Latency modeling for sandbox/real-time

[cjdsellers]

Feature Request

A use_message_queue config option was added to SimulatedExchange as a temporary work around for processing trading commands in real-time cbfc703 to accommodate the "sandbox mode" #1674.

This means that currently when trading commands are submitted to the sandbox execution client (and onto its internal simulated exchange) there is practically no latency in either direction. The commands will be processed and events generated at local platform latency (microseconds) which is relatively unrealistic for most venue and setups.

A future feature could leverage the LatencyModel to extend to real-time, potentially by using a timer to "delay" command processing and events being generated - to achieve to desired latency model spec.

[OdinLin]

Like https://github.com/nkaz001/hftbacktest/blob/master/docs/latency_models.rst ？

[TheLegendAli]

yup we need something like that, for my backtest I'm implementing a few latencies:

• latency that I receive the data

• latency for nautilus to do its magic

• latency for exchange to receive order from nautilus

I'm manual using "timer" to add delay. But would be nice if we can automate it