# How Does Transaction Cost Analysis Measure the Fairness of Last Look Practices? ▴ Question

**Published:** 2025-07-30
**Categories:** Question

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## Concept

The architecture of modern [foreign exchange markets](https://prime.greeks.live/question/what-regulatory-and-compliance-frameworks-govern-the-use-of-rfq-protocols-in-cross-exchange-trading/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) presents a fundamental engineering paradox. On one hand, the system requires vast, accessible liquidity pools to function; on the other, the fragmented, high-speed nature of these markets exposes liquidity providers to significant risk from [latency arbitrage](https://prime.greeks.live/area/latency-arbitrage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). The market’s solution to this structural vulnerability is the protocol known as ‘last look’.

This mechanism provides a [liquidity provider](https://prime.greeks.live/area/liquidity-provider/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (LP) a final, brief window to decline a trade request at the quoted price. From a systems perspective, [last look](https://prime.greeks.live/area/last-look/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) is a risk-control function, a buffer designed to protect market makers from being systematically disadvantaged by faster participants who can detect and exploit stale quotes.

This protective function, however, introduces a critical element of execution uncertainty for the liquidity taker. The core operational question for any institutional trader becomes one of integrity ▴ Is the LP using this risk-control protocol for its intended defensive purpose, or is it being employed as a tool to generate asymmetrical profit? This is where [Transaction Cost Analysis](https://prime.greeks.live/area/transaction-cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (TCA) provides the necessary diagnostic lens. TCA is the market’s system for measuring [execution quality](https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite).

It moves beyond simple price points to provide a multi-dimensional analysis of how a trade was executed relative to prevailing market conditions at the moment the trading decision was made. When applied to last look, TCA becomes a forensic tool, designed to illuminate the economic consequences of an LP’s actions during that final, optional window. It quantifies the fairness of the practice by translating the abstract concept of ‘fairness’ into a concrete set of measurable data points, such as [hold times](https://prime.greeks.live/area/hold-times/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite), rejection rates, and the symmetry of price adjustments.

> Transaction Cost Analysis functions as a diagnostic framework to quantify the economic fairness of a liquidity provider’s last look protocol by measuring its impact on execution quality.

The analysis transitions the debate from a philosophical one about market ethics to an empirical one grounded in data. The central inquiry that TCA facilitates is this ▴ Does the last look practice, as implemented by a specific LP, consistently result in measurable costs to the liquidity taker that exceed the norms of a defensive risk mechanism? By analyzing patterns in execution data, TCA provides a clear, evidence-based assessment.

It establishes a performance baseline, allowing institutions to differentiate between LPs who manage risk responsibly and those who may be leveraging the [last look window](https://prime.greeks.live/area/last-look-window/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) for opportunistic gain. This process is fundamental for maintaining the integrity of the bilateral relationship between a trader and a liquidity provider in an over-the-counter environment.

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## Strategy

A strategic framework for evaluating the fairness of last look practices requires a shift in perspective. The goal is to use [Transaction Cost](https://prime.greeks.live/area/transaction-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Analysis to architect a system of accountability. This system is built not on trust, but on verifiable performance data. The primary strategic objective is to deconstruct the last look window into its component parts and measure the economic impact of each.

This allows an institution to move from being a passive price taker to an active auditor of its liquidity relationships. The strategy involves isolating the specific behaviors of the liquidity provider during the hold period and benchmarking them against established standards of fair practice.

![A sophisticated, multi-component system propels a sleek, teal-colored digital asset derivative trade. The complex internal structure represents a proprietary RFQ protocol engine with liquidity aggregation and price discovery mechanisms](https://options.greeks.live/wp-content/uploads/2025/07/principals-high-fidelity-rfq-engine-for-digital-asset-derivatives-execution.jpg)

## Foundational Pillars of Last Look TCA

A robust TCA strategy for this purpose rests on three analytical pillars. Each pillar is designed to answer a specific question about the LP’s conduct, transforming opaque practices into transparent performance metrics.

