NYSE has scheduled its shift to nanosecond timestamp granularity. In a notice, the Exchange explains that, effective November 15, 2021, FINRA/NYSE TRF will begin supporting timestamps with up to nanosecond granularity (HH:MM:SS.sssssssss).
The change is in accordance with recent amendments to FINRA’s equity trade reporting rules.
FINRA/NYSE TRF currently supports timestamps up to milliseconds. Effective November 15, 2021, FINRA/NYSE TRF will accept messages with up to nanosecond timestamp granularity and will send all outbound messages (e.g., reject and acknowledgement messages) and system-appended timestamps with nanosecond timestamp granularity.
FINRA/NYSE TRF will publish updates to the FIX trade reporting and EODJ report specifications in support of nanosecond timestamps by June 14, 2021. Firms will be able to start testing in the FINRA/NYSE TRF UAT environment by August 16, 2021.
Nasdaq has also announced the schedule for the change. Starting November 15, 2021, FINRA/Nasdaq TRF will accept messages with up to nanosecond timestamp granularity as well as send all outbound messages, e.g. reject and acknowledgement messages, with nanosecond timestamp granularity, including system derived and appended timestamps.
Timestamp reporting in nanoseconds will be available in Equity Trade Journal (ETJ) reporting, TRF FIX 4.2 Ports Drop Copy, Nasdaq WorkXTM and TradeInfo. Timestamp reporting in nanoseconds will not be available in Legacy TRF FIX 4.2, Nasdaq and ACT Workstations, and CTCI ports.