Guys, I appreciate you have the most volume but the system requires the most-complicated connectivity amongst all the top exchanges.
We’re listening to several hundred symbols. Because the websocket doesn’t provide the snapshot, we have to wait until we receive the first update per symbol, make a REST request, continue caching updates until it’s time to process the snapshot, then process the relevant cached updates.
This is much more complicated than just receiving the snapshot via the websocket, as many exchanges do.
Anyhow, because of the above, we’re hitting the REST request limit. We can’t delay/sleep/throttle because otherwise we’re backing-up the stream (and vulnerable to SSL disconnection). Furthermore, the rejection message says:
“Please use websocket stream for live updates”
But we’re only making the REST request because snapshots aren’t available via the webstream.
Should this not be improved?