- 
**Symmetry Assessment** ▴ This pillar addresses the directional bias of the LP’s decisions. A truly defensive last look mechanism should, in theory, operate symmetrically. This means the LP would reject trades when the market moves against them, but also potentially offer [price improvement](https://prime.greeks.live/area/price-improvement/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) when the market moves in the client’s favor during the hold period.
TCA measures the ratio of [negative slippage](https://prime.greeks.live/area/negative-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) (price moves against the client) to positive price improvement. A heavily skewed ratio suggests the LP is systematically externalizing losses while internalizing gains, a clear indicator of an unfair application.

- 
**Latency and [Hold Time](https://prime.greeks.live/area/hold-time/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) Analysis** ▴ Latency is the currency of modern markets. This pillar scrutinizes the duration of the last look window itself. An LP’s hold time should be a direct function of the technical requirements for risk-checking ▴ validating the trade request and checking for price deviation against a reliable external feed. TCA precisely measures this duration, from the moment the request is sent to the moment a fill or reject is received.
Unusually long or highly variable hold times are red flags. They may indicate the LP is using the window not just for a price check, but as a free option to see where the market goes next, a practice that introduces significant opportunity cost for the trader.

- 
**Rejection Pattern Analysis** ▴ This goes deeper than a simple [fill ratio](https://prime.greeks.live/area/fill-ratio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite). It analyzes the context of rejections. Are rejections clustered during periods of high volatility, which would be consistent with a risk management function? Or do they occur more broadly, perhaps correlating with moments where the market is moving in a direction that would have been profitable for the client?
Advanced TCA platforms can perform “[rejection skew](https://prime.greeks.live/area/rejection-skew/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite)” analysis, tracking the market’s trajectory immediately following a rejected trade. A consistent pattern of rejections saving the LP from losses points to an aggressive, and potentially unfair, use of the last look privilege.

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## What Is the Strategic Value of Differentiated Analysis?

The strategic value of this granular analysis is profound. It allows an institution to build a detailed performance ledger for each liquidity provider. This data-driven approach removes emotion and ambiguity from the relationship, replacing them with quantitative evidence.

It forms the basis for a more sophisticated, tiered approach to liquidity provision, where order flow is directed towards LPs who demonstrate consistently fair and transparent execution protocols. The table below outlines the strategic differentiation this analysis enables.

| TCA Metric Category | Indication of Fair Practice (Defensive Protocol) | Indication of Potentially Unfair Practice (Opportunistic Protocol) |
| --- | --- | --- |
| Price Adjustments | Symmetrical application. The ratio of price improvement to negative slippage is balanced, indicating that favorable price moves are passed on to the client. | Asymmetrical application. A high ratio of negative slippage to little or no price improvement suggests the LP is keeping the upside while passing on the downside. |
| Hold Time | Consistent and brief hold times, justifiable by technical requirements for price and validity checks. Typically measured in single or low double-digit milliseconds. | Extended or highly variable hold times, suggesting the LP is using the window as a free option to observe short-term market movements before committing capital. |
| Rejection Rationale | Rejections are primarily correlated with significant, rapid price moves or clear technical errors. Rejection messages, when available, are consistent and clear. | Rejections are correlated with market movements that would have been favorable to the client. A high “rejection skew” indicates the LP is using the protocol to avoid small, routine losses. |
| Information Usage | There is no evidence that information from rejected trades is used to inform the LP’s subsequent trading activity. | Patterns suggest that information from rejected trades (e.g. client’s intent) is being used for the LP’s own positioning immediately following the rejection. |

Ultimately, this strategy transforms TCA from a post-trade reporting tool into a pre-emptive relationship management system. It provides the institution with the leverage to demand better execution, greater transparency, and a more equitable distribution of risk and reward in its trading relationships.

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## Execution

The operational execution of a Transaction [Cost Analysis](https://prime.greeks.live/area/cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite) framework to measure the fairness of last look is a process of systematic data capture and interpretation. It requires a commitment to high-fidelity data and the application of a specific toolkit of metrics designed to function as probes into the liquidity provider’s black-box execution logic. The objective is to produce an irrefutable, data-driven profile of each LP’s behavior, which can then be used to optimize execution strategy and enforce standards of fairness.

