Using a WebSocket Template to Stream Crypto Market Data
Summary
This document explains how an FMZ strategy can use a reusable WebSocket template to receive exchange market data with less delay than repeatedly polling REST endpoints. It describes persistent subscriptions for depth and trade channels, handling updates across multiple exchanges, and making the resulting data available through familiar depth and trade calls. The author gives an example event loop that waits for WebSocket updates and describes reconnect and error tracking support.
The implementation uses exchange-specific message parsers and background threads to forward updates to the strategy. The template is presented as supporting several major crypto exchanges, while additional venues require adapting the parser and subscription logic to their APIs. The document gives no measured latency test or trading-performance evidence; its latency comparison is illustrative. WebSocket streaming can reduce polling overhead, but data quality, connection stability, channel limits, and exchange-specific behavior remain practical concerns.
Key ideas
- Persistent WebSocket connections let exchanges push market updates instead of requiring repeated REST polling.
- A reusable template can subscribe to depth and trade channels across supported crypto exchanges.
- Exchange-specific parsers convert incoming messages into a common event format for strategy use.
- Background threads and event-triggered loops help strategies respond when new data arrives.
- Adding an exchange requires adapting its subscription and message-processing logic.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.