Hello Pedro,

Rather than writing that in C, you could use Python's websockets library, so in the meantime you find a solution you can get this done.

I'm sure there is a better way to do it, but you can play around with this

First install websockets:

$ pip3 install websockets

Then:

send = "
import asyncio
import websockets

output : object

async def send():
    global output

    uri = 'wss://echo.websocket.org'

    async with websockets.connect(uri) as websocket:
       await websocket.send('Hello World!')
       output = await websocket.recv()

asyncio.get_event_loop().run_until_complete(send())

output
"

session = StartExternalSession["Python"]
output = ExternalEvaluate[session, send]

Output should be equal to "Hello World!"

I am also very interested in this for streaming quotes from exchanges and already made a feature request. Hopefully there will be a build in solution in the not too distant future.