Your timestamping approach is interesting. It is well known that exchanges like bitmex suffer from special latency issues. People pay very well to study that a

Your timestamping approach is interesting. It is well known that exchanges like bitmex suffer from special latency issues. People pay very well to study that and provide mitigation. Many approaches can be done. But running on a single computer, let alone a single VM, is very dangerous. I worked for a company that offered multiple timestamps + hardware timestamping for accuracy. A VM will cause too much latency. Even very well configured, your jitter will be above 100ns by several orders of magnitude. So be very careful about considering your extra timestamp as authoritative. You are spot on the other challenge: database. The person who focused on that achieved impressive results using a special hardware + software mix.