How much data is streamed through Polygon’s WebSockets?
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.
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