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Millisecond Trading Time Stamps. Why are they important?


#1

Someone has mentioned on this discussion board a “Millisecond Time stamp”. What is the significance in trading and is it important for someone like me who uses day trading bars.


#2

There are a few different scenarios where sub-second timestamps are important:

  1. If you are running a fast strategy, on tick-by-tick data, and your strategy uses the arrival rate of quotes/trades as an indicator.

  2. If your bid/ask data and trade data are provided by separate data sources and need to be synced by your platform.

  3. If you are running a multi-instrument strategy, then you need the instruments to be well synchronized. This is especially tricky if you are using non-standard bar types, such as range bars, volume bars, tick bars, etc. A string of bars can print all within a second or two, so your platform needs to know which instrument’s bar printed first. And if you are using every tick, millisecond timestamps are absolutely essential.

  4. If you are using time-based bars, with sub-second bar intervals, then you definitely need sub-second timestamps.

  5. If you have to have the fastest car, nicest watch, and hottest date, then you probably also need millisecond (or even microsecond!) timestamps.

The truth is, most people/scenarios don’t require sub-second timestamps. If you are using minute bars (or any multiple thereof) then minute timestamps are good enough.

Happy trading…


#3

I think if you’re trading with tick charts, or not directly time-based bars, then you DEFINITELY need millisecond time stamps.If you’re looking at the market open for a volume heavy contract, you’re going to see so many different ticks within the same second that it will be indistinguishable from another one. In the event that you’d need to look back with more granularity, then it’s well worth it.