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Date/Time: Sat, 18 May 2024 06:48:13 +0000

Post From: Is the DTC Server possibly adding a large latency in the market depth updates

[2020-07-20 08:12:35] Link To Thread - Link To Post [Go To First Post]
User442651 - Posts: 25
As soon as a message is received by the stream I stamp the time with the client's clock. This is compared with the timestamp in the MarketDepthUpdateLevelFloatWithMilliseconds message. I am finding that there is consistently a latency of about 350ms: Message received at 2020-07-20 04:04:46.1515. Type: MarketDepthUpdateLevelFloatWithMilliseconds, Size: 29 Received market data for XBTUSD-BMEXT. Timestamp: 2020-07-20 04:04:45.7880, Client Timestamp: 2020-07-20 04:04:46.1512, Latency: 00:00:00.3632265 Message received at 2020-07-20 04:04:46.1836. Type: MarketDepthUpdateLevelFloatWithMilliseconds, Size: 29 Received market data for XBTUSD-BMEXT. Timestamp: 2020-07-20 04:04:45.8310, Client Timestamp: 2020-07-20 04:04:46.1834, Latency: 00:00:00.3524565 However, the ping round-trip time to bitmex.com is about 95ms. Is is possible that DTC server is creating a lag of about 300ms?