exchange latency

Discussion in 'Order Execution' started by gsprod, Jun 10, 2006.

  1. gsprod


    Does someone know the exchnage latency in europe and in the states :

    I am interested in roundtrip latency for the following exchanges :

    only single order messages latency.

    thank you

  2. At Refco Trading Services we had confirmed fill latency of <25ms on LIFFE futures.

    That was with an exchange gateway on our LAN, so the only process in series before our order was onto a clear exchangeside line would be the order being assessed locally against risk parameters for clearing.

    You'll find exchange latency is not generally a problem with the possible exception of during unusually fast markets. Your order will be matched in <1ms on the exchange matching engine.

    The slow part is transit time and broker handling - ie: your order leaves your computer and will have to travel (via the internet normally) to the broker, broker assesses for risk against your account margin and then sends it onward to the exchange which will match it and send the confirmation back to the broker who sends it back to you.

    If your broker has an inefficient, inadequate or poorly designed order handling system, their part of the deal can add you a couple
    hundred milliseconds onto the process.
  3. gsprod


    Thank you Arbitrageur,

    Do you knwo the latency of the other exchanges ?