Honestly if you're a millisecond too slow you might as well not trade at all. From my own experience with trying to get Python to go fast for crypto trading, you can get it pretty fast using Cython - single digit microseconds on an average AWS instance for a simple linear regression was my proudest moment. They're probably pushing it even faster because nanoseconds are where the money's at. Many HFT firms are down in the double digit nanoseconds, I believe. Maybe lower.
In crypto, you have centralised (e.g. Coinbase) and decentralised exchanges (e.g. Uniswap). Decentralised exchanges operate onchain via smart contracts.
