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Missing ticks & volumes intermittently in websocket streaming

glob_arber
glob_arber in Java client
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
    sujith
    Can you elaborate what are you doing in onTick listener?
  • glob_arber
    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
    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
    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
    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.
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