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Actually, not much at all. The "gathering" part is usually an I/O bound operation. To simulate what you should experience: I randomly picked a day on the higher side, just some vol spikes I recalled, and the opening +/-30 minutes of the SIPs. You are probably listening to a merged feed from...

Depends on the venue and your connectivity (DMA vs non-DMA). There's usually 2 independent limits that apply to a DMA participant - which includes your broker - a message-to-execution ratio and a per port limit. With DMA: I'm overgeneralizing but on the markets I have familiarity with, you're...

No, don't forward fill delistings. In practice the ticker would just continue trading OTC and if you carry a position into the close your position still has price risk. Forward fill will artificially assume the price stays the same. Forward filling halts is a bad idea, too. Think about a...

I've used Datascope. The pricing varies with your service configuration - the length of your contract, your history of business with Refinitiv, asset class selection, number of tickers, and so on. For a similar configuration, they were the same order of magnitude as Activ, Bloomberg and...

Overall, I personally find it easier to implement and document a FIX API. But a stateless server application is probably easier to scale, and HTTPS traffic could be easier to load balance with commodity hardware. I think the reason for the trend you're seeing is likely a function of how web...

There's 1 key advantage of a REST API over C++ or .NET SDK that no one mentioned earlier. A SDK requires you to install an external client library, while a REST API doesn't. This is important if you work at a large institution and every install and update needs to go through infosec compliance...