Execution Rules - Last Look

Compass execution rules can be configured to hold incoming orders for a negligible amount of time in order to perform checks before executing those orders.

Length

The last look period is configured with two values in ms where one is smaller than the other. All trades will use the smaller last look time unless the net volume limit is breached at the time of the last look. If the net volume limit is breached at this time, the trade will use the longer last period instead without performing any of the checks. If at this point the net volume limit is still breached, execution rules can be configured to either cancel the order immediately or perform the checks and proceed as normal. The default net volume limit is 100k USD per 1ms. The size of the order being evaluated is not included in the current net volume which means an order larger than 100k does not breach the limit for it's own execution, only those with last look times immediately afterwards.

Checks

The checks performed are the price check and the mid distance check. These checks are performed at the beginning and the end of the last look period, and if either check is failed at any point, the order is immediately rejected/brokered/forcefully internalised depending on execution style.

Up next:

• Execution Rules - Execution Styles
• Execution Rules - Net Vol. Limit Breach
• Execution Rules - Price Check
• Execution Rules - Mid Distance Check
• Execution Rules - Tailoring the quality of execution to the quality of client
• Execution Rules - Tuning

Back to Execution Rule Overview