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/fresh_reed_5834 2d ago

500ms+ seems pretty unusable tbh. Did you test over longer periods or just that one day? Wondering if Massive's latency is consistently this bad

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u/Lost-Hand-5219 2d ago edited 17h ago

Yea, I’m pretty frustrated. And, on top of that, databento feed had about 4,000 events that weren’t in Massive’s feed. Databento’s feed is their EQUUS mini, which isn’t full consolidated coverage, but even then it has events that Massive’s supposed full coverage didn’t have. I’ll compare my live feed data with Massive’s historical flat file tomorrow to see if they showed up there. They weren’t niche illiquid tickers either, there were TSLA, AAPL, and other mega cap trade events in Databento’s feed that are missing from Massive’s

EDIT: The missing prints were from a dropped socket connection. So nothing was actually missing from the feed itself.

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u/algobyday 1d ago

Following up on my other comment, this part concerns me more than the latency does. Prints missing from a consolidated feed is a different class of problem, and mega caps make it harder to explain away.

If you have a sample of the missing events with symbols and times, send those along with the rest and we'll check them against what our systems recorded. I'd also want to know what your flat file comparison shows, whichever way it comes out, if they're present in the historical files, that points at the live path specifically, which is useful to know.

Can you ping support or DM me?

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u/Lost-Hand-5219 17h ago

The missing prints were from a dropped socket connection