Why it matters
Last look can turn ‘instant execution’ into conditional execution. In fast markets, it often means you get filled when price moves against you and rejected when it moves in your favor.
Decision use: treat this term as a risk input. If you can’t observe it, you can’t size for it.
Common trap
Assuming a tight quoted spread guarantees fair fills. Last look is about selection, not quotes.
Example
During a spike, your buy order is rejected twice. When the move fades, the next attempt is accepted at a worse price. Your execution got filtered by last-look logic.
Operational cue: if you can’t point to it on the chart, in the DOM, or in your broker logs, treat it as a story and trade smaller.
Notes
Quick rule
- If you see this repeatedly, you are in a different regime than your model assumes.
- Regime change usually means position size change.
- When in doubt: trade smaller, or don’t trade.