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We are trying to see latency from our server to different LPs . For that we are checking sendingtime value (from them) and current clock in our server.

What we saw is difference of +-20ms between them and us.

BTW, We are syncing our server with a SNTP.

Is this normal? can anyone tell his/her experience on this?

Thanks

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  • $\begingroup$ to clarify, the difference we see is in the sendingtime (tag 52) and current timestamp $\endgroup$ – Ariel Silahian Dec 1 '15 at 1:39
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It is normal. The finance industry is seeing a lot of incompetence. You can NOT realy on the sending party having a highly accurate timestamp - I have seen discrepancies up to more than a second during normal operation. Things hopefully get better once Windows 2016 is widespread as this naturally out of the box synchronized to 1ms accuracy. But at the moment...

...my advice is to rely on other means. It is QUITE hard to measure true latency, but you can measure order latency. You basically need something that round trips from your end. Keep your side well synced, and then "cope with it" somehow. Third party timestamps will be off, because while you can follow best practices, many others do not.

My current most active trading partner uses diferent computers to handle different symbols. The ticks are SIGNIFICNATLY off - as can be ween by timestamps moving backwards between symbols. Nothing I can do about this.

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Have you tried installing the ntp daemon ntpd (which calculates the drift of your system clock and continuously adjusts it)?

If so check

sudo ntpd -qgddd

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  • $\begingroup$ Yes, we are synching our clock using ntp $\endgroup$ – Ariel Silahian Dec 1 '15 at 15:08
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It is amazing how careless financial industry is given the amount of oversight and regulation. We've had to disable time check with some parties simply because they refuse to maintain proper time (they just don't give two ****s about that kind of thing).

I've come up with another method to estimate the delay. It works for us and our purposes. Record the time order is sent to counter party and compare with when either PENDING NEW or NEW execution report is received. Obviously this isn't perfect for you needs since it doesn't really measure time latency, but thought to share.

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