Help with indexing narrow table with many millions of rows
Based on your question, I would index the Timestamp column with the clustered index. And to make the index unique, just make sure to include the identity column in the index definition:

... PRIMARY KEY CLUSTERED ([Timestamp], [Id])


If query performance for queries on Exchange_Id is still an issue after that, you can also add a non-clustered index that looks something like this:

UNIQUE INDEX ([Exchange_Id], [Timestamp], [Id])


.. but if you do, consider including any columns that the query may need, in order to create what's known as a covering index.

UNIQUE INDEX ([Exchange_Id], [Timestamp], [Id]) INCLUDE ([Type], [Amount], [Price])


Remember that there's a disk space issue involved as well, as you stated that your table contains a large number of rows. The clustered index will not change the amount of disk space your table consumes either way, but adding a non-clustered index will allocate extra space. If you INCLUDE all the columns from your table, like I did in the example, the non-clustered index will roughly take up as much space as the rest of the table does.