[disgruntledphd2]

That is exactly what I am (currently) doing. Its actually a little tricky because of the stream-like nature of websockets. Currently I'm just writing to a file, but ideally I'd like to use the R connection API. The issue with that is that there doesn't appear to be a Rcpp wrapper around that particular API so I may have to do that (or test my theories by just using scan to read from the file after using a c++ binary to write it (using system).

Its a dirty hack, but appears to work.

FWIW, websocketpp is the C++ library I'm using.