I have a doubt about your last traded quantity. According to my understanding Cumulative ltq at my point should be equal to volume but there is a huge diffrence between them. Why is it so ?
Why there is a difference between them or if i am getting it wrong please explain me?
Websocket API data is a snapshot data and not tick by tick data. While the volume data is cumulative, LTQ will just give information about the last transaction. You will need a very high bandwidth and colocation servers at exchange to get tick by tick data. You can read more about it here.
You will need a very high bandwidth and colocation servers at exchange to get tick by tick data. You can read more about it here.