Latency Monitoring Standards At Hand

Terry Flanagan

FIX working group to enable comparison of latency information across organizations.

One of the major technological challenges in latency monitoring is the lack of an official latency measurement standard that allows comparison of latency measurements.

That’s starting to change. A group of industry participants have formed the FIX Inter-Party Latency Working Group (FIX IPL), which is developing a standard that will allow the easy assembly of latency information on a consistent basis across multiple organizations.

“Having standards will enable companies to invest in a solution without worrying about being locked into a proprietary standard,” said Raymond Russell, chief technology officer and founder of Corvil, at the FPL Americas Trading Conference in New York on Tuesday.

In the world of high performance trading, accurate, relevant and up-to-date information about latency is critical to the decision process for when to trade and where to trade, as well as the investment process for low-latency trading infrastructure and services.

With respect to the trade decision process, if a trader knows that the market is experiencing high levels of latency for orders, then there is a higher level of risk that the trader will not be able to get the fill at the price advertised.

“Latency transparency provides the critical information that allows a trader to assess the level of price risk for a trade opportunity and take the appropriate action,” Donal Byrne, CEO of Corvil, told Markets Media. “Without latency transparency, the trader will be blind to that risk.”

With respect to the investment process, traders who invest in low-latency infrastructure and services need to be assured that the speed improvement is being achieved and the expected return on investment can be proven.

“Latency transparency provides this quantitative evidence,” said Byrne.

For example, if a trading organization decides to make a major investment in a co-location strategy with a view to improving fill rates for their algos, then this organization will wish to see full disclosure of latency for their data and orders to that market, and compare them to other markets where they are not co-located, Byrne said.

Corvil, a provider of latency management systems for high performance trading and market data, together wrath Nasdaq OMX, are providing full latency measurement and performance visibility across Nasdaq OMX’s Genium INET trading platforms.

Corvil has built a suite of parsers that decode activity within NASDAQ OMX’s protocols and APIs to determine the latency of orders, without requiring users of the module to understand the protocols and interfaces.

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