I wrote code a while ago to build a Market Death book looking at the level 2 changes to the book.
I am just inspecting the items that are coming in on OnMarketDepth and looking at the timestamp and it shows no millisecond count, it only has accurate to the second?
How can this be when there are 100 of not thousands of updates a second?
I am trying to get an accurate picture of the market depth book on a sub-second bases, what is the granuality of updates in OnMarketDepth ?

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