Measuring latencies in the trading engine
In this section, we will focus on adding performance measurement and timestamps to the trading client’s system – the market data consumer, the order gateway, and the trade engine and its subcomponents. Here too, we will measure the performance of internal components as well as add timestamps to help with a higher-level analysis of incoming and outgoing events latencies.
Understanding how to measure internally
The motivation and approach toward measuring the performance of internal components for the trading clients’ systems are identical to those on the exchange side. The complete list of internal measurements we will take is listed next, but interested readers should use similar techniques to add even more points of measurement as they see fit. We will see the code for how to measure these familiar methods shortly, but for now, the methods we will measure on the client’s side are the following:
Trading...
