The HFT API blueprint
Design the complete signal-to-order path with explicit state, data freshness, risk checks, and recovery.
START HERE / ARCHITECTURE
THE HFT API
BLUEPRINT.
Think in complete systems, not isolated endpoints. Build a vocabulary for the path from a market observation to a reconciled outcome.
What is an HFT API?
An HFT API is a software interface used within a high frequency trading workflow. It may expose market data, order entry, execution events, or account information. It is not a universal protocol or a guarantee of speed. The meaningful definition includes the provider, access arrangement, supported operations, and recovery behavior.
A suggested five-stage architecture
Observe a market state with identifiable provenance. Generate a proposed action. Check that action against explicit permissions and exposure reservations. Transmit through a provider-specific adapter. Reconcile the resulting evidence into the order and account state. Each stage should explain when it is ready, when it is uncertain, and who owns its recovery.
Design the refusal path early
A missing response is not automatically a rejected order. A healthy connection does not establish fresh instrument data. Keep those conditions visible to the permission layer. Define how the system suspends new activity while preserving the ability to receive execution evidence and understand remaining obligations.
Measure the correct boundaries
Use a repeatable workload and name the events at the start and end of a measurement. Local parsing, risk evaluation, and send-to-response timing are different metrics. Report distributions and test conditions. Do not turn a protocol name, a timestamp’s number of decimals, or a minimum observed response into a general performance promise.
Build a narrow proof before expanding
Start with one well-defined execution system and a small instrument set in an authorized test environment. Prove correct normal behavior, deliberate rejection, and restart with outstanding activity. The full field guide below supplies the detailed review sequence and a primary reference for the separation of message meaning from transport.
THE FIELD NOTES
GO DEEPER.
Choose the right protocol
Compare message meaning, session recovery, transport, and encoding before interpreting latency benchmarks.
Risk before speed
Build a first-class refusal path with exposure reservations, controlled shutdown, and evidence-based recovery.