Get Second-level Aggregates for Multiple stocks at once through the Rest API

[parthnagarkar]

Is your feature request related to a problem? Please describe. I use the universal snapshot method every minute to download 1 minute aggregate bars for all stocks, then do some analysis on it, and alert any stock that I need to get second-level data for. These stocks (~100 by the end of the data) are stored in a list.

Describe the solution you'd like I would like to be able to run get_aggs every 5 seconds for a list of stocks with just one call. A universal snapshot at the second-level would be the best case scenario.

Describe alternatives you've considered I tried using the websocket API (second-level aggregates), but I could not make it to work such that once the list is updated, the connection is closed, and a new connection is opened with the updated list. I think (please correct me if I am wrong) this is because the close method is an asynchronous method. I tried using asyncio, but I could not make it to work without changing a significant part of my existing code. This (https://polygon.io/blog/pattern-for-non-blocking-websocket-and-rest-calls-in-python) helped me understand the problem a bit more, but still not very clear about it. My entire current program runs on threading and the rest api.

I also tried running get_aggs (for 5 second interval) every 5 seconds for each stock in the list, but that turned out to be obviously very slow.

In the worst case, I am planning on using the websocket api and get second-level data for all tradeable stocks. Then every 5 seconds, write the aggregated data to an on-disk sqlite database. And have another process read the necessary data to run further analysis on it. It will certainly result in a lot of unnecessary data since I only need to analyze data for ~100 stocks by the end of the day. If there are any obvious inefficiencies with this plan, please let me know.

Additional context If there is another/better way to solve this problem, please let me know -- I will be very grateful for that.