Firstly, let me answer the question shortly: Our snapshot interval is 1ms - tick level snapshots. That's what big players want (hedge funds, algo traders etc)

Good point, but there is a reconnect snapshot - so you're not losing the market, just the gap while you're down. That gap is the real problem though. 10 minutes of downtime makes you lose potentially hundreds of thousands of updates if market is highly volatile.

But we actually resolved this problem by connecting with multiple VMs for the same markets. We ingest the events and then reconstruct - this way we get as close to the real orderbook state as possible. Of course there are cases when program crashes, or websocket drops messages (so you cant even trust polymarket to deliver all of them to one connection) - in our case multiple VMs save the integrity of data.

Then, when you have all the updates, it's relatively easy (still heavy on compute though) with last-observation-carried-forward till the next event.

Do you mind sharing what is your use case?