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General Q/A
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Re: Latency calculation
Aditya Khandekar / Merrill Lynch
24 Jun 2009 7:00PM ET > Latency can mean several things, as stated above. I think the three
> most relevant figures are -One way: Time it takes from the source to
> the destination. Which is in fact very hard to get unless you control
> both ends. -Round trip, which is an end to end latency between an
> order was sent and the acknowledgment was received. Doesn't work for
> one way messenging (like market data). -Hop to hop: the time it takes
> for a message to travel through a specific set of software and
> hardware routers.
>
> This can be done at the software level (aka looking at time stamps or
> log times), or at the network level (packet timestamps). Although
> software is the easiest approach, it has several inherent flaws. Indeed,
> what you are seeing in a log is the time the software understood the
> message and printed the message (after message was buffered in the
> network layers, repackaged, read, decoded and formatted), which might be
> quite different from the time it was received.
>
> You may also want to bear in mind that if a message travels through
> multipler servers, their system time will not be synchronized.
>
> In my humble opinion, the two must important numbers are:
> - What is perceived by the end user. Which has quite poor granularity
> (Wow, Ok, Fire the IT guy).
> - What gets published in your company PRs. Which is a surprisingly low
> number that only happened once in completely unrealistic conditions.
Can't agree more with Jean here! Latency is indeed only as low as it is perceived by the end user. Having worked on numerous latency issues, its up to the sell side to NOT rely just on what they see (app logs/network logs etc...)A good start would be to
1) Get some kind of feedback (i-e logs) from the end users
2) Set realistic expectations
Diff buy sides measure latency in their own way and hence have to be looked at differently.
Re: Latency calculation
Aditya Khandekar / Merrill Lynch 24 Jun 2009 7:00PM ET
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