Feature request: High speed market data
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I have observed that the latency for ltp data on websockets is very low (and not variable): about only 20 milliseconds - basically the network delay.
But the latency for L2 data (market depth) is very variable and high too (Anywhere from 100 ms to 2 seconds and even more!). This points that the exchange L2 data is being processed (maybe parsed or other checks, and then sent).
Can a websocket endpoint be added through which the exchange data packet is relayed as it is, so that we can parse it at our end and the data received is faster too?
(If you guys are doing packet reading at your end, the data packet can be broadcasted first (as it is) and then read at your end)
This is a feature request that I really look forward to, I request you to add this if possible!