search

polygon-io / feature-requests

Feature requests for the Polgon.io Platform. Any bug reports should be opened in polygon-io/issues/issuess
0 stars 0 forks source link

Adding Polygon server timestamp #20

Open RobinhoodFR opened 3 years ago

RobinhoodFR commented 3 years ago

Is your feature request related to a problem? Please describe. Polygon websockets latencies tends to be very volatile during data spikes. Polygon.io claim an average latency of 25 ms but in real the latency distribution is hugly. Latency is sometimes far superior to 100ms., even 500ms on market opening, closing, order imbalance and so on... The issue is for HFT like applications on realtime basis, it is very difficult to rely on the existing SIP timestamp (I am not speaking of the exg and trf ones) because Polygon.io server do not dispatch the data at a constant but variable latency.

Describe the solution you'd like That each message include a polygon server timestamp. Then we would be able to accurately estimate the final latency for a given server (vps, dedi) or even pc, anywhere in the world. This would definitily make Polygon data more valuable and not only a big historical database.

Describe alternatives you've considered No rock solide alternative.

Additional context Nothing to add.

RobinhoodFR commented 2 years ago

Hello!

Coming back to this possible enhancement, di you planned to add the feature? Thanks for your reply++

jrbell19 commented 2 years ago

This is not prioritized at the moment. It could be implemented in the future, however, there's no real ETA to expect.