I'm using the Dex2 COM API for VBA to get fundamental and historical performance data (20 TR. fields) for about 10k instruments. It takes me from 20min up to more than 1h, depending of the time of the day, which I think it's a very long time!
Are there best-practices and concrete peak-times which we should avoid? For example, around 8am seems to be much faster than 5pm (European Time).
Second question about efficiency: i'm sending requests in batches of 500 instruments for 20 TR. fields - is that optimal or should I rather ask for batches of 2000 instruments but only 5 fields? Any experience with the best-performing combination?
Third question about efficiency: how slow is the AVAIL function? Does dividing the assets in categories (Bonds, Equities, Funds) make sense in term of efficiency, so that I can tailor the query with the assetcategory-specific fields instead of using AVAIL?