2017 has already been an interesting year.

This is always good for volatility which traders long for.



Last Look liquidity and firm liquidity is a case of choice by the clients, but in order to make that choice, we have to educate the client so that they can make an informed choice.

So, what should you consider when you look at your style of execution and the style of liquidity you hit? Broadly, there are five things; the spread, the cost of rejection if you trade on last look, price improvements, and market impact post trade.

You have to calculate these things to make an informed choice as a client. A lot of the liquidity providers are starting to do that, and we will also publish that information on LMAX Exchange in the coming weeks and months, and I think we’ll be able to prove that in most cases, given a reasonable spread, the cost of trading is always lower on firm no last look prices.

To give you a snapshot, I suspect the analysis will show that spread is always a bit wider on firm liquidity, but there is never any rejection, so therefore, the cost of rejection is zero, there’s no cost of hold time, price improvement is standard, if you’re not getting price improvements from your liquidity provider, you need to ask why.

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