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i found out that TT xtrader api provide only the time stamp when the data entered into mu computer (also with no milliseconds)
what would be best way to measure my latency from the exchange?
thanks
Can you help answer these questions from other members on NexusFi?
Question
How do I analyze the time properties of a TTOrderObj?
Answer
Time$: Time the order was sent to the TT gateway. This will remain unchanged throughout the lifecycle, and is taken from the client workstation.
TimeExchange$: Time the exchange received the order. This timestamp is provided by the exchange, although not all exchanges provide it. It should be noted that if the time zone differs from the workstation, a conversion to local time should be done to correctly compare with other time properties.
TimeLocalUpd$: Time the XTAPI received the order. This value will only be available to the originating application, and is taken from the client workstation.
TimeProcessed$: Time the TT Gateway processed the order. This timestamp is taken on the TT Gateway.
TimeReceived$: Time the TT Gateway received the order. This timestamp is taken on the TT Gateway.
TimeRouted$: Time the XTAPI forwarded the order to X_TRADER. This is taken from the client workstation.
Note: When polling the above data there are three different places timestamp data is taken from; the client workstation, the gateway, and the exchange. Take note of this difference when comparing times.
The general order time stamp trail is as follows:
Timestamp taken by the client application before order submission
TimeRouted$
Time$
TimeExchange$
TimeReceived$
TimeProcessed$
TimeLocalUpd$
Timestamp taken by the client application in the acknowledgement notification
What’s the order round trip time?
Order round trip time = time 8 - time 1
How long did the exchange take to respond to my order?
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Is there a similar way to look at this in XTrader?
Looking at the XTrader Logs I see
Start Time ~ Seems to be related to when you start the software
End Time ~ Seems to be related to when you stop the software
Time ~ Seems to be local PC time
and...
Exch Time
Time Sent
Time Processed
which I assume relate to what you linked to but there doesn't seem to be anything to indicate end time.
We have solutions for all of this on the way with the TT platform.
Trading Technologies will allow you to monitor exchange latency in real time when we release a new metric for the TT platform in late May.
The Audit Trail in TT already exposes hedge latency numbers for Autospreader hedge orders. This is an internal latency where we show the difference between the time TT receives the fill on a quote order to the time TT releases the hedge order. The metric we will introduce next month will expose exchange latency where users will see the difference between the time TT submits an order and the time the exchange acknowledges the order.
If you have any questions about the products or services provided, please send me a Private Message or use the futures.io " Ask Me Anything" thread
