Is Your Real-Time Feed Lying to You? Streaming US Stock Tick Data with WebSockets
EmilyL
Every developer building a trading dashboard or a backtesting engine eventually stumbles on the same mismatch: the live price on your screen moved, but your recorded data doesn’t show a trade at that exact level. The culprit is almost always snapshot aggregation. Let's unpack this from a broker’s perspective and get you to a cleaner, tick-by-tick WebSocket pipeline. The Data Integrity Problem: Snapshots Discard Microstructure A snapshot—no matter how frequently polled—is a summary. It collapses