I found a lot of useful information in this thread and want to share my own to see whether it can help you guys.
As a lot of people mentioned above, it is definitely bluetooth wireless signal issue + magic trackpad 2 firmware sleep and wake up strategy.
Observations:
1. Plugin the lightning cable connected to computer, wired connection.
no lag issue because it is wired connection instead of bluetooth
2. Plugin the lightning cable connected to any power adapter instead of computer, wireless connection.
no lag issue. In this case, it is bluetooth connection. However, I guess it is because the magic trackpad is connect to the power thus it is does not need to worry about power saving (sleep and wake up) issue.
So if you can accept plugin the lightning cable, either way above is ok.
3. No lightning cable plugin, wireless connection.
3.1 As mentioned by others, if you hold the magic trackpad on one hand or touch the metal frame by hand, no lag issue. I guess it is because human hand holding or touching the trackpad can somehow improve the trackpad's signal
3.2 If you put the magic trackpad right next to your magic keyboard and let the aluminum frame of magic trackpad and that of magic keyboard put together, no lag issue. I also tried to use ipad pro instead of magic keyboard and put the frames of magic trackpad and that of ipad pro together, no lag issue. However, iphone does not help. I guess it is because the antenna's signal is improved by having a larger aluminum frame of magick keyboard or ipad. Putting ipad at the bottom is also ok, but I think it is too luxury to do so...
3.3 If you put the magic trackpad on the desk and put Aluminum foil paper under the trackpad
3.3.1 If the Aluminum paper is cutted into the trackpad's shape (someone mentioned this method in the thread and it worked for him/her), in my case, it could improve the situation, however, I still have the lag issue even if I put multiple layers under the trackpad. My guess is that the size is too small.
3.3.2 If the Aluminum paper is large, even if single layer, it could solve the issue. I tried several sizes, I found roughly 1.5x size of the little black Apple cleaning cloth for your MBP (not the expensive one) or larger would have no lag issue. (The only thing is that you might want to put desk pad or mouse pad on top of the Aluminum paper for good appearance.)
I guess the reason is that large Aluminum foil paper reflection helps to improve the bluetooth signal. So I guess some metal board should also work (macbook, ipad, or metal desktop).
Hope it helps and hope apple solve this issue by firmware upgrade.