Hey jcrubino,

First make a list of the FIX protocols offered by exchanges, to my knowledge the one's offering fix are:

• Coinsetter - https://www.coinsetter.com/api
• There is one other one I can't think of right now...

Than I'd setup a number your benchmark too PING the APIs and record average latencies. I don't know anyone whom has done this yet as the FIX offerings across exchanges are pretty limited versus HTTP-esc and Websockets style protocols.

One gentalman whom is heavily involved in FIX and has an interest in Bitcoin: George Kledaras, http://www.wallstreetandtech.com/author-bio.asp?author_id=1421, see: http://www.wallstreetandtech.com/trading-technology/is-fix-protocol-use-declining/a/d-id/1252798?