Comment by blibble

2 days ago

> I never saw a need for this in HFT. In my experience, GPS was used instead, but there was never any critical need for microsecond accuracy in live systems.

mifid ii (uk/eu) minimum is 1us granularity

https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=uriserv:...

5 comments

blibble

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dmurray  2 days ago

It's 1 us granularity, which means you should report your timestamps with six figures after the decimal point.

The required accuracy (Tables 1 and 2 in that document) is 100 us or 1000 us depending on the system.

  • blibble  2 days ago

    > The required accuracy (Tables 1 and 2 in that document)

    no, Tables 1 and 2 say divergence, not accuracy

    accuracy is a mix of both granularity and divergence

    regardless, your statement before:

    > The regulatory requirement you linked (and other typical requirements from regulators) allows a tolerance of one second, so it doesn't call for this kind of technology.

    is not true

    • metaphor  2 days ago

      > accuracy is a mix of both granularity and divergence

      I respectfully disagree.

      In context, "granularity" is nothing more than a resolution constraint on reported timestamps. Its inclusion adjacent to the specified "divergence from UTC" is a function of market manipulation surveillance objectives as discussed in preamble item (2), and really doesn't have anything to do with accuracy proper.

    • broretore  21 hours ago

      any time i am certain of something i never capitalize and i do not end my sentences with periods or use any punctuation because i like people to believe i am an omniscient narrator who cannot be interrupted