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seen Jun 6 '12 at 11:59

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awarded  Scholar
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20
accepted HFT - How to define and measure latency?
May
8
comment HFT - How to define and measure latency?
OK got it. Thanks.
May
7
comment HFT - How to define and measure latency?
Thanks @Louis. So, this answers how to define latency. Now lets pick up the first metric "Order to Accept". We have a layered architecture so, do you think that tapping at the FIX layer will be the best solution to measure this metric. Can you please explain how it is measured? Is there any tool out of the box that you recommend? Or do you think we should our self save the timestamp when order leaves our system and when the ack/cancel/execution is received in databases and then run reports later.
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asked HFT - How to define and measure latency?
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