Electronic trading systems architect | 20yr production HFT. Trading systems
New York City 🗽
Joined January 2010
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My last book is a collection of all the articles I've been writing in the past year.
Rearranged for easy reading.
All printed in a book and in one place.
Stays next to my desktop for reference.
(online articles remain fully for free, so having this book is not necessary for reading them)
The book:
The Electronic Trading Stack: Collected Field Notes on Architecture, Latency, and Execution Quality in High-Frequency and Institutional Trading
Find it on Amazon now!!
The same reject message can mean slow down or stop.
Euronext, on throttling: "In FIX, clients receive Reject (3) messages". Breach the limit badly and you "won't be allowed to reconnect for 3 seconds".
The FIX 4.2 dictionary says a Reject "indicates a serious error that may be the result of faulty logic in either the sending or receiving application".
Coinbase Exchange: "Your FIX 5 session is disconnected if your messages exceed 200 messages per second".
Send your handler a Reject (3) with tag 373=26. Does it back off or stop?
More in chapter 24 of my book, The Electronic Trading Stack.
Databento reports OPRA's 99th percentile falling from 543.5 to 57.5 microseconds.
On the same page, Databento says "the OPRA SIP's median latency has been mostly unchanged around 19.5 to 20.5 microseconds".
The median stayed near 20 microseconds while the 99th percentile fell by about 89 percent. Does your report show it?
From my book, on desks I have seen: "that blind spot runs low single-digit basis points on burst days".
More in chapter 41 of my book, The Electronic Trading Stack.
Electronic Trading Architect | Strategic Advisor retweeted
Exchange feed drops one packet: the venue fix is discarding your order book, pulling a 5,000-level snapshot, and buffering deltas.
Takes 80ms to >1s. Quoting through is fail-open.
The buffer timeout that survives volatility without thrashing is the number worth comparing.
#hft
Electronic Trading Architect | Strategic Advisor retweeted
Seeing under the hood with microstructure analytics is how you spot hidden features, and get a clean edge in any market.
#hft #MarketResearch
25 orders for every trade. That was Vertex's book while the price fell 16 cents in 7.6 seconds.
One Trigger Engine rule in VisualHFT Terminal turns that spike into a webhook, so your system widens its tolerances on its own.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
How Do I Design High-Frequency Trading Systems and Its Architecture.
Part 1 of 3
(this is a 2026 Update from a previous post)
The architectural principles still hold in 2026. What has shifted is the protocol landscape, the C++ memory toolkit, and a couple of LOB-layout refