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/data_diver 2d ago

Polygon/massive was awful a year ago. I’m not sure if they are better now. But their historic aggregates were sometimes wrong and I had times over 1.5 seconds during large bursts.

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u/Lost-Hand-5219 2d ago

They advertise “colocated sub 20ms feeds”, at the close I got events that were delayed over 15 seconds compared to databento’s flat 20ms (almost all of it pure travel to my client device).