I have been using the websocket API to observe the Live data for the Indexes and their respective Option chain symbols to work on a strategy related to OI. This works fine as long as the option is only for one expiry and if I increase the number of symbols I get latency issues.
I wanted to know a couple of things and some suggestions on how to expand this strategy to find trade opportunities in all FO symbols and their option chain OI.
1. Number of sockets allowed per access token ? (I read somewhere on forum it's 3) 2. Number of symbols allowed per sockets ? (I read somewhere on forum it's 4000) 3. What program architecture should I follow where I get minimum latency possible in candle formation when a minute completes ? I'm already using multiprocessing and queues to process live ticks but it's getting slow (high latency) on subscribing around 3k+ symbols.
