Latency Measurement

S# measures order registration and cancellation latency through the LatencyManager. The manager determines how much time passes between sending an order and receiving confirmation from the exchange.

ILatencyManager Interface

The ILatencyManager interface defines the base contract:

• LatencyRegistration — total registration latency across all orders (TimeSpan).
• LatencyCancellation — total cancellation latency across all orders (TimeSpan).
• Reset() — resets the state of the manager.
• ProcessMessage(Message) — processes a message; returns the latency for the given operation or null.

How It Works

The latency manager operates on a "request-response" principle:

1. Order Registration

When an OrderRegisterMessage is received, the manager saves the pair (TransactionId, LocalTime) — the moment the order was sent.

2. Order Cancellation

When an OrderCancelMessage is received, the manager saves the pair (TransactionId, LocalTime) — the moment the cancellation was sent.

3. Order Replacement

When an OrderReplaceMessage is received, the manager registers both a cancellation (of the old order) and a registration (of the new order) simultaneously.

4. Confirmation

When an ExecutionMessage with order information (not in Pending state and not Failed) is received, the manager calculates the latency:

Latency = ExecutionMessage.LocalTime - StoredLocalTime

The result is added to LatencyRegistration or LatencyCancellation depending on the operation type.

State: ILatencyManagerState

The ILatencyManagerState interface stores the manager's internal state:

• Pending registrations: AddRegistration(transactionId, localTime) / TryGetAndRemoveRegistration(transactionId, out localTime)
• Pending cancellations: AddCancellation(transactionId, localTime) / TryGetAndRemoveCancellation(transactionId, out localTime)
• Accumulated latencies: LatencyRegistration, LatencyCancellation
• Addition methods: AddLatencyRegistration(TimeSpan), AddLatencyCancellation(TimeSpan)

The default implementation is LatencyManagerState.

Error Handling

If an order fails (OrderState == Failed), the latency is not counted — the record is simply removed from the state store.

Integration via Adapter

The LatencyMessageAdapter class wraps an inner adapter and automatically measures latency for all order operations.

Integration with Strategy

The strategy (Strategy) exposes the Latency property for tracking latency.

Usage Example

// Creating a manager with a state store
var manager = new LatencyManager(new LatencyManagerState());

// Processing order registration (saving the send time)
manager.ProcessMessage(orderRegisterMsg);

// Processing confirmation (calculating latency)
TimeSpan? latency = manager.ProcessMessage(executionMsg);
if (latency != null)
{
    Console.WriteLine($"Latency: {latency.Value.TotalMilliseconds} ms");
}

// Total latencies
Console.WriteLine($"Registration latency: {manager.LatencyRegistration.TotalMilliseconds} ms");
Console.WriteLine($"Cancellation latency: {manager.LatencyCancellation.TotalMilliseconds} ms");

Resetting State

The Reset() method clears all pending records and resets accumulated latencies to zero:

manager.Reset();