Missing ticks & volumes intermittently in websocket streaming

glob_arber

Hi,

I'm seeing web socket stream skips data when there is a price change/ higher volume activity.
Below is an example:
BHARTIARTL18APRFUT
Example1:

Id Price LTQ OI Volume Timestamp bid & Q ask & Q
696 382.15 5100 60278600 1581000 Thu Apr 12 10:05:53 IST 2018 3 382.05 1 382.40
697 382.15 5100 60278600 1581000 Thu Apr 12 10:05:54 IST 2018 1 382.15 3 382.50
698 382.10 1700 60278600 1582700 Thu Apr 12 10:05:55 IST 2018 1 382.05 2 382.40
699 382.10 1700 60278600 1582700 Thu Apr 12 10:05:56 IST 2018 2 382.05 2 382.40
700 382.10 1700 60278600 1582700 Thu Apr 12 10:05:57 IST 2018 1 382.05 1 382.35
701 380.25 1700 60278600 1666000 Thu Apr 12 10:06:19 IST 2018 2 380.20 1 380.60

As you can see above, price dropped & good amount of volumes have been traded. I understand that the stream does not provide sub-second level granularity but I would have expected some ticks between 10:05:57 & 10:06:19.


Similarly,
Example1:

702 380.20 1700 60278600 1667700 Thu Apr 12 10:06:21 IST 2018 1 380.25 1 380.60
703 380.55 1700 60278600 1671100 Thu Apr 12 10:06:22 IST 2018 1 380.40 1 380.70
704 380.45 1700 60278600 1672800 Thu Apr 12 10:06:23 IST 2018 1 380.40 1 380.65
705 380.45 1700 60278600 1672800 Thu Apr 12 10:06:23 IST 2018 1 380.50 1 380.65
706 381.40 1700 60338100 1730600 Thu Apr 12 10:06:45 IST 2018 1 381.20 1 381.45

Missing ticks for 22 seconds( which is the exact difference in the first example )
Can you please provide an explanation for why this is happening ?
what kind of latency are we expecting in this stream and are the messages being throttled ?

sujith

Can you elaborate what are you doing in onTick listener?

glob_arber

It's definitely not spending much time in the listener. Just pushes the tick to an event processing engine which is an asynchronous call.

sujith

We use the same data for all our platforms. We haven't come across this.
I would suggest checking or profiling code at your end and make sure you are not blocking the main thread.

glob_arber

Pretty sure you will be having the full feed for relay purposes ( for internal testing etc )
Can you please double check the feed during the timestamps that I've listed above to see what was sent out/generated ?
Appreciate your help.

sujith

We don't store tick data at our end. Kite Ticker will just publish tick data to all its subscribers once it gets data from the exchange.