Timestamp when event was received from network into RFA api library

mktdata

Hello, we are using RFA 8.2 C++ api to consume Level1 and Level2 market data using MP/MBP/MBO/Limited Level 2 MP domain. We are on a hunt to know latency in systems for both Level1 and Level2 feeds programmatically. We would like to know programmatically the timestamp when particular market data tick has arrived in the api library. This timestamp will be then used as a base to calculate latency added by our system. May I know the following in this context -

• How to enable programmatically getting timestamp of when event was received in api?
• Any reference documentation on this to know unit of timestamp, performance impact … etc?
• How much is the performance impact of enabling this? Can this be turned on in production?
• Based on your experience with other client, do you suggest any better solution to measure latency in production?

Jirapongse

@mktdata

Thank you for reaching out to us.

There are two options.

Event Queue with Statistics

RFA supports the Event Queue with Statistics which allows applications to monitor the number of events.

You can create a statistic event queue by setting the statistics parameter to true.

static EventQueue * 	create (const rfa::common::RFA_String &name, bool statistics=false)

Then, you can call the virtual int rfa::common::EventQueue::getEventQueueCurrentSize() method to get the current number of events stored in the event queue.

Enable OMM Event Age

You can set the enableOMMEventA
ge configuration to True to enable the event age for OMM item events.

Then, you can call rfa::common::Event::getEventAge() method to get time in milliseconds, elapsed since the event was created.

According to the document, enabling these features may negatively impact performance due to the overhead introduced by timestamping messages. However, we currently do not have specific metrics quantifying the performance impact. I believe it's reasonable to enable these features in the production environment.

Some update messages may include timestamp fields, which are typically in UTC. This allows the application to compare the timestamp in the message payload with the time at which the data is decoded, enabling latency measurement.