This study examines the quality of derivatives pricing in the market in which liquidity is dominated by an alternative market. We use US interest rate futures from the side-by-side open outcry and electronic markets, in which electronic markets dominate liquidity. We find that the bid-ask spreads in illiquid open outcry markets have increased substantially since electronic markets became a major part of the market liquidity. Accordingly, the implicit trading costs in open outcry markets have significantly increased. We also show that the volatility of bid-ask spreads in illiquid open outcry markets has increased, which is consistent with a decrease in the depth of the market. In addition, we find that the fast rate of price discovery in electronic markets instabilizes the bid-ask spread in open outcry market. Our results are particularly important for practitioners in that the performance of their portfolio and risk managements critically depends on which market dominates liquidity.