I am a developper at Walnut Algorithm I have some questions about Elektron via Websocket.
Today we use a delayed stream to test the service. For instance I can subscribe to /TOTF.PA but cannot subscribe to TOTF.PA. The problem is the stream appears to be JITConflated and I cannot see if the events will be effectively split as they are when we request extraction on TRTH.
1/ As the Elektron mechanism is to send only updates which occured in fields I wonder if we can receive all Quote and Trade events occuring in the same micro seconds (we can see this happens on TRTH datascope extraction) ?
2/ What is the best practice dynamically subscribe & unsubscribe to data with the websocket ? Get one websocket by instrument and keep the same when we have to subscribe to new instrument or use a new one for each subscription ?
3/ Also I would like to know how it works behind. I mean, does the websocket toggle in conflated mode if we don't call ReceiveAsync at a sufficent pace ? Or It is independent and messages are queued on server side ?