I really wish Bitfinex could support a full channel like coinbase, in WS feed.
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https://docs.pro.coinbase.com/#the-full-channel … it distinguishes between market/limit orders, with open/done status you can measure how long it takes for MM trade to execute, with order ids, you can measure how long orders were lingering in the book before matching.
That's the latency. We have really thousands of orders / sec. Are they publishing every single change?
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IMHO depends on how you implement it, it can be low latency, for full channel yes they do publish every single change, I calculate Kline based on ‘fullchannel#match’( trades ) with %100 accuracy.
Thanks. Twitter will use this to make your timeline better. UndoUndo
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