Architecture and Design

  • A poorly architected system cannot be "patched" into competitiveness.

  • HFT demands front loaded design.

Async Framework: Tokio-Tungstenite.

Use io_uring only if you have to connect to multiple exchange simultaneously and make 1000 orders/sec.

Robust Error handling.

Context rich information regarding errors.

Error definition(Enum Custom type), Implementation(Debug, Display, Error, From), Detection(return the errror type), Handling(match statement), logging(tracing), telemetry(fire and forget channels)

Circuit breaker pattern for Binance connection failures. (Do not spam reconnects during exchange outages)

Error logging

Tracing

Validation layer (Market Feed)

Initial validation Layer:

  • CRC32 checksum
  • Sequence number
  • Latency Time stamping(rdtsc).

std::arch::x86_64::_rdtsc; let timestamp = unsafe { _rdtsc };

Sequence gap detection - missing sequence numbers mean lost messages

Make sure you handle binance trading errors as well and not just the errors on your end.

Secondary validation layer

  • Heart beat monitoring: Binance sends hearbeat messages every 3 minutes. Missing one indicates connection issues.
  • Market data sanity checks: detect price/volume anomalies that could indicate feed corruption

Preallocated, Zero copy, Atomic Ring buffer

For seperation of concerns between the validation/parsing stage and the trading logic.

SIMD acceleration

simd accelerated json parsing.

target-cpu=native compilation flag to use your specific CPU's SIMD capabilities.

std::arch

Telemetry

Cross beam + fire and forget + Bufwriter(<1000 events) OR memory mapped files(1k-10k events) OR io_uring(10k+ events/sec)

tokio::fs::OpenOptions::new() ......Async file IO for tokio.

Use io_uring only if the volume of IO is > 10k events/sec.

Low latency Tricks

  • Cache line boudaries
  • Memory layout

System Level Optimizations

NUMA topology awareness - pin memory allocation to same NUMA node as CPU Huge pages - reduce TLB misses for large data structures Kernel bypass networking (DPDK) - only if latency requirements are extreme Disable CPU frequency scaling - ensure consistent performance

Backtesting layer

Historical Strategy Validation

Purpose: Validate your trading algorithm's profitability before going live Timing: Hours/days of analysis during development Scope: Entire strategy performance over historical periods

Additional Considerations

Backtesting Framework: Essential for strategy validation before live deployment.

Market Hours Handling: Different exchanges have different trading sessions - your system needs to handle market open/close gracefully.

Configuration Management: Hot-reloadable parameters (risk limits, strategy parameters) without restart.

Risk mitigation Layer

Real-Time Safety System

Purpose: Prevent disasters during live trading Timing: Millisecond decisions in production Scope: Individual order validation and position limits

// Your trading logic flow WebSocket Data → Parsing → Validation → Ring Buffer → Trading Signal → [RISK CHECK] → Order Execution → Exchange ^^^ Gate keeper - can reject any order