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I am developing a script to save a stream of prices received via websocket to a local database but I am facing some design dilemma.
The stream consists of 1 minute candlestick data of around 200 instruments received via a cryptocurrency exchange websocket. When closed new candles are received I want to save them to a local db.
I started building it in Python with a MySQL DB but I am dubious on feasibility.
- Can I save the messages directly to DB or would I need an
intermediate step? (Performance concern)
- Am I totally out of my mind for building this? I have a strategy
that needs historical data from many instruments and calling Rest
API is not possible as I would hit the rate limit therefore looking
a working with Websockets
Thank you in advance