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The round-trip latency from point A to a matching engine at point B can be thought of being comprised of two components: $RTT_{total,A \rightarrow B} = RTT_{network\_transit,A \rightarrow B} + MPL_{matching\_engine,B}$ Where $RTT$ is the round-trip time and $MPL$ is the message processing latency (how long it takes to receive a message and produce an ...


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That will depend on the protocol you are using for market data (UDP, FAST, MDP, ITCH, etc.) and order routing (FIX, OUCH, etc.). For example, the latency to parse a UDP tick and to place a FIX order was around 8 micros as measured by tcpdump, using CoralFIX and CoralReactor. Disclaimer: I'm one of the developers of CoralFIX


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Exchanges provides the following six timestamps: Gateway In Timestamp-T1. Time at which the order was received by the Gateway from the members TCP connection. Gateway Out Timestamp-T2. This is the time when the order was dispatched by the Gateway to the Matching engine. Matcher In Timestamp-T3. This is the time the order was received by the Matching ...



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