I’m trying to understand trade/agg_trade timestamp websocket data for futures. Is it true that all trades generated by a single taker order would have the same transact_time (given enough liquidity to fill the taker order)? If not, can I somehow recover all timestamps at which some single taker order is executed using the agg_trade data? I noticed that it is not sliced every 100ms, and actually there could be many agg_trades having the same start/end transact_time. Can you explain why this happens?
Thanks a lot!