REST APIs follow a request-response pattern. Your client sends a request to the server, the server processes it and sends back a response. If you want updated data, you send another request. This polling model is simple and well-understood, but it has an inherent limitation for market data: you only get updates when you ask for them.
WebSocket APIs establish a persistent, bidirectional connection between your client and the server. Once connected, the server can push data to your client the moment it is available, without waiting for a request. For market data, this means you receive trade updates and order book changes as they happen rather than discovering them on your next poll.
The latency difference is significant. With REST polling at one-second intervals, you discover new information an average of 500 milliseconds after it happens. With WebSocket streaming, you receive updates typically within 10-50 milliseconds of the exchange processing them. For a strategy that trades on minute timeframes, this difference is negligible. For anything faster, it matters.
Resource usage tells a different story. A REST polling approach for 50 trading pairs at one-second intervals generates 50 HTTP requests per second, each with the overhead of connection establishment, headers, and authentication. A WebSocket approach uses 50 persistent connections (or even a single multiplexed connection on some exchanges) with minimal per-message overhead. The WebSocket approach is dramatically more efficient for the exchange and your system.
Rate limits heavily favor WebSocket usage. Most exchanges impose strict limits on REST API calls, typically 1,000-2,000 requests per minute. If you are monitoring many trading pairs, REST polling quickly hits these limits. WebSocket streams are generally not rate-limited in the same way because the exchange controls the data flow. You receive all updates for your subscribed channels without counting against your API quota.
Order book data is where the difference is most pronounced. A REST call returns a snapshot of the order book at the moment of your request. A WebSocket stream sends you incremental updates, each individual order placement, cancellation, and trade, allowing you to maintain a local copy that stays synchronized with the exchange. This local order book is essential for strategies that depend on depth analysis or detecting large orders.
Reliability is where WebSocket connections get complicated. REST requests are stateless. If one fails, you simply retry. WebSocket connections are stateful. If the connection drops, you need to reconnect, resubscribe to your channels, and potentially re-synchronize your local order book. Connection drops happen regularly, sometimes due to network issues, sometimes due to exchange maintenance, sometimes for no apparent reason. Robust WebSocket client code includes automatic reconnection, subscription management, and state recovery.
Most professional trading systems use both. WebSocket connections handle real-time data streaming for live trading decisions. REST APIs handle non-time-sensitive operations like checking account balances, reviewing trade history, and managing API keys. Order submission can go either way. Some exchanges support order placement through WebSocket for lower latency, while others only accept orders through REST endpoints.
The practical recommendation for building a trading system is to start with WebSocket for market data and REST for order management. This gives you real-time data for decision-making while keeping the order management code simple and debuggable. As your system matures and latency becomes more important, you can migrate order management to WebSocket if the exchange supports it. The key is building your system to handle the inherent unreliability of persistent connections from day one.