REST vs WebSocket for Market Data

Core Takeaway · 30-Second Brief

REST follows a request-response model suited for scheduled fetches, historical K-lines, and low-frequency snapshots. WebSocket maintains a persistent connection where the server pushes updates in real time, ideal for sub-second market feeds. Production systems typically combine both: WebSocket for live streaming and REST for history backfill and state reconciliation.

Core Architectural Differences

Dimension	REST API	WebSocket API
Communication Model	Stateless request / response	Persistent connection, server push
`Freshness`	Bounded by polling interval	Immediate push on market event
Quota Usage	Every poll counts against QPS quota	Governed by connection and symbol limits
`Complexity`	Low, stateless HTTP calls	Requires heartbeats, backoff reconnect, resubscribe
Primary Use Cases	Historical K-lines, snapshots, batch queries	Live trade ticks, real-time order books

How to Choose the Right Protocol

1How fresh must the data be? Minute-level or slower: REST is enough. Second-level or faster: choose WebSocket.

2How many symbols are tracked concurrently? Polling dozens of active symbols rapidly exhausts REST quotas.

3Can your service maintain stateful connections? WebSocket requires heartbeat loops, exponential backoff, and automatic resubscription.

4Do you need historical bars? Historical K-lines are almost always fetched via REST.

Recommended Hybrid Architecture

On startup, fetch recent historical K-lines via REST to initialize charts and technical indicators.
Establish a WebSocket connection to subscribe to live trade ticks or order book depth.
After any disconnect and reconnect, use REST to backfill K-line bars missed during the outage.
Periodically reconcile local state against REST snapshots to prevent drift.

Endpoint Mapping in AllTick

In AllTick, equity REST endpoints use the quote-stock-b-api prefix for latest trades (/trade-tick), order book depth (/depth-tick), and K-lines (/kline), while equity WebSocket streams use quote-stock-b-ws-api. Forex, precious metals, and commodities use quote-b-api and quote-b-ws-api.

Sources & Verification · 2026-10-13

Relevant endpoint, field, and exchange rules were checked against the primary specifications linked below.

Authenticated AllTick requests and production end-to-end tests were not run for this review. Record your token plan, library versions, market session, ret/trace, and observed results when reproducing these checks.

Primary specifications

Reproduce before deployment

Force a network interruption, reconnect and resubscribe, then compare with a REST snapshot. A latest-value snapshot cannot recover every missed trade.
Count token-level requests and connections across workers. Stock and FX URL prefixes differ; transport ping/pong does not replace the application heartbeat.