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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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I'm no expert in this topic, but I'm not sure people will be willing to share this kind of data openly, given a lot of HFT shops use such "trade secrets" to gain a competitive edge. Incidentally, I've been reading the book "Flash Boys" and there are some numbers related to your query in there. For instance, when you submit a trade from downtown Manhattan, it ...


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Assuming you are not doing HFT, seconds scale, then you could measure it. By placing a limit order and then monitoring its appearance in Level 2 market depth quotes. During quiet market, with limit price away from spread and not crowded.



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