Part 26: Real-Time Market Data

Stream live market data via WebSockets — trades, quotes, and order book depth. Build robust real-time pipelines with tick-to-bar aggregation, auto-reconnection, and multi-provider support.

Chapters

  1. WebSocket Fundamentals — Protocol lifecycle, heartbeats, and market data streaming patterns
  2. Real-Time Engine — RealtimeEngine setup, callbacks, tick-to-bar aggregation, multi-provider streaming
  3. Order Book Streaming — L1/L2 data, local order book maintenance, spread analysis

Table of contents