Suggestions for measuring latency

[kcsystemtrader]

Would like to add in some performance stats into my strategy to measure latency across various areas of the platform.

Has anyone published any work/tips on this (I searched the forums and could not find anything) in the past that I may have missed?

For one, I'd like be able to understand if/when data is being queued or being received late from my market data provider (something better than just visually observing a T&S window versus my local PC clock).

Two, I'd like to be able to measure how optimally my strategy processes each incoming tick.

Three, I'd like to understand the time it takes from when I place an order until I receive acknowledgement (or a fill on market orders) back from the exchange.

Any tips on an efficient/simple way to gather some of this data would be appreciated. Thanks,

kc

[VTtrader]

kc,

You can try the indicator I included in this post, it was written for 6.5 but works for NT7 as well, and see if it helps you.

http://www.ninjatrader.com/support/forum/showpost.php?p=118689&postcount=67

It's probably a good idea to read through the thread, there are some limitations that were uncovered due to not having access to sub-second timestamps.

VT