How to live with subscriptions limits in most systems
Most systems, which provide market data through an API, limit the number of instruments can be subscribed to receive real-time quotes. An average limit is 200 instruments.
If I want to build a volatility surface, the only way for me would be to split full set of instruments into baskets less than 200 items and then sequentially subscribe/unsubscribe to them. Any ideas, how to work with it better?
Posted Aug 14, 2017, 7:11 PM UTC
07