Setting a trace id in nginx load balancer

In most cases you don't need a custom module, you can simply set a header with a combination of embedded variables of http_core_module which is (most probably) unique. Example:

  location / {
      proxy_pass http://upstream;
      proxy_set_header X-Request-Id $pid-$msec-$remote_addr-$request_length;
  }

This would yield a request id like "31725-1406109429.299-127.0.0.1-1227" and should be "unique enough" to serve as a trace id.

Old question, new answer suitable for nginx verions 1.3.8, 1.2.5 and above.

You can use a combination of $connection and $connection_requests now. Just define your own variable in the server block:

server {
    ...
    set  $trace_id  $connection-$connection_requests;
    ...
}

This id is going to be unique across nginx unless the server gets restarted.

$connection - The connection serial number. This is a unique number assigned by nginx to each connection. If multiple requests are received on a single connection, they will all have the same connection serial number. Serial numbers reset when the master nginx process is terminated, so they will not be unique over long periods of time.

$connection_requests - The number of requests made through this $connection.

Then, in your location block, set the actual trace ID:

location / {
    ...
    proxy_set_header X-Request-Id $trace_id;
    ...
}

Bonus: Make $trace_id unique even after server restarts:

set  $trace_id  $connection-$connection_requests-$msec;

$msec - The current unix timestamp in seconds, with millisecond resolution (float).

nginx 1.11.0 added the new variable $request_id which is a unique identifier, so you can do something like:

   location / {
      proxy_pass http://upstream;
      proxy_set_header X-Request-Id $request_id;
   }

See reference at http://nginx.org/en/docs/http/ngx_http_core_module.html#var_request_id