Execution latency is the elapsed time between order submission and a defined execution event. In a trading log, acknowledgement and fill timestamps mark different stages of the order lifecycle. For example, an order can be acknowledged promptly and fill later when liquidity becomes available. State the start and end events when reporting latency and keep acknowledgement, first fill and final fill measurements separate.
How to measure execution latency
Record when the application sends the order, when it receives acknowledgement, and when it receives the first and final fill reports. Use a common local clock for these measurements and identify whether you are timing message receipt or a venue timestamp.
In a hypothetical trace, acknowledgement arrives 12 ms after submission and the first fill report arrives 45 ms after submission. These measure different stages. Compare medians and slower observations across similar orders, and count rejected and unfilled orders separately. See FIX API for an example order flow.
Related guide: Execution Control — Quick Guide.