Analyzing the performance of our trading ecosystem

Before we analyze the performance of our electronic trading ecosystem, let us quickly recap the measurements we added in the previous chapter.

Revisiting the latencies we measure

We added two forms of measurement. The first one measures the performance of internal components and the second one generates timestamps at key points in our entire system.

The first form, which measures the latencies of internal components, generates differences in RDTSC values before and after calls to different functions, and generates log entries such as the following:

exchange_order_server.log:18:48:29.452140238 RDTSC Exchange_FIFOSequencer_addClientRequest 26
trading_engine_1.log:18:48:29.480664387 RDTSC Trading_FeatureEngine_onOrderBookUpdate 39272
trading_engine_1.log:18:48:29.480584410 RDTSC Trading_MarketOrderBook_addOrder 176
trading_engine_1.log:18:48:29.480712854 RDTSC Trading_OrderManager_moveOrder 32
trading_engine_1.log:18:48:29...