I am working on writing a historical intraday high frequency trade simulator, and I have encountered so far a couple of tick data sources that provide tick-level detail, but the timestamp is granular only down to the second. Am I missing something, or isn't it also necessary to have milliseconds to fully simulate what happened? Or is it that in practice that level of detail doesn't matter?

Trading long/short equity portfolios and equity market making.

True in that the timestamps will match your prod systems but how do you deal with outages and backfilling should you need to? Those timestamps are unique to you...with regard to "but the timestamp is granular only down to the second" This depends on the market. Few markets have sequence numbers. Many do not. Hence without an accurate time stamp to understand the sequence of events, it could be difficult to understand the order of the ticks. Even if you are trading one instrument, the tricky part if cross comparing the instrument across multiple exchanges if there is no time stamp sync between exchanges. An example of this would be ADRs as compared to the issue.

You may get how many milliseconds have passed since midnight from where the exchange is located as a time stamp that comes with data in equities. Once you have your internal time stamps added to the data table, the difference between your time stamp and the exchange/broker time stamp will be very stable. If your data is missing then you can use that timestamp difference to add outside data into your system.

What are some tick data capture tools out there? Is there anything that won't break the bank? Or is this pretty much a build-it-yourself kind of system?

You won't find tick capturing programs by themselves, they come with tick capturing solutions with tick databases which start from roughly $100,000.You can buy tick data say 6 months of all US Equities for $6,000 or buy 100 symbols for a $1,000. Easiest and cheapest way to go with it is to write a tick capture program and save data into flat files but you need lots of space and compression to store that data. Your daily all US equity tick data is around 150GB a day.One place you can use to get historical and real-time tick data is opentick, but they don't accept new users anymore. Also recently NYSE and ARCA have reduced their prices significantly that getting data from exchange became much cheaper than getting data from another data vendor. Cheapest solution is to write your own tick capturing program that collects data directly from the exchange.

Which vendors would you recommend to check out?One of my issues is that some of the data I seek is in emerging markets. So far I have yet to encounter a vendor that provides that at all. So it pretty much seems that I would need to do my own capture. Luckily, the volume of data should be much smaller.

I don't deal with emerging markets so I don't know much about it but I know that Reuters has data for emerging equity markets but it might be expensive. I would contact the exchanges in those countries directly to get more information.

tick data with milliseconds.. they should have what you are looking for:http://about.reuters.com/productinfo/tickhistory/