process of optimizing across multiple factors.

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---

**Original URL:** https://options.greeks.live/question/how-can-a-firm-prove-best-execution-for-an-illiquid-security-with-few-available-quotes/
