Realtime Data feed for Implied volatility

[alphadistribution]

... how efficient is a websocket channel for realtime feed? How does it compare with sometime like UDP in terms of latency?

It’s been efficient enough for my use. I don’t think you’d want to use UDP outside the data center as it’s an unreliable transfer method and you can end up missing quotes and trades. The biggest thing with a source like Tradier will be that they are in AWS us-east-1 and there’s some additional latency between them and the data source. Websockets with JSON encoding vs a binary protocol over raw TCP/UDP is minor compared to all the hops from exchange (+ to OPRA?) (+to secondary vendor?) to Tradier.

I run in AWS us-east-1 so I can minimize the additional latency.

Test your trading and look at the tape or quote stream to see if you’re missing trades you could have made and figure out if the amount your missing is worth a faster retail vendor (Nanex?) or renting racks at the exchanges.

 

[thecoder]

I don’t think you’d want to use UDP outside the data center as it’s an unreliable transfer method and you can end up missing quotes and trades.

I second that. UDP makes sense only in-house, not for distribution to outside.

 

[rohan2008]

Websockets with JSON encoding vs a binary protocol over raw TCP/UDP is minor compared to all the hops from exchange (+ to OPRA?) (+to secondary vendor?) to Tradier.

Could be true. My trading system uses C++ websockets over http; thats how I access the settings and configuration knobs from a remote broswer. I like websockets per se, but am only concerned about the message overhead they add. Yes, the only way one gets to know is to try things out and measure.

Except for this potential overhead part; websockets are awesome based on my experience.

 

[algoseek]

You are better off calculating what you need instead of buying it, it will be easier, cheaper and more suited to your needs. Just my opinion.

You are right. No need to pay for what you don't need.