Microseconds

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1

Imported from previous forum

2

Good day,

I see that some exchanges (TSE, Nasdaq) have started to support micro/nanoseconds in timestamps (TransactTime, SendingTime). Is there a plan to standardize the format?

Regards,
Xavier.

3

Note that FIX has multiple encodings, including tag=value, FIXML, and multiple binary formats. Simple Binary Encoding (SBE) has a standardized wire format for timestamps of any precision, including nanoseconds. See High Performance Specifications under the Tech/Specs tab on this site.

4

CME has started to use user defined fields to add support for microsecond & nanosecond format in FIX 4.2 since the official fields like 52 & 60 cannot be tampered with.

5

You are right, I should have specified the encoding. I was speaking about the tag=value protocol.

UTCTimestamp

Current standard format: YYYMMDD-HH:MM:SS.sss with sss the number of milliseconds
TSE format: YYYMMDD-HH:MM:SS.ssssss with ssssss the number of microseconds
Nasdaq Nordic format: YYYMMDD-HH:MM:SS.sssssssss with sssssssss the number of nanoseconds

CME is using a custom tag with the number of nanoseconds since Unix epoch.

6

Hi all,

What do you think of having the timestamp format as YYYYMMDD-HH:MM:SS.sss.uuu where .uuu represents microsecond level. Is there particular reason to go with YYYYMMDD-HH:MM:SS.uuuuuu rather than YYYMMDD-HH:MM:SS.sss.uuu

For instance, the following timestamps refers to the same time although in 2 slightly different formats:

20150708-10:46:23.342.678
20150708-10:46:23.342678

Regards
Chathura

7

Hi Xavier & all,
Agree its time (millis, micros and nanos) to FIX (standardize) this issue!

Moreover it is probably required for MIFID II requirements.

one assumes that the ‘natural place’ to speak about this is in the comming meeting of MIFID II Clock Synchronization Working Group meeting scheduled for 19/Aug 15:00 UK time.

Personally I’ll recommend to modifiy existing tags (of type UTCTimeStamp) to accept the two more format:
YYYMMDD-HH:MM:SS.ssssss (micros)
YYYMMDD-HH:MM:SS.sssssssss (nanos)

i.e. modify the UTCTimeStamp type itself.

I hope it helps
I look forward to meeting more people in the Clock Synchronization Working Group meetings and hear their say.