I would like to be able to answer questions with simulation/backtesting like if my latency from tick to trade is 50ms vs 30ms vs 10ms or less what will my results be. (1) Ninjatrader does not have milliseconds in the format. They are working on this. While they have parameter for millisecond delay I believe that only applies to live paper trading - and even if it did not ninjatrader would have to guess the millisecond of the replayed data at this point (eg if there are 100 L2 ticks within a second assume each was 10ms) (2) AMIBROKER 5.5 now has milliseconds available in the data format. They don't support L2 data it appears (3) Tradelink (open source) does not support milliseconds (4) Multicharts 8 beta. They have milliseconds but: "New keywords allow to level 2 data (DOM data) from PowerLanguage. Now your strategies can reference Depth of Market values for calculations in real-time (not applicable for backtesting as L2 data is not stored in the database). More info here -http://www.multicharts.com/pm/viewissue.php?issue_no=MC-451"