Measuring Latency in Algorithmic Trading: From Simple Timers to System-Level Simulation
2025-07-06
In low-latency algorithmic trading, milliseconds—even microseconds—matter. This article explores the challenges of accurately measuring latency in algorithmic trading systems. Simple timing methods fall short, failing to capture network I/O and other crucial factors. The author proposes a more comprehensive approach: using simulated exchanges and ATS to model the complete trading process for precise latency measurement. The article clearly explains the pros and cons of various methods and highlights the challenges encountered in pursuing ultimate performance.
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