Is there ever a case where there are multiple ticks (different prices) at the same tick timestamp in Forex?

External question — Quantitative Finance Stack Exchange Author: skeetastax Original post: https://quant.stackexchange.com/questions/61161 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. Say I'm receiving ticks for AUDUSD. The timestamp for Forex tick data seems to go down to a resolution of .001 second (milliseconds). Example: | Datetime | Bid | Ask | +-----------------------+-------+-------+ |30.10.2011 21:40:55.288|1.07134|1.07077| |30.10.2011 21:40:56.619|1.07133|1.07077| |30.10.2011 21:40:57.224|1.07133|1.07077| |30.10.2011 21:41:05.958|1.07132|1.07077| |30.10.2011 21:41:06.077|1.0712 |1.07077| It is possible, or does it ever happen, that there are two ticks (regardless of price) that happen at exactly the same time? Example: | Datetime | Bid | Ask | +-----------------------+-------+-------+ |30.10.2011 21:40:55.288|1.07134|1.07077| |30.10.2011 21:40:56.619|1.07133|1.07077| |30.10.2011 21:40:57.224|1.07133|1.07077| |30.10.2011 21:41:05.958|1.07132|1.07077| |30.10.2011 21:41:06.077|1.0712 |1.07077| |30.10.2011 21:41:06.077|1.07125|1.07076| <--- duplicate tick millisecond timestamp: possible??? It is theoretically possible, but do Exchanges allow this and cater for it?

External answer — Quantitative Finance Stack Exchange Author: hroptatyr Original post: https://quant.stackexchange.com/a/61167 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I would argue (millisecond-resolution aside) not only is it possible but common in FX. Unless you're trading with exactly one counterparty and preagreed sizes, most streams are composites of several liquidity providers and several sizes. To elaborate: For example in Bloomberg by default you subscribe to the NY composite stream (CMPN), you could disentangle that by subscribung to AUD CIFX Curncy (for Citi FX), or if you're after a specific liquidity AUD BGNE 5-10 Curncy (for minimum sizes of AUD 5mn). In your example you left out the liquidity provider and the book size, so it's hard to say what the actual problem is.

External answer — Quantitative Finance Stack Exchange Author: Sergei Rodionov Original post: https://quant.stackexchange.com/a/61172 License: CC BY-SA 4.0 — https://creativecommons.org/licenses/by-sa/4.0/ Adaptation: HTML converted to plain text; contact email addresses removed. I ran a script to measure the timestamp delta between top-of-book change events on a quote feed for an exchange traded FX contract (~80000 trades per day). The feed itself provides microsecond precision. 7% of top of book changes were less than 10 microseconds apart. 46% of top of book changes were less than 1 millisecond apart. As you can see from this example, the frequency of top of book changes on an exchange is quite high, so it's quite normal for these messages to have the same millisecond timestamp. The data providers can compress the feed by batching multiple concurrent changes into one message.