Every developer building a trading dashboard or a backtesting engine eventually stumbles on the same mismatch: the live price on your screen moved, but your recorded data doesn’t show a trade at that exact level. The culprit is almost always snapshot aggregation. Let's unpack this from a broker’s perspective and get you to a cleaner, tick-by-tick WebSocket pipeline. The Data Integrity Problem: Snapshots Discard Microstructure A snapshot—no matter how frequently polled—is a summary. It collapses potentially dozens of discrete trades into a single OHLCV tuple. The key information you lose includes the trade size distribution, the sequence of fills against the bid or ask, and the exact microsecond timestamps. For any kind of order flow or volume profile strategy, that’s a critical information loss. You’re effectively training your models on compressed JPEGs of the market rather than the RAW file. The Efficiency Pitfall of HTTP Polling Many of us start with a setInterval or a while True loop hitting a REST API.…