i wrote a simple C# function to retrieve trade history from MtGox with following API call:
https://data.mtgox.com/api/1/BTCUSD/trades?since=<trade_id>
documented here: https://en.bitcoin.it/wiki/MtGox/API/HTTP/v1#Multi_currency_trades
here's the function:
string GetTradesOnline(Int64 tid)
{
    Thread.Sleep(30000);
    // communicate
    string url = "https://data.mtgox.com/api/1/BTCUSD/trades?since=" + tid.ToString();
    HttpWebRequest request = (HttpWebRequest)WebRequest.Create(url);
    HttpWebResponse response = (HttpWebResponse)request.GetResponse();
    StreamReader reader = new StreamReader(response.GetResponseStream());
    string json = reader.ReadToEnd();
    reader.Close();
    reader.Dispose();
    response.Close();
    return json;
}
i'm starting at tid=0 (trade id) to get the data (from the very beginning). for each request, i receive a response containing 1000 trade details. i always send the trade id from the previous response for the next request. it works fine for exactly 4 requests & responses. but after that, the following line throws a "System.Net.WebException", saying that "The operation has timed out":
HttpWebResponse response = (HttpWebResponse)request.GetResponse();
here are the facts:
- catching the exception and retying keeps causing the same exception
 - the default HttpWebRequest .Timeout and .ReadWriteTimeout are already high enough (over a minute)
 - changing HttpWebRequest.KeepAlive to false didn't solve anything either
 - it seems to always work in the browser even while the function is failing
 - it has no problems retrieveing the response from https://www.google.com
 - the amount of successful responses before the exceptions varies from day to day (but browser always works)
 - starting at the trade id that failed last time causes the exception immediately
 - calling this function from the main thread instead still caused the exception
 - running it on a different machine didn't work
 - running it from a different IP didn't work
 - increasing Thread.Sleep inbetween requests does not help
 
any ideas of what could be wrong?