Overview

What is it?

FIX Latency Meter is a small tool that measures time difference between inbound and outbound FIX messages.

How does it work?

The tool intercepts inbound and outbound TCP packets containing FIX messages. All captured packets carry time stamps. This tool matches outbound packets with corresponding inbound packets using some kind of correlation key (Usually a value of FIX tags).

For example, this tool can be used measure latency of trading signals. FX market data feed usually contain a field QuoteEntryID(299), while FX orders may contain a field QuoteID(117). Tool can correlate inbound and outbound messages based on the value provided in these tags.

Simple statistics (min/max/avg) is printed out during run time and latency log of each signal is recorded into CSV file.

This tool can monitor latency of live network traffic or process previously captured traffic in pcap format (for example produced by Wireshark).

This tool is based on jNetPcap library, which is in turn is a wrapper around libpcap.

###How precise is it? Time stamps of each packet come from libpcap (WinPcap) library, which in turn gets them from the operating system kernel. WinPcap has microsecond precision, while libpcap has nanosecond precision.

###How to use it

See Quick Start wiki page.

##Disclaimer

This tool has been tested with WinPcap version 4.1.3 and jNetPcap 1.4.r1425 on Windows 7 SP1 Professional.

This tool is provided "as is" without warranty of any kind and is to be used at your own risk.

License

This tool includes jNetPcap software developed by Sly Technologies and distributed under LGPL license free of charge and royalties.