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Yield Profiles - LP Interest to Fill/Cancel

The interest to fill or cancel helps us understand how long before an LP decides whether to fill or cancel a trade.

This allows you to find LPs with large last look periods on externalised flow, this can then be brought to their attention or execution configuration can be managed accordingly.

When viewing cancelled trades, group by 'Interest to cancel (10ms bucket))'. Similarly we can view the 'Interest to fill (10ms bucket)' on accepted trades.

In the example below, viewing cancelled trades sent to INVAST, we are able to see up to 560ms last look has been applied to this single trade before the LP cancelled (as it moves in favour of the house, against the LP).

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Equally, we can see this trade was filled with up to 440ms last look, in the first 30s the trades moves in favour of INVAST, against the house.

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