Tickstreams that get forgotten
My app requests the tickstream for several different assets, but after a while the server seems to forget to send ticks for some symbols. Some symbols sometimes go more than 5 minutes without receiving new ticks. I know there are new ticks, because I can often enter a trade on those symbols and the trade's entry spot will be some distance away from what I thought the current asset price was.
This happens far more often for a friend of mine whose internet connection is less stable.
What is the best way to manage this situation?
Here is what I propose...
If the ticks stop coming for a symbol, then once every 3 secs send a tickstream request without the subscribe option. If the reply has an epoch that is newer than the epoch of the last tick received through the subscription, then send a forget request followed by a new tickstream subscription request.