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## The Core TCA Toolkit for Last Look Scrutiny

An effective TCA program for this purpose relies on a set of precise, quantifiable metrics. These are the instruments used to conduct the analysis outlined in the strategy. Each metric isolates a different facet of the last look process, and together they provide a composite view of the LP’s performance.

- 
**Fill Ratio** ▴ This is the most fundamental metric, calculated as (Number of Filled Trades / Total Number of Trade Requests). While a low fill ratio is an immediate warning sign, a high fill ratio alone is insufficient to determine fairness. It must be analyzed in conjunction with other metrics, as an LP could maintain a high fill ratio by only rejecting the most disadvantageous trades while applying negative slippage to others.

- 
**Hold Time Measurement** ▴ This is the time elapsed between the trade request leaving the trader’s system and the confirmation of a fill or reject being received. This requires synchronized, high-precision timestamps (to the microsecond or millisecond level) at both ends. The distribution of hold times is as important as the average.
A tight distribution suggests a consistent, automated process. A wide distribution with a long tail of outliers warrants investigation.

- 
**Slippage and Price Improvement Analysis** ▴ This metric quantifies the price difference between the originally quoted price and the final executed price. It is the cornerstone of symmetry analysis.
**Slippage** = (Execution Price – Quoted Price) for a buy order. It is measured in basis points or currency terms. TCA systems must meticulously track both negative slippage (cost to the client) and positive slippage, also known as price improvement (benefit to the client).
A fair LP should exhibit a reasonable balance between the two. For instance, a study might reveal that a particular LP’s ratio of slippage to price improvement is as skewed as 9:1, indicating a clear asymmetry.

> The cost of latency, quantified by hold time analysis, reveals that a discretionary delay of just 100 milliseconds can impose a hidden cost of approximately $25 per million traded on a rejected order.

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## How Does Asymmetry Manifest in Execution Data?

The practical application of these metrics can be illustrated through comparative data. The table below presents a hypothetical analysis of two liquidity providers, one operating with a fair last look protocol and the other with a potentially opportunistic one. This demonstrates how the metrics translate into a clear performance narrative.

| TCA Metric | Liquidity Provider A (Fair Practice) | Liquidity Provider B (Opportunistic Practice) |
| --- | --- | --- |
| Fill Ratio | 95% | 96% |
| Average Hold Time | 15ms | 85ms |
| Std. Deviation of Hold Time | 5ms | 50ms |
| Total Negative Slippage | $15,000 | $45,000 |
| Total Price Improvement | $12,000 | $1,500 |
| Slippage/Improvement Ratio | 1.25 ▴ 1 | 30 ▴ 1 |
| Rejection Skew | Neutral (Rejections are not predictive of market direction) | Negative (Rejections consistently precede market moves that would have been favorable to the client) |

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## A Procedural Framework for Implementation

Implementing this level of scrutiny follows a clear operational sequence. It is a cyclical process of data collection, analysis, and action.

- 
**High-Fidelity Data Capture** ▴ The process begins with ensuring that the institution’s trading systems log every relevant data point with synchronized, high-precision timestamps. This includes the moment an order is created, the moment it is sent to the LP, and the moment the response (fill, reject, or requote) is received. Without this granular data, the analysis is impossible.

- 
**Metric Calculation and Benchmarking** ▴ The captured data is fed into a TCA system that calculates the metrics described above. The crucial step here is benchmarking. Each LP’s performance must be compared against a baseline. This baseline can be derived from several sources ▴ firm liquidity venues (which have no last look), other LPs in the same liquidity pool, or the LP’s own historical performance.

- 
**Pattern Identification and Anomaly Detection** ▴ The system is configured to flag anomalies and patterns. This could be a sudden increase in average hold times, a shift in the slippage/improvement ratio, or a cluster of rejections around specific market events. This moves the analysis from static reporting to real-time surveillance.

- 
**Data-Driven Engagement with Liquidity Providers** ▴ The output of the TCA process is a quantitative performance report. This report becomes the basis for all discussions with LPs. Instead of making vague complaints about “poor fills,” the institution can present concrete evidence ▴ “Your average hold time increased by 40ms last month, and your slippage ratio is 30:1 while your peers are at 3:1. Please provide an explanation for this deviation.” This structured, evidence-based approach is the ultimate goal of execution analysis in the context of last look.

