We stream our market data exactly as we receive it. Every single trade and NBBO quote is sent in real-time through the WebSockets. As long as you can consume the data fast enough, you can consume the entire US equities universe of trades, NBBO quotes and aggregates in one WebSocket connection.
US Stocks
Trades: Average ~2000 messages per second
Quotes: Average ~8000 messages per second
Currencies
Quotes: Average of ~400 messages per second
Crypto
Trades: Average ~45 messages per second
L2 Quotes: Average ~600 messages per second
L1 Quotes: Average ~200 messages per second
Options
Trades: Average ~ 300 messages per second
Quotes: Average ~ 300,000 messages per second
It is important to keep in mind that each message can contain multiple events.
How much data is streamed through Polygon’s WebSockets?
Updated over 2 years ago