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Date/Time: Fri, 26 Apr 2024 02:22:42 +0000

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Post From: DTC Low latency routing needs more precise timestamps

[2023-01-27 01:03:30]
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User5044343 - Posts: 67
(2) Two items. Pretty please.

OrderReceivedDateTime doesn't have any more detail than "seconds"
LatestTransactionDateTime only goes to 1 millisecond.

If possible please increase granularity on LatestTransactionDateTime and have OrderReceivedDateTime match it.

Right now OrderReceivedDateTime rounds up and shows up that a message was received in the future. Example below:


2023-01-27 00:52:02 1674780722.8678 Received: {"Type":301,"RequestID":0,"TotalNumMessages":1,"MessageNumber":1,"OrderStatus":2,"OrderUpdateReason":2,"OrderType":4,"BuySell":1,
"Price1":407400,"Price2":407500,"TimeInForce":0,"GoodTillDateTime":0,"OrderQuantity":1,"FilledQuantity":0,"RemainingQuantity":1,"AverageFillPrice":0,"LastFillPrice":0,
"LastFillDateTime":0,"LastFillQuantity":0,"NoOrders":0,"Symbol":"MESH23_FUT_CME","Exchange":"","ServerOrderID":"","ClientOrderID":"4","ExchangeOrderID":"",
"LastFillExecutionID":"","TradeAccount":"","InfoText":"Order from DTC client #323. execute. 1xxxxx2","ParentServerOrderID":"","OCOLinkedOrderServerOrderID":"","OpenOrClose":0,"PreviousClientOrderID":"","FreeFormText":"","OrderReceivedDateTime":1674780723,
"LatestTransactionDateTime":1674780722.863,"Username":""}

2023-01-27 00:52:02 1674780722.8717 Received: {"Type":301,"RequestID":0,"TotalNumMessages":1,"MessageNumber":1,"OrderStatus":2,"OrderUpdateReason":3,"OrderType":4,"BuySell":1,
"Price1":407400,"Price2":407500,"TimeInForce":1,"GoodTillDateTime":0,"OrderQuantity":1,"FilledQuantity":0,"RemainingQuantity":1,"AverageFillPrice":0,"LastFillPrice":0,
"LastFillDateTime":0,"LastFillQuantity":0,"NoOrders":0,"Symbol":"MESH23_FUT_CME","Exchange":"","ServerOrderID":"1054779","ClientOrderID":"4","ExchangeOrderID":"1384025",
"LastFillExecutionID":"","TradeAccount":"","InfoText":"Teton CME Order Routing (New). Info: Order from DTC client #15. Sierra Chart. 6xxxxxxxxx7","ParentServerOrderID":"","OCOLinkedOrderServerOrderID":"","OpenOrClose":0,"PreviousClientOrderID":"","FreeFormText":"","OrderReceivedDateTime":1674780723,
"LatestTransactionDateTime":1674780722.867,"Username":""}


I'm trying to replicate your speed execution as posted in Teton Order Routing Order Latency Clocked at 250 µs! but I can't replicate/verify/match your findings.
Date Time Of Last Edit: 2023-01-27 01:05:31