CME Trades: Message Ordering and Latency
Whenever a trade occurs on a CME matching engine, the exchange disseminates such information in a sequence of messages.
A few important observations:
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The exchange disseminates a Trade Summary Message first for any trade.
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85% of the time other updates, such as Incremental Book updates or Order updates arrive in subsequent network packets.
The above observations prove that there is a significant latency advantage to processing Trade Summary Message and applying it to internal book (which predicts the resulting CME public order book).
How big is the advantage?
On average it is found to be 19.036 microseconds.