I have went through previous forums here regarding the nature of data subcription Zerodha has. Seems like you guys are subscribed to NSE L2 data and relay the received packets after minimal processing. Reading their technical specification doc (NSE L2), it seems like you are removing the sequence number data which contains information about the sequence of the data packet. This is a very important field to filter out of sequence packets. Can this field be added to the websocket packet? (just 4 additional bytes)
Yes, @tradernoob, all brokers receive L2 data from the exchange. While sequence number is part of the packet, we process this further and maintain our own broadcast cycle. You wouldn't need to maintain a sequence number and can rely on our broadcast.
