I am looking to load any data that I missed from streaming earlier in the day due to errors from my side. For example I loaded until 1pm, then there was some issue, I missed 1pm to 2pm, then I again was able to stream from 2pm. I need a way to down load 1pm to 2pm data to fill the gaps in my data for the day. I may also down load yesterday data well for my analysis. Please let me know.
WebSocket ticks are streamed as received from the exchange and are not guaranteed to include every trade tick. As a result, there is no mechanism to replay or backfill the missed WebSocket ticks. The recommended approach to fill any data gaps is to use the Historical Data API for the relevant minute intervals. You may refer to the similar discussion here.
