You accepted an RFQ (Request for Quote) and after the trade, the cost was higher than the quote. Your first thought may be "I got cheated." But most of the time, slippage simply shows up in a way you did not expect.
RFQ slippage is not the same as order book slippage
First, be clear: RFQ slippage is not the same as slippage when your order is filled from the order book. Order book slippage is the price difference caused by a market order sweeping multiple price levels. RFQ slippage is the cost change caused by the time gap between the quote you lock in and the actual execution.
Quotes are time-sensitive. A market maker's price may be valid for only a few seconds. While you receive the quote, compare it, hesitate, and finally click "accept," the market price may have changed. To protect their own cost, the market maker may adjust the final execution price at the last moment. This is known in the industry as the Last-Look mechanism.
The API documentation of some institutional RFQ platforms clearly states that the server uses a Last-Look mechanism and can reject the quote at the final moment. In other words, in the few seconds between receiving the quote and confirming the trade, the market maker has the right to fine-tune the final execution price based on market changes.
Two types of "hidden slippage" are easy to miss
Type 1: The quote does not include fees
On some platforms, the RFQ quote is a "naked price." It only includes the premium or principal. Trading fees, exercise fees, and other charges are added separately. The quote may look low, but after fees it could be more expensive than other platforms.
Type 2: The composite quote uses a different base price than the final execution price
Some platform documentation mentions that the "composite price" shown on RFQ Builder is calculated from the mid-price of the latest bid and ask in the order book. But block trades are negotiated privately outside the order book. The market maker's quote does not have to match the order book price. If you compare the order book "fair price" with the RFQ quote and see a difference, it is easy to think it is slippage. In fact, it is not. These are two different pricing systems.
How to check for slippage after the trade
After execution, compare two things:
- The price locked on the page when you accepted the quote — RFQ usually shows a "quote validity" and a "locked price."
- The actual execution price in the final trade details — check the order history or trade records to find the real fill price of this order.
If the two numbers are different, slippage did occur. If they are the same, the higher cost came from fees or other charges, not slippage.
How to verify after you complete the trade
After execution, go to the platform's Order History or Trade Records, find the RFQ order, and check whether the execution price matches the quoted price. If they match, the quote was executed exactly. If they do not match, the difference is the slippage. Also check the "fees" column to see how much was deducted.
