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)?
Marketing materials at <a href="http://www.lseg.com/media-centre/news/corporate-press-releases/turquoise-confirms-it-world%E2%80%99s-fastest-trading-platform" rel="nofollow">http://www.lseg.com/media-centre/news/corporate-press-releas...</a> (found via Wikipedia for 'High-frequency trading') says:<p>> 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.<p><a href="http://www.computerweekly.com/news/1280095920/London-Stock-Exchange-averages-100-microsecond-trades" rel="nofollow">http://www.computerweekly.com/news/1280095920/London-Stock-E...</a> 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."