Implement a high-frequency trading strategy
- Separate data ingestion, signal generation, order submission, and state reconciliation into distinct pipeline stages.
- Bootstrap state from REST before trusting realtime-driven signals.
- Keep order acknowledgements, execution outcomes, and settlement effects as separate timing domains in your strategy logic.
- Bound risk and exposure before trying to optimize micro-latency details.
- Instrument every stage so you can see where real delay enters the system.
Build the strategy loop in the right order
- Start with the smallest feed set that can drive the strategy.
- Establish one application-owned state model for market data and one for account state.
- Generate signals from the local model, not directly from raw WebSocket callbacks.
- Submit requests only after the local model includes current constraints and position state.
- Reconcile every acknowledgement and later execution outcome back into the same state owner.
Keep timing domains separate
| Timing question | Treat it as… |
|---|---|
| request admitted | a fast sequencing or acknowledgement signal |
| order filled, rejected, or canceled | a later execution outcome |
| account and position updates observed | an event-stream reconciliation step |
| checkpointed or withdrawal-relevant state | a later settlement and finality concern |
Optimize the first things that actually matter
- reduce unnecessary feed subscriptions
- minimize state-copying between callbacks and decision logic
- keep one deterministic owner of open-order and position state
- record enough metadata to rebuild state quickly after reconnect
- measure delay from data receipt to signal generation to submission to observed outcome
Keep low-latency design inside public guards
- Check symbol, tick-size, and minimum-size validity before submission.
- Keep notional and margin constraints visible to the strategy before it emits the request.
- Expect market orders to respect price-deviation guards and book-liquidity limits.
- Treat
SafetyFailureandRateLimitas ordinary parts of the strategy runtime, not as impossible edge cases.