Ask HN: What is the highest fidelity timestamp of a stock exchange trade?
It appears that most exchanges use Price-Time-Priority in their matching systems. Does anyone know what is the smallest increment exchanges use for their timestamp (e.g. a single millisecond)?
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[ 3.3 ms ] story [ 15.7 ms ] thread> The average order entry latency on Turquoise’s new ultra-low latency trading system, developed by MillenniumIT, is 126 microseconds, twice as fast as Turquoise’s main international competitors on a like for like basis. 99.9% of all customer orders on the new system are accepted, processed and acknowledged within 400 microseconds.
http://www.computerweekly.com/news/1280095920/London-Stock-E... says "London Stock Exchange (LSE) completes trades in just over 100 microseconds on average" and "The MillenniumIT system will soon be able to process two million messages in two microseconds."