Support Board
Date/Time: Mon, 25 Nov 2024 23:18:29 +0000
Post From: Version 1047: Millisecond time stamping
| [2013-11-29 13:03:34] |
| Hendrixon - Posts: 130 |
|
And to SC, if you still read this, here is a comment I got after exchanging few emails with a big HFT firm: In general we never rely on the timestamps provided by an exchange to indicate time of trade as it usually does not have good enough granularity and it usually is not representative of the time of the matching event and is subject to change.
We timestamp data to indicate when we received the messages and it could be argued that such a time is a better time as it actually represents the first time we could know about it (we presume that we could know about it when someone else outside the exchange could know about it). The fact that orders were matched at some time is probably not as important as when the rest of the world found out about it so they could take action on it. I'll add that I agree with this since the perfect time stamp should be the order arrival time. that represent the intent and action logic of the aggressors. Arrivals time stamp eliminates stop orders time stamps [who are totally meaningless] and is clean of any matching logic/latency or bundling with triggered stops. If we assume FIFO, with fixed matching latency, than time stamping the out going stream is pretty representative of arrival time. |