Is it true that now we have timestamps with precision millis/micros/nanos? _MS are millis, _NS are nanos, what about micros?
Hi, @moragodkrit is correct. Just to add a bit more detail to the strategy. Eventually whatever the timestamp published, the data will appear in the Nanosecond (_NS) timestamp fields. So if the venue is only providing seconds, for example, we will still put the timestamp in the _NS field. The _MS (eg SALTIM_MS) or second (eg SALTIM) precision fields will eventually be removed, although for now venues that carry them will keep the fields. New venues are unlikely to carry anything but the _NS versions. Id advise that if you are coding to venues that have the _NS fields, you do so if you can as we will be looking to remove the other precision timestamp fields at some point in the future.
Yes - the goal behind the _NS is to future proof the timestamp to avoid adding additional timestamps, so the _NS timestamp can accomodate all precisions up to an including nanosecond. We will look to reationalise the number of timestamp we carry as this will reduce the average message size and aligns with the data model strategy for Elektron Real Time.
This question was first asked in a MiFID IIwebinar (27th of Sep). Please see here: Introduction to MiFID II for Developers