It all depends on the data, if you're sending 10KB data, that 500 bytes header is neglectable.
If you're sending 1KB you're already cutting of 33% of the data.
Nevertheless, the main cost is opening the connection, and since modern browsers keep connection open when they see fit and are allowed to by the server there's not too much to gain.
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Note that I'm sending small packets. In fact so small that in the Ajax case, there's more header data than there's payload.
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It all depends on the data, if you're sending 10KB data, that 500 bytes header is neglectable. If you're sending 1KB you're already cutting of 33% of the data. Nevertheless, the main cost is opening the connection, and since modern browsers keep connection open when they see fit and are allowed to by the server there's not too much to gain.