This disciplined, data-centric execution transforms the institutional trader from a mere participant in the market to a system architect of their own execution quality, capable of enforcing standards and optimizing for a truly fair and efficient trading environment.

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## References

- LMAX Exchange. “LMAX Exchange FX TCA Transaction Cost Analysis Whitepaper.” LMAX Exchange, 2017.

- Oomen, Roel. “Last look ▴ A study of execution risk and transaction costs in foreign exchange markets.” Deutsche Bank AG, London, 2016.

- Cartea, Álvaro, and Sebastian Jaimungal. “Foreign Exchange Markets with Last Look.” arXiv preprint arXiv:1806.04460, 2018.

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

- Norges Bank Investment Management. “The Role of Last Look in Foreign Exchange Markets.” Norges Bank Investment Management, 17 December 2015.

- Bains-Kler, Sharon, and Diarmuid O’Keeffe. “Optimizing Trading with Transaction Cost Analysis.” Trading Technologies, 6 March 2025.

- bfinance. “Transaction cost analysis ▴ Has transparency really improved?” bfinance, 6 September 2023.

- Skevofylakas, Marios. “How to build an end-to-end transaction cost analysis framework.” LSEG Developer Portal, 7 February 2024.

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## Reflection

The analytical framework for dissecting last look practices provides more than a set of performance metrics; it offers a blueprint for constructing a more resilient and intelligent trading operation. The data derived from this rigorous analysis becomes a core component of an institution’s proprietary intelligence layer. It transforms the challenge of market fragmentation and execution uncertainty into a strategic advantage. The ultimate value is not simply in identifying unfavorable liquidity providers, but in cultivating a deep, systemic understanding of how your orders interact with the market’s architecture.

This knowledge allows you to design an execution policy that is not static, but adaptive, continuously optimized by the flow of real-time performance data. The question then evolves from “Who is a fair partner?” to “How can we design our system to command fair treatment as a structural default?”

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## Glossary

<a href="https://prime.greeks.live/question/what-regulatory-and-compliance-frameworks-govern-the-use-of-rfq-protocols-in-cross-exchange-trading/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Foreign Exchange Markets

A firm's compliance with RFQ regulations is achieved by architecting an auditable system that proves Best Execution for every trade. </a><a href="https://prime.greeks.live/area/latency-arbitrage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two diagonal cylindrical elements. The smooth upper mint-green pipe signifies optimized RFQ protocols and private quotation streams](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-execution-microstructure-optimization-1.jpg)

## Latency Arbitrage

Meaning ▴ Latency Arbitrage, within the high-frequency trading landscape of crypto markets, refers to a specific algorithmic trading strategy that exploits minute price discrepancies across different exchanges or liquidity venues by capitalizing on the time delay (latency) in market data propagation or order execution. </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">
![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)

## Liquidity Provider

Meaning ▴ A Liquidity Provider (LP), within the crypto investing and trading ecosystem, is an entity or individual that facilitates market efficiency by continuously quoting both bid and ask prices for a specific cryptocurrency pair, thereby offering to buy and sell the asset. </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, spherical, off-white device with a glowing cyan lens symbolizes an Institutional Grade Prime RFQ Intelligence Layer. It drives High-Fidelity Execution of Digital Asset Derivatives via RFQ Protocols, enabling Optimal Liquidity Aggregation and Price Discovery for Market Microstructure Analysis](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-engine-optimal-execution-1.jpg)

## Last Look

Meaning ▴ Last Look is a contentious practice predominantly found in electronic over-the-counter (OTC) trading, particularly within foreign exchange and certain crypto markets, where a liquidity provider retains a brief, unilateral option to accept or reject a client's trade request after the client has committed to the quoted price. </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">
![An institutional grade system component, featuring a reflective intelligence layer lens, symbolizes high-fidelity execution and market microstructure insight. This enables price discovery for digital asset derivatives](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-precision-rfq-execution-system-interface.jpg)

