Polygon.io Websocket Access

wmiller · March 17, 2020, 7:57pm

Does a live funded account include access to “wss://socket.polygon.io”?

I’m able to access “https://api.polygon.io” with my paper and live API keys correctly but I can’t get the web socket API to authorize per Polygon’s docs https://polygon.io/sockets.

I get “auth_failed” when passing the authentication message.

Thanks,
William

wmiller · March 17, 2020, 8:33pm

So I dug around the SDK code and I found this gem.

github.com

alpacahq/alpaca-trade-api-python/blob/master/alpaca_trade_api/polygon/streamconn.py#L19


)
from alpaca_trade_api.common import get_polygon_credentials
import logging




class StreamConn(object):
    def __init__(self, key_id=None):
        self._key_id = get_polygon_credentials(key_id)
        self._endpoint = os.environ.get(
            'POLYGON_WS_URL',
            'wss://alpaca.socket.polygon.io/stocks'
        ).rstrip('/')
        self._handlers = {}
        self._handler_symbols = {}
        self._streams = set([])
        self._ws = None
        self._retry = int(os.environ.get('APCA_RETRY_MAX', 3))
        self._retry_wait = int(os.environ.get('APCA_RETRY_WAIT', 3))
        self._retries = 0
        self.loop = asyncio.get_event_loop()

“wss://alpaca.socket.polygon.io/stocks” which I connected to and is working as expected. Might be nice to surface this endpoint in the docs some more.

GoodNews970 · March 17, 2020, 8:50pm

I’m not sure if this is actually working as expected, although it is working to an extent. As expected is that the data stream is identical to the regular Polygon websocket, but my experience so far (having started a trial with Polygon directly and using their websocket, and using the Alpaca live brokerage API now) is that the Alpaca websocket data stream is reduced relative to a direct connection to Polygon. This might explain why the url you surfaced includes “alpaca” and the regular does not (i.e. wss://alpaca.socket.polygon.io/stocks vs. wss://socket.polygon.io); Alpaca appears to have modified access, possibly related to the licensing for free use in brokerage accounts. I’m just speculating; if I’m wrong, my apologies.

See my thread on the topic here:
Alpaca Websocket - Limited Polygon Data.

wmiller · March 17, 2020, 9:33pm

I suspect Alpaca is getting access per user at a significantly discounted rate. Polygon is possibly limiting the throughput of connections coming through Alpaca. If other limits and conditions apply to Alpaca web sockets it would be good to have that more explicitly documented.

GoodNews970 · March 20, 2020, 9:16pm

As it turns out, this was not an error on Alpaca’s side. At the same time that I switched from direct Polygon access to Alpaca, I also switched SQL versions. The slow down was a database issue on my end.

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Polygon.io Websocket Access

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