So how is the latency floor for HFT calculated?
Typically you’d have some combination of order fill for orders that cross the book, successful cancellation (which is where the real race is) and mechanical observation of tick to trade.
No. Not everything is FIFO.
You can be last to place a passive resting/limit order at a price and still be the first to receive a fill at that price. And yes, you had the advantage of seeing all the other passive orders at that price.
Examples: Pro-rata markets (SOFR interest rates, some US treasuries), designated market makers (futures, equities), etc.
Source: I work in HFT.
“Unfortunately, I cannot comment at this time.”
"LMM – CME Designated Lead Market Makers are each allocated a configurable percentage of an aggressor order quantity before the remaining quantity passes to the next step."
Certain matching algorithms allocate orders to LLM before considering FIFO - specifically algorithm T (LMM w/o Top). So I guess it depends on how strict is your definition of "FIFO order queue".
https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSAN...
https://cmegroupclientsite.atlassian.net/wiki/spaces/EPICSAN...
(I don't know the internals of the mentioned exchanges)