BAXTER / XCDE, is a member of FIX Inter-Party Latency Working Group. The working group has brought together leading industry experts to standardise two specific aspects of latency measurement.

Firstly, the working group has developed taxonomy of standardised measurement points, so that compliant to the standard latency statistics published by different organisation will be comparable on like-for like basis. The FIX IPL taxonomy is shown below.

Secondly, the latency data interoperability protocol has been developed to enable interoperability between latency monitoring solutions.

Why is XCDE involved?
  • Demonstrate performance to clients and stakeholders
  • Improve system design
Why is there a need for IPL?
Trader sees end-to end latency, but where does it arise?
  • In the matching engine because of market activity?
  • In the gateway because of poor load-balancing?
  • In the networks?
Solution: share measurements
  • What is being timestamped?
  • Where along the path are they taken?
  • How to describe and distribute them?
  Marker (values below in Milliseconds)
Date LMP E1 −­ E12(Q) LMP E5 −­ E4(Q) LMP E1 −­ E8(O) LMP E5 −­ E8(O) LMP E1 −­ E4(O)
27 Aug 2012 21 soon soon soon soon
15 Jun 2012 34 soon soon soon soon
28 May 2012 71 soon soon soon soon
18 Jan 2011 96 soon soon soon soon


We will publish performance results after every software update to our systems, or in case of major hardware changes.
Please contact us
if you would like to be notified when new test results are made available, or if you’d like to participate in the FIX IPL project. We can offer you a set of scripts which will capture events and transmit them to our IPL measurement environment, which will allow you to analyze your trading latency, and contribute towards better and accurate XCDE statistics.