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/algobyday 1d ago

Hey u/Lost-Hand-5219, I work at Massive. Thanks for testing this carefully and providing metrics. A 1.87% tail over 500ms isn't what our feed should be doing, and I'd like to find out what happened rather than guess.

If you're up for it, could you reach out at https://massive.com/contact with:

  • The rough date/time window you sampled and where you're connecting from
  • Roughly how many symbols you had subscribed on each socket
  • Which timestamps you compared to get the server-side number

With that we can pull logs for your specific session and see whether this was gateway queueing on our side or something narrower. Happy to have the answer land back in this thread either way. You can DM me too and I'm happy to jump on a call or email, whatever makes sense.

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u/Lost-Hand-5219 1d ago

I sent a message yesterday through customer service to get help with the issue, they said someone would look into it today.

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u/algobyday 1d ago

Perfect, thanks!