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.
Knowledge Base/How much data is streamed through Polygon’s WebSockets?
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.
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- Title
- Are all Indices available through the basic subscription tier?
- Data Coverage Category
Data Coverage
- Indices Category
Indices
- Description
- No, certain indices are only available through paid subscription tiers.
- Title
- Does Polygon offer dark pool data?
- Data Coverage Category
Data Coverage
- Stocks Category
Stocks
- Description
- Yes, we provide dark pool data. If a trade comes through with an exchange ID of 4 (exchange:4) and also has an attached “trf_id” field, it came from a dark pool.
- Title
- Does Polygon offer pre-market and after-hours data?
- FAQ Category
FAQ
- Stocks Category
Stocks
- Description
- Yes, we provide data for every trade that occurs, including during pre-market and after-hours. Our tick-level market data streams during these extended hours as well.