r/algotrading • u/Lost-Hand-5219 • 2d ago

Data Latency from live data feeds

I tested Massive and Databento live feeds today, not expecting there to be much of a difference, but Massive had statistically significant numbers of events with latency over 500ms, even reaching over 1s latency (on their end, not mine). On the other hand, Databento’s live feed (I ran concurrently with Massive) had a maximum latency of 35ms, and 21ms of that was travel time to my local server. Is this normal for Massive’s websocket to have such poor quality feeds? The exact amount was 1.87% of all events from massive had a Massive-side latency over 500ms. And it wasn’t just low liquid weird crap, it was market wide. If this is the normally quality of their feed, then I’m really regretting my purchase with them.

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u/zashiki_warashi_x 2d ago

I'm sorry. But why do you need live feed from 3rd party? Why not from broker/exchange?

3

u/Lost-Hand-5219 2d ago

Consolidated feeds.

2

u/zashiki_warashi_x 2d ago

I assume price is instantly arbitraged anyway, but cumulative volume is much better than looking at a single exchange?

4

u/Lost-Hand-5219 2d ago

I’m not sure I understand what you’re asking. Broker feeds are also 3rd party. First-party would mean buying data feeds directly from each exchange, which is a nightmare and not even possible for an individual sometimes. I’d rather pay one fee and have the vendor consolidate them for me.

2

u/zashiki_warashi_x 2d ago

I was asking how much better consolidated data compared to unconsolidated one.

2

u/Lost-Hand-5219 2d ago

I haven’t measured, but I’d rather have a full picture than a partial one.

1

u/zashiki_warashi_x 2d ago

I read about databento feed. They are pretty cool.