Using a proprietary dataset of a market maker’s limit orders and order acknowledgments timestamped to the nanosecond (i.e., one‐billionth of a second), we explore the timely and important question regarding the consistency and reliability of an exchange’s price/time priority in practice. We find a high degree of variability (i.e., jitter) in the time it takes to receive official exchange acknowledgement once an order is placed, and we find that the proportion of times in which the first order entered is also first to be acknowledged by the exchange’s matching engine is surprisingly low when consecutive orders are placed at very high frequencies. Furthermore, we provide suggestive evidence of impaired market quality in the form of: (i) excess messaging, and (ii) unabsorbed end‐of‐day order imbalance as a result. Overall, the queuing uncertainty that arises at high frequencies presents issues in high‐frequency market structure that remain irrespective of the higherlevel market design in place (e.g., continuous‐time versus discrete‐time markets).​

JEL Classification: G1; G2
Keywords: price/time priority; queueing uncertainty; high‐frequency trading (HFT); excess messaging; liquidity; market design; market microstructure.​