I believe it gets the data as it comes in, but either rounds or truncates the precision to 1 second. Pretty frustrating, as you say, to know the data is arriving at your computer with all the information you want, but your software is deleting it before you can get to it. Are you timestamping within NT, or using an API ? - palinuro
I'm pretty sure they do it because of storage space. I have a reasonably compact format (specified to the bit level, though not compressed), and that takes 10-20 MB per day not including level 2 data, I think. I have been timestamping in NT but I should have the API set up soon.
How do you figure out what is commercial activity and what is not? Also how so you distinguish between short-term and long-term positions? Do you primarily use tick-data or is there some additional information like a liquidity-data-bank?