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Date/Time: Thu, 02 May 2024 08:14:10 +0000

Post From: The Millisecond Time Stamping Myth

[2013-10-15 21:56:02] Link To Thread - Link To Post [Go To First Post]
TastyRisk - Posts: 119
"...what we see is there is no millisecond timestamp. other than for the sending time of an FIX message which contains trades. " Ah, very interesting. Thanks for the explanation. So HFT shops are using the timestamps of the FIX messages as trade timestamps. I note that my DSL connection can process more than a thousand incoming packets-per-second. Therefore, as long as your circuit is performing singularly, you'd only need to be able process 2,000 PPS (re; Nyquist theorem) to capture at MS resolution... which I'm sure your "SC GigE NIC - CME GigE NIC" connection can do no problems!!