Using WebSockets for Crypto Market Data and Event-Driven Trading

Summary

This guide explains how to connect to cryptocurrency exchange WebSocket feeds through a platform's Dial function, subscribe to channels, parse incoming messages, and handle compressed data. It distinguishes streams whose subscriptions are encoded in the connection address from those that require a separate subscription message. It also describes read modes for consuming the oldest queued message, returning the latest available message, or polling without blocking.

For simultaneous exchange connections, the guide recommends nonblocking reads so one quiet feed does not hold up another. It discusses automatic and custom reconnection, detecting stale updates with time limits, and periodically comparing streamed values with REST responses. Its event-driven example limits how often trading logic and account requests run. The examples are implementation guidance rather than a tested trading system; exchange protocols differ, and the article does not assess strategy profitability. It also notes that queued market data can become stale when processing or order operations are slow, while account and execution events may require preserving message history.

Key ideas

• WebSocket feeds can provide frequent, low-latency market updates, but they require handling interruptions and exchange-specific message formats.
• Read modes determine whether a consumer processes queued history, takes the latest update, or polls without blocking.
• Nonblocking reads let a program check multiple exchange connections without waiting on one feed.
• Stale-feed checks, reconnection logic, and REST comparisons can help detect missing or delayed updates.
• Rate-limiting trading and account requests can keep event-driven processing from issuing excessive calls.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.