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The CME merged with the CBOT in 2007. Internally there are still some lingering artifacts. Notice on the page it states that the YM is traded on GLOBEX.
Notice that the cbot.com website now re-directs to the cme site.
There is one important detail you need to consider on tape reading.
CME unbundled the executions of the orders on October of 2009, so if for instance a big trader hits a market order to buy 100 contract, prior to that date, you would see a 100 lot buying in the tape. After that date, you would see that 100 contract order as all of the sellers that this order hit: 1, 8, 2, 22, 15 ..... 3,2, 14, etc totalling 100 contracts. Those sellers were the ones that were waiting in the ask (offer side) to be filled. So that trade before represented a tick, now it will be as many ticks as seller it hit (this if you are using tick charts)
So now the tape does not show you accurately who is trading big, which is one of the concerns of a tape reader at some key levels.
If you want to learn from a very honest guy, the one who taught me this, you can go to the priceactionroom of Joel Parker.
Actually, one of his members developed a special tape that bundles the big orders again and lets you see who is trading big, even though those big sellers use an algorithm to split their big orders.
Going back to the OP. There are questions about a buy & a sell order hitting the market at the same time.
The timestamps back at the exchange are in nanoseconds which is .000000001 or a billionth of a second.
On the ES, there's about 450,000 trades going through on a decent day. That's 450,000 trades/ticks and not 450,000 contracts.
So - in terms of 2 trades hitting at the same time, the chances are extremely slim. 'Same time' to you and me is certainly not 'same time' to the exchange servers. I would certainly not worry about it or have it as a consideration in my trading.
I am not sure if any retail platform provides data down to that level but I would imagine the HFTs have it.
I would guess the problem is the length of the timestamp itself. With a nanosecond timestamp, the number of bits sent to your machine for every tick would increase and I would imagine it would take a little more time to process it.
My gut feel is this would slow things down a lot - more work at the data provider end, more bandwidth, more work on the platform end. Still, this is just gut feel.
Rithmic's R|API. TimeStamps are expressed two ints... Seconds Since Beginning Of Epoch and Microseconds.
Looking at XT_API it looks like I can get timestamps in .Net DateTime.Ticks if I wanted, which are 100 nanoseconds.
I don't have a direct CME feed but they use the FAST protocol I believe, which has milliseconds as the default format but the spec supports things down to nano seconds.
From what I remember of Ninja documentation, their MarketData timestamps support data down to that level of precision but below milliseconds it's all zero's.
So - these other providers - do they actually send data down to that level or is it just that data down to that level would be supported if then sent it?
