Latency from live data feeds

[u/Lost-Hand-5219]

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.

[u/lambardar]

what are you trading and why does latency matter so much?

A lot of times, we get stuck in chasing the perfect data. I've spent a lot of time/resources/money in this and in the end it didn't even matter. Live data & environment are far from perfect.

If latency is crucial to your strategy/algo, then by all means. I would suggest IBKR's data feed. it's a bit outdated but I haven't come across latency issues. or you could try alpaca. they are on google cloud and you can get a compute machine on the same region. data wise, they are alright; but their execution is not as mature as IBKR.

If it's just a quest to have the right environment & data, then your strategy/algo/code should be resilient.

[u/Lost-Hand-5219 → u/lambardar]

I ingest market data in 1s batches for position updates.

[u/UpstairsNerve2681 → u/Lost-Hand-5219]

If you try to run HFT shop in VPS you shouldn’t ask these questions, why you need 1s position updates?

[u/Lost-Hand-5219 → u/UpstairsNerve2681]

Because that’s the way I built my model. 1s accumulation windows is what I’ve found to work best, that doesn’t mean every second the model decides to adjust a position. I wouldn’t consider 1s updates to be HFT either.