## Transaction Cost Analysis

Meaning ▴ Transaction Cost Analysis (TCA), in the context of cryptocurrency trading, is the systematic process of quantifying and evaluating all explicit and implicit costs incurred during the execution of digital asset trades. </a><a href="https://prime.greeks.live/area/execution-quality/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Translucent teal glass pyramid and flat pane, geometrically aligned on a dark base, symbolize market microstructure and price discovery within RFQ protocols for institutional digital asset derivatives. This visualizes multi-leg spread construction, high-fidelity execution via a Principal's operational framework, ensuring atomic settlement for latent liquidity](https://options.greeks.live/wp-content/uploads/2025/07/transparent-geometric-structures-visualizing-multi-leg-spread-rfq-protocols-for-high-fidelity-institutional-digital-asset-derivatives-execution.jpg)

## Execution Quality

Meaning ▴ Execution quality, within the framework of crypto investing and institutional options trading, refers to the overall effectiveness and favorability of how a trade order is filled. </a><a href="https://prime.greeks.live/area/hold-times/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Two distinct, polished spherical halves, beige and teal, reveal intricate internal market microstructure, connected by a central metallic shaft. This embodies an institutional-grade RFQ protocol for digital asset derivatives, enabling high-fidelity execution and atomic settlement across disparate liquidity pools for principal block trades](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-prime-os.jpg)

## Hold Times

Meaning ▴ Hold Times in crypto institutional trading refer to the duration for which an order, a quoted price, or a trading position is intentionally maintained before its execution, modification, or liquidation. </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">
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## Last Look Window

Meaning ▴ A Last Look Window, prevalent in electronic Request for Quote (RFQ) and institutional crypto trading environments, denotes a brief, specified time interval during which a liquidity provider, after submitting a firm price quote, retains the unilateral option to accept or reject an incoming client order at that exact quoted price. </a><a href="https://prime.greeks.live/area/transaction-cost/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
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## Transaction Cost

Meaning ▴ Transaction Cost, in the context of crypto investing and trading, represents the aggregate expenses incurred when executing a trade, encompassing both explicit fees and implicit market-related costs. </a><a href="https://prime.greeks.live/area/price-improvement/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A multi-faceted crystalline star, symbolizing the intricate Prime RFQ architecture, rests on a reflective dark surface. Its sharp angles represent precise algorithmic trading for institutional digital asset derivatives, enabling high-fidelity execution and price discovery](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocols-high-fidelity-execution-market-microstructure-optimization-for-prime-os-alpha-generation.jpg)

## Price Improvement

Meaning ▴ Price Improvement, within the context of institutional crypto trading and Request for Quote (RFQ) systems, refers to the execution of an order at a price more favorable than the prevailing National Best Bid and Offer (NBBO) or the initially quoted price. </a><a href="https://prime.greeks.live/area/negative-slippage/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Abstract layers and metallic components depict institutional digital asset derivatives market microstructure. They symbolize multi-leg spread construction, robust FIX Protocol for high-fidelity execution, and private quotation](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-digital-asset-derivatives-rfq-protocol-high-fidelity-execution.jpg)

## Negative Slippage

Meaning ▴ Negative Slippage occurs when the actual execution price of a trade is worse than the expected or quoted price at the moment the order was placed. </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">
![Intricate dark circular component with precise white patterns, central to a beige and metallic system. This symbolizes an institutional digital asset derivatives platform's core, representing high-fidelity execution, automated RFQ protocols, advanced market microstructure, the intelligence layer for price discovery, block trade efficiency, and portfolio margin](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-core.jpg)

## Hold Time

Meaning ▴ Hold Time, in the specialized context of institutional crypto trading and specifically within Request for Quote (RFQ) systems, refers to the strictly defined, brief duration for which a firm price quote, once provided by a liquidity provider, remains valid and fully executable for the requesting party. </a><a href="https://prime.greeks.live/area/rejection-skew/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![Geometric panels, light and dark, interlocked by a luminous diagonal, depict an institutional RFQ protocol for digital asset derivatives. Central nodes symbolize liquidity aggregation and price discovery within a Principal's execution management system, enabling high-fidelity execution and atomic settlement in market microstructure](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-1.jpg)

## Rejection Skew

Meaning ▴ A phenomenon in electronic trading where liquidity providers exhibit a systematic bias in rejecting orders, often based on specific characteristics of the incoming request or prevailing market conditions. </a><a href="https://prime.greeks.live/area/fill-ratio/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![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)

## Fill Ratio

Meaning ▴ The Fill Ratio is a key performance indicator in trading, especially pertinent to Request for Quote (RFQ) systems and institutional crypto markets, which measures the proportion of an order's requested quantity that is successfully executed. </a><a href="https://prime.greeks.live/area/cost-analysis/?utm_source=options.greeks.live&utm_medium=referral&utm_campaign=satellite" class="glossary-item-box">
![A precise optical sensor within an institutional-grade execution management system, representing a Prime RFQ intelligence layer. This enables high-fidelity execution and price discovery for digital asset derivatives via RFQ protocols, ensuring atomic settlement within market microstructure](https://options.greeks.live/wp-content/uploads/2025/07/prime-os-high-fidelity-institutional-digital-asset-rfq-execution-system-lens.jpg)

## Cost Analysis

Meaning ▴ Cost Analysis is the systematic process of identifying, quantifying, and evaluating all explicit and implicit expenses associated with trading activities, particularly within the complex and often fragmented crypto investing landscape. </a>

**Tags:** [Best Execution](https://options.greeks.live/area/best-execution/), [Rejection Skew](https://options.greeks.live/area/rejection-skew/), [Liquidity Provider Performance](https://options.greeks.live/area/liquidity-provider-performance/), [Foreign Exchange](https://options.greeks.live/area/foreign-exchange/), [Last Look Window](https://options.greeks.live/area/last-look-window/), [Algorithmic Trading](https://options.greeks.live/area/algorithmic-trading/)	

## Discover More

- 
### [How Does the FX Global Code Influence Last Look Practices?](https://options.greeks.live/question/how-does-the-fx-global-code-influence-last-look-practices/)
![A precision sphere, an Execution Management System EMS, probes a Digital Asset Liquidity Pool. This signifies High-Fidelity Execution via Smart Order Routing for institutional-grade digital asset derivatives. It highlights Price Discovery and Pre-Trade Analytics within a Principal's Prime RFQ framework.](https://options.greeks.live/wp-content/uploads/2025/07/principal-rfq-engine-orchestrating-global-digital-asset-derivatives-liquidity-pool-price-discovery-and-high-fidelity-execution.jpg)

The FX Global Code systemically redefines last look as a transparent risk protocol, mandating disclosure and fair execution practices.

- 
### [How Do Regulators Distinguish between Legitimate Risk Management and Unfair Last Look Practices?](https://options.greeks.live/question/how-do-regulators-distinguish-between-legitimate-risk-management-and-unfair-last-look-practices/)
![Sleek, angled structures intersect, reflecting a central convergence. Intersecting light planes illustrate RFQ Protocol pathways for Price Discovery and High-Fidelity Execution in Market Microstructure. This visualizes Aggregated Inquiry meeting Private Quotation for Digital Asset Derivatives via a Prime RFQ.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-price-discovery-microstructure.jpg)

Regulators distinguish fair risk management from unfair last look by analyzing trade data for symmetrical, rules-based rejections versus asymmetrical, opportunistic delays.

- 
### [What Are the Regulatory Implications of the FX Global Code on Last Look Hold Times?](https://options.greeks.live/question/what-are-the-regulatory-implications-of-the-fx-global-code-on-last-look-hold-times/)
![Abstract depiction of an institutional digital asset derivatives execution system. A central market microstructure wheel supports a Prime RFQ framework, revealing an algorithmic trading engine for high-fidelity execution of multi-leg spreads and block trades via advanced RFQ protocols, optimizing capital efficiency.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-prime-os-rfq-execution-system-1.jpg)

The FX Global Code mandates fair, transparent execution, compelling liquidity providers to eliminate additional last look hold times.

- 
### [What Are the Primary Arguments for and against the Use of Last Look in Fx Markets?](https://options.greeks.live/question/what-are-the-primary-arguments-for-and-against-the-use-of-last-look-in-fx-markets/)
![Smooth, reflective, layered abstract shapes on dark background represent institutional digital asset derivatives market microstructure. This depicts RFQ protocols, facilitating liquidity aggregation, high-fidelity execution for multi-leg spreads, price discovery, and Principal's operational framework efficiency.](https://options.greeks.live/wp-content/uploads/2025/08/institutional-digital-asset-derivatives-rfq-protocol-multi-leg-spreads.jpg)

Last look is an LP risk protocol in FX markets offering tighter spreads at the cost of execution certainty, demanding data-driven strategic oversight.

- 
### [What Is the Role of Last Look in Mitigating Adverse Selection Risk for Liquidity Providers?](https://options.greeks.live/question/what-is-the-role-of-last-look-in-mitigating-adverse-selection-risk-for-liquidity-providers/)
![A central rod, symbolizing an RFQ inquiry, links distinct liquidity pools and market makers. A transparent disc, an execution venue, facilitates price discovery. A teal beam, representing an intelligence layer, depicts high-fidelity execution for digital asset derivatives, optimizing market microstructure and managing counterparty risk.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-rfq-protocol-execution-optimization.jpg)

Last look is a conditional execution protocol granting liquidity providers a final option to reject trades, mitigating adverse selection from latency arbitrage.

- 
### [How Does the Practice of Last Look Complicate the Interpretation of Hold Time Data in RFQ Negotiations?](https://options.greeks.live/question/how-does-the-practice-of-last-look-complicate-the-interpretation-of-hold-time-data-in-rfq-negotiations/)
![An opaque principal's operational framework half-sphere interfaces a translucent digital asset derivatives sphere, revealing implied volatility. This symbolizes high-fidelity execution via an RFQ protocol, enabling private quotation within the market microstructure and deep liquidity pool for a robust Crypto Derivatives OS.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-protocol-execution-engine-13.jpg)

Last look complicates hold time analysis by embedding an opaque, discretionary risk-assessment period within a metric intended to measure speed.

- 
### [Can Transaction Cost Analysis Reliably Distinguish between Legitimate Risk Management and Predatory Last Look Practices?](https://options.greeks.live/question/can-transaction-cost-analysis-reliably-distinguish-between-legitimate-risk-management-and-predatory-last-look-practices/)
![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)

TCA can reliably distinguish between legitimate and predatory last look practices by revealing patterns of behavior that are inconsistent with fair and ethical trading.

- 
### [What Quantitative Metrics Are Most Effective for a Tca Framework Evaluating Last Look Practices?](https://options.greeks.live/question/what-quantitative-metrics-are-most-effective-for-a-tca-framework-evaluating-last-look-practices/)
![Abstract spheres and a translucent flow visualize institutional digital asset derivatives market microstructure. It depicts robust RFQ protocol execution, high-fidelity data flow, and seamless liquidity aggregation. This imagery underscores capital efficiency and atomic settlement within a Prime RFQ framework.](https://options.greeks.live/wp-content/uploads/2025/07/precision-market-microstructure-for-institutional-digital-asset-derivatives-leveraging-rfq-protocols-and-atomic-settlement-across-prime-os.jpg)

A robust TCA framework quantifies last look by measuring the economic cost of hold time, rejection rates, and price variation asymmetry.

- 
### [In What Ways Does the Practice of ‘Last Look’ in Rfs Affect the Fiduciary Responsibility of Best Execution?](https://options.greeks.live/question/in-what-ways-does-the-practice-of-last-look-in-rfs-affect-the-fiduciary-responsibility-of-best-execution/)
![Parallel marked channels depict granular market microstructure across diverse institutional liquidity pools. A glowing cyan ring highlights an active Request for Quote RFQ for precise price discovery. A metallic probe signifies an algorithmic trading engine performing high-fidelity execution and atomic settlement.](https://options.greeks.live/wp-content/uploads/2025/07/institutional-digital-asset-derivatives-rfq-high-fidelity-execution-3.jpg)

Last look shifts risk to the client by turning a firm quote into a provider's option, complicating best execution.

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---

**Original URL:** https://options.greeks.live/question/how-does-transaction-cost-analysis-measure-the-fairness-of-last-look-practices/
