Comparative Analysis of REST, WebSocket, andFIX Protocols for Cryptocurrency Market Data: AComprehensive Benchmarking Study

Abstract

Low-latency market data access is critical for algorithmic trading, market making, and high-frequency trading strategies in cryptocurrency exchanges. This paper presents a comprehensive empirical study comparing three widely-adopted market data protocols: Representational State Transfer (REST), WebSocket (WS), and Financial Information eXchange (FIX). We developed an open-source benchmarking framework to systematically measure end-to-end latency, throughput, and statistical distribution characteristics across these protocols using Coinbase exchange as our primary test venue. Our experiments span multiple time horizons (30 seconds, 2 minutes, and 5 minutes) and analyze over 50,000 messages across all protocols. Results demonstrate that FIX achieves sub-millisecond latencies (P50: 0.177-0.263 ms) on local loopback, REST exhibits median latencies of 22-25 ms with moderate tail behavior, while WebSocket shows higher variability (P50: 72-89 ms) but better scaling characteristics. We quantify tail latency behavior through percentile analysis (P90, P95, P99, P999), calculate statistical moments (skewness, kurtosis), and provide actionable insights for infrastructure architects and trading system designers.