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Quantitative Finance · Glossário

O que é Latency?

Definition 1.1 Low-Latency Software · Capítulo 1 — Where Latency Comes From

The latency of a system between two events is the time from the first event (a packet arriving, a function being called) to the second (an order leaving, the function returning), measured for one occurrence. It is a random variable: each message has its own.

Exemplos

Example 1.11 (Median against tail in a race)

Our latency has a lognormal body with median 2.0 µs2.0\,\text{µ}\mathrm{s} and a 2% chance of a stall of 30 µs30\,\text{µ}\mathrm{s} on average; the competitor’s median is 2.2 µs2.2\,\text{µ}\mathrm{s} with stalls of the same length 0.5% of the time. Simulated over a million races, we win 66.1%. Halving our median wins 98.0%. Halving our stall rate, which cuts our p99 from 23.6 µs23.6\,\text{µ}\mathrm{s} to 3.5 µs3.5\,\text{µ}\mathrm{s}, wins 66.7%: a large improvement of a percentile that races barely see (Figure 1.4).

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