The HFT API blueprint
Design the complete signal-to-order path with explicit state, data freshness, risk checks, and recovery.
READING COLLECTION / TOPIC
MARKET DATA.
Focus on what the feed actually contains: instrument identity, snapshots, updates, freshness, sampling, and gaps. The right data is the data that can support the question being tested.
How to use this collection
Start with a market-specific article before choosing a common normalized format. Preserve provenance, timestamp meaning, and the provider’s update semantics. Then use the architecture guide to decide how a degraded observation changes trading permission. These readings distinguish a connected stream from a synchronized, usable market view.
Connect these readings with the HFT API blueprint, the market tracks, and the technical glossary. Each full article links to a primary reference for its documented example. Consult current provider specifications before applying the ideas to an actual integration.
5 FIELD GUIDES
Bitcoin order flow
Build a reliable exchange-based bitcoin research workflow with correct book updates and recoverable order identities.
Stocks at speed
Separate public data from private orders, model queue uncertainty, and make equity execution evidence recoverable.
Forex: price is not fill
Inspect sampling, quote terms, currency units, and private account events before optimizing a forex adapter.
Choose the right protocol
Compare message meaning, session recovery, transport, and encoding before interpreting latency benchmarks.