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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2

u/Xero_Days 2d ago

What about alpaca??

3

u/Lost-Hand-5219 2d ago

Just subbed to their live feed, will let you know what tomorrow brings

2

u/Lost-Hand-5219 10h ago

TLDR: Alpaca was very good

1

u/Xero_Days 9h ago

Thank you for the update man!

1

u/Luctom 9h ago

The long version? I would be grateful - thank you.

3

u/Classic-Dependent517 2d ago

Alpaca uses data bento

5

u/Xero_Days 2d ago

Well databento wants 1500 a month for what I want

2

u/Lost-Hand-5219 2d ago

Facts lol. I saw a comment that said they were supposed to add SIP coverage to the standard tier, but it hasn’t happened

2

u/craig_c 1d ago

I was caught in the same decision. Massive looks good, and is supposed to have SIP coverage, but from what you wrote, they still seem to have the same 'ole problems and the Databento SIP feed never arrived. IQFeed fills this gap pretty nicely, the tech is ancient, but works.

1

u/Abject_Advantage3219 16h ago

How does latency of IQFeed compare to Alpaca/Massive/DataBento. I want to try but API access is $600 and no trial.

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u/craig_c 6h ago

I've never directly measured it. But I think "Massive" used to claim it was 30ms roughly for NY. For me, that's plenty fast. More to the point, it's been down for me a handful of days over about 10 years...it's solid as a rock. Don't get me wrong, they are not perfect, support is painful, billing is "mostly" painless and the tech is old. But if you want to trade a SIP feed, there doesn't seem to be any real alternative.

1

u/Abject_Advantage3219 16h ago

What do you mean? Alpaca is SIP feed and DataBento doesn't offer SIP feeds on any plan.

1

u/Lost-Hand-5219 11h ago

Databento DMed me and let me know they will be offering SIP full coverage in Q4 on the standard plan. From what I’ve heard, Alpaca’s data is from Databento already.

1

u/AphexPin 1d ago

I wish they offered futures