Unordered arrival of quotes for crypto

polygon-io / issues

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Unordered arrival of quotes for crypto #152

Closed ncarrara closed 3 years ago

ncarrara commented 3 years ago

Hi,

I am using the python WebSocketClient

With respect to the timestamp "t" or "r", the quotes' order arrival is wrong. For "t", 13% of the quotes are unordered, for "r" 2% are unorder.

Is this expected?

I know TCP is supposed to keep the order of the message, so it is not a protocol issue. So either the problem comes either from Polygon's end, the WebsocketClient, or my application layer. You can see the minimal working example

ncarrara commented 3 years ago

Ok I understand the issue. The quotes don't share the same exchange id. So quotes are ordered for the same exchange id, but not across several exchange ids.

My bad.