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Latency has been a hot topic for a while, first in the industry and more recently also in academia. It is very common to hear about milliseconds, even microseconds.

While most of the media attention is on equity markets, latency is an important variable in options markets, futures markets, and FX markets (arguably, it is not so important when dealing with fixed income instruments - comments on this are more than welcome). Latency is different across markets for different products. Also, within a product class, latency changes across different infrastructures (co-location, DMA, various types of mediation).

Question: What are the typical latencies across different products and infrastructures?

EDIT: To address one of wburzyns concerns, I changed the title to "realized latency". For lack of a better term, I use "realized latency" to mean "the time from when the order is submitted locally to when it is processed". As an answer prototype, below is a fairly outdated illustration dug out from a SUN white-paper, where different markets and market activities are binned according to the typical latency they face. I would like to know where do the markets stand now and see a similar classification for markets and infrastructures (not so much market activities).

If you think this question is too broad, how would you break it up?

2009: typical realized latencies.

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This question is overly broad, I'd say - haphazard. It mixes various ideas that are commonly named 'latency': from the stock market's matching engine latency (not even mentioned directly), thru network latency to latencies introduced by third party products. –  wburzyns Oct 17 '11 at 8:04
    
@wburzyns: I was thinking about latency from the viewpoint of the trader: from when the order is submitted locally to when it is processed. It seems you are worried with how this latency is decomposed into various components. Latency decomposition is also very interesting and complementary aspect. –  Ryogi Oct 17 '11 at 15:30

2 Answers 2

You may want to look at STAC research, http://www.latencystats.com/ and other sites that you can find by searching for "latency" and "market data"

I have no affiliation with those two links, however I am a principal in a company that measures and compares latency from exchanges.

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If this question is about matching engine latency then there are plenty of resources on the web. The short answer is that across various exchanges the latency is currently in range from hundreds of milliseconds to hundreds of microseconds. To name a few (as of 2010):

  • NASDAQ: 250 us
  • Australia Stock Exchange: 300 us
  • Hong Kong Stock Exchange: 9 ms

AFAIK Singapore Stock Exchange is going to launch / already launched the world’s fastest matching engine with average round-trip time of 90 us.

I've never heard about different values of latency for different classes of instruments on the same exchange. Although different classes, they are all serviced by the same matching engine. However I can imagine some internal prioritization/etc.

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