Every algorithmic trader eventually asks this question, and most get a superficial answer — "WebSockets are faster, use those." The real picture is murkier. Protocol choice interacts with server load, network topology, message frequency, and your own infrastructure in ways that change the maths entirely. Getting this wrong doesn't just cost milliseconds; at scale, it costs edge.

Here's the direct answer: for high-frequency signal delivery where you're receiving continuous price updates or event streams, WebSocket wins decisively. For low-frequency signals where you're polling occasionally — say, end-of-day strategy triggers — REST is simpler, cheaper to maintain, and the latency difference is irrelevant. The mistake traders make is applying a high-frequency solution to a low-frequency problem, then wondering why their infrastructure costs tripled.

CONCEPTWebSocket holds a persistent connection open — no handshake overhead on every message, just raw data flowing both directions in real time.
WARNINGUsing REST for tick-by-tick signal polling hammers your server with repeated TCP handshakes — latency compounds fast under load.
KEY IDEAProtocol latency only matters when signal frequency is high enough that connection overhead becomes a meaningful fraction of your cycle time.

The core mechanical difference is this: REST follows a request-response model. Every signal fetch opens a TCP connection, completes a TLS handshake, sends an HTTP request, waits for the response, then closes or reuses the connection. That handshake alone can cost 50–150ms on a cold connection. WebSocket, defined in RFC 6455, upgrades a single HTTP connection into a persistent full-duplex channel. After that one-time handshake, messages flow with roughly 2–5ms overhead each. At 100 signals per second, the arithmetic gets brutal for REST.

Avg Message Latency: WebSocket vs REST Latency (ms) Low Freq 5ms 80ms High Freq 3ms 140ms WebSocket REST API 0 50 100 150

Scale compounds everything. At ten concurrent algo strategies all polling REST at 10 signals per second each, you're generating 100 HTTP round-trips per second. Server threads pile up, connection pools saturate, and suddenly your 80ms average blows out to 400ms under load. WebSocket sidesteps this elegantly — the server pushes to all subscribers simultaneously over persistent connections. One broadcast, many recipients, minimal overhead. It's the difference between a broadcaster sending one radio signal versus phoning every listener individually. Understanding the underlying mechanics of WebSocket protocol architecture clarifies why connection multiplexing is so valuable at volume. For traders who want grounding in the financial market context, algorithmic trading fundamentals explain how latency sensitivity varies by strategy type. And the formal specification itself — RFC 6455 — is worth skimming to understand exactly what happens during that initial upgrade handshake your library handles invisibly.

The practical takeaway: audit your signal frequency first. If you're firing fewer than five signals per minute per strategy, REST keeps your stack simple without meaningful latency cost. Above that threshold, benchmark a WebSocket implementation in your actual environment — not a tutorial, your environment — because theoretical gains only matter if your infrastructure can realise them.

Protocol choice is just one variable. But it's the one that bites traders who scale before they benchmark.

This content is for educational purposes only and does not constitute financial product advice. Past performance is not indicative of future results. Profit Logic Ltd (ACN 688 669 936) accepts no responsibility for errors or omissions in this content or anywhere on this website. Always seek advice from a licensed financial adviser before making investment decisions.