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Cinnober on latency

Cinnober just announced the publication of an in-depth whitepaper on latency on their web site: http://www.cinnober.com/files/A_Cinnober_whitepaper_on_latency_1.pdf
 
The paper contains a much more detailed explanation for the items discussed in my previous post.
 
Taking into account that the figure (286 mks for door-to-door and 138 mks for business logic) is supported by the description of what was measured and how, it looks quite credible.
 
What is important is that even at this level of detail there is some room for interpretation of the door-to-door latency. Quote (page 6): “means measuring the time which elapses between a request being received at the AP and a corresponding response arriving back at the same AP after being processed by the matching engine.”
 
What should one consider to be the time when the AP received a request? Is it the time when the data appeared in the socket or the time when the AP actually started processing the request? Were these orders and quotes submitted against an empty book? Were any of these orders and quotes filled, acknowledged or rejected? At the microsecond scale, it makes quite a difference.
 
The paper contains a very good explanation of the queue theory and the service time calculation. One caveat, however, is: the obtained service time (98 mks – see page 13) is actually 4 times smaller than the real processing time, as there are 4 trading gateways that simultaneously process incoming messages. The actual processing time was 392 mks.
 
Overall, I would highly recommend this excellent paper to anyone interested in execution venue latencies!

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Comments: (1)

A Finextra member
A Finextra member 25 November, 2009, 14:15Be the first to give this comment the thumbs up 0 likes

We measure by instrumenting the AP. The start time is when the AP has received the data, and the stop time is when the response is ready to be sent. The instrumentation is part of the production code, so we do always have real statistics available.

The order books were pre-filled before the tests, and we used an order mix with 2% execution rate.

Iosif Itkin

Iosif Itkin

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