Execution Rules - Price Improvement and Published Price Deviation

As part of regular Last Look operation, clients can see slippage when the market moves against them during the Last Look window, leading to poorer client experience.

Two ways we can limit or eliminate this type of slippage are through 'Price Improvement' and 'Published Price Deviation' in Execution Rules settings, under the Distribution tab in Compass.

Price improvement

Enabling Price Improvement will fill the trade at the best price (for the client) between the requested price, and the price at the end of the Last Look period. So, if the price moves against the client, we'll honour the original, requested price, and if the price moves in favour of the client, we'll fill at that higher price.

We can cap the amount of price improvement that clients will receive to protect ourselves from filling much higher than the requested price.

Published Price Deviation

We can set Published Price Deviation, in basis points, to cap the amount of negative slippage a client receives. This acts as a potential slippage limit, beyond which orders will be cancelled.

Published Price Deviation can be set at 0 to cap the fill price at the published price at the time of request. Price checks and Last Look checks will still apply, so if the price moves more than the configured thresholds in the Last Look period, we could see a higher number of cancels