Latency Models

Status Draft briefPart Simulation and Backtesting

Latency determines which state is observable when a decision occurs and which competing events arrive before an order or cancellation becomes effective.

Central questions

• Which receive, compute, send, network, gateway, and venue delays are modeled?
• Are delay samples independent of load and message type?
• How are timestamp uncertainty and clock error represented?

Planned model

Apply constant, empirical, load-dependent, and correlated latency distributions to identical decisions and reveal changed queue positions and fills.