If you are looking for sequence recorders that can do sub-cycle (60Hz/50Hz) you need to look at manufacturers that make this type of product such as Dranitz for power (transient, power quality, fault sequence) or Bently-Nevada for Vibration.
AB and Modicon have products for substations that can do this type of SOE and will need to get the data up to your historian from the module. I am not certain what the response time rating of the individual I/O points are, however, you should check to be sure your application needs are met. If you want to try to have your standard historian software with OPC communication links to talk to a PLC to get data from an I/O point every 1-10 msec, then I wish you luck.