New Simulator Feature: Market Data-Based Latency Modeling

Roman Bansal

24 Jun 2026 — 1 min read

One of the biggest challenges in backtesting and simulation is that fills often look far better than they would in live trading.

To help bridge that gap, we've added support for market data-based latency modeling in the Nanoconda Simulator.

The simulator can now dynamically introduce latency based on real market conditions, allowing strategies to experience delays that more closely resemble those observed in live CME environments.

Introduced Latency is based on public market data timestamps that show latest event matching engine latency.

Formula:

    Matching Engine Latency = Exchange Sending Time - Transaction Time

This helps users better evaluate:

✅ Order acknowledgement delays
✅ Fill timing sensitivity
✅ Queue position effects
✅ Strategy robustness during periods of increased market activity
✅ Performance differences between simulation and production

Rather than assuming a fixed delay, latency can now vary with market conditions, creating a more realistic testing environment for algorithm development.

The goal is simple: make simulation results closer to what traders can expect when they go live.

As always, the simulator uses the same API as the live Nanoconda environment, making it easy to move strategies from testing to production.

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