We use RFA Java to process Level market data message. Quote message has FID such as QUOTE_TIM to contain exchange time. Assuming our application client and Reuters servers are synched to correct timer server, we can timestamp the API callback time and measure the the total latency between client and exchange. But we would also like to get the Reuters timestamp on receiving the message from exchange- which does not seem to be available from browsing RFAJ documentation and this developer community.
No, we don't timestamp the instance a message is received from the exchange. Whatever this number is, it will add up into the end-to-end latency number that you calculate - which is probably the only number that matters in the performance calculations.
Please see this question on other helpful tips regarding calculating latency of TREP and your application.