[Rimpinths]

I'm a software developer at an exchange in the US. The LSE has not released details of how it is measuring "latency", but FWIW, we measure latency as the time it takes to submit an order and receive an order acknowledgment or fill, with both the sending and receiving outside our firewall. The two biggest SW components involved are the FIX handler (the component used to process orders; FIX is an industry standard protocol) and the matching engine (the component used to match buy and sell orders). I could of course spend hours talking about our hardware and software customizations, but it's a very competitive industry. Our software is C++ running on Linux, and that's about as much detail as I'm willing to go into.

[_grrr]

"we measure latency as the time it takes to submit an order and receive an order acknowledgment or fill, with both the sending and receiving outside our firewall." This isn't normally the metric exchanges are referring to when they say 'latency'. They mean the internal processing time, within their network, to process, fill and generate a response to an incoming order. Anything else depends on the individual clients connection, some may be co-located, some may not etc etc... exactly as lrm242 describes.

[Rimpinths]

I thought what lrm242 said and what I said were pretty much the same thing. But there is no standard definition of 'latency', so it's hard to say what "they mean" unless they publish a definition on their website. But I know of at least three major exchanges (one of which I work for) that consider the starting and endpoints for latency measurements to be outside the firewall. As for what Turquoise means, I'm not sure but would love to see their definition to know if their numbers are comparable. Also would like to know if these measurements were made under load because that can also make a significant difference.

[chrisaycock]

Right, the only metric I want to see is the roundtrip latency between when I submit my order to when I get my execution report. I just aggregate the timestamps in my FIX logs and usually quote the min, median, max when trying to compare exchanges.

Every exchange we negotiate with quotes us their ping-test results. I always have to remind them that there's a lot more to getting an order into the book (especially via FIX) than just TCP.