In 2007, Cinnober published a white paper which established some best practices for measuring latency in financial markets and publishing the results in a clear and understandable fashion. Since that paper was published, latency has become the most widely-used metric. We also disclosed benchmark figures with a level of transparency seen neither before nor since, showing that the context of the latency testing environment is of the utmost importance.
In this paper we continue to explore the measurement of latency and, more importantly, what can be done to minimize it. We detail our test configurations and show how these affect the trade-off between latency and throughput. In our latest published benchmarks on a full-blown TRADExpress Trading System, we achieved a door-to-door latency of 286 microseconds and a business logic latency of 138 microseconds. We also publish our roadmap to further reduce latency, the goal of which is to go below 80 microseconds door-to-door within a year and 25 microseconds within 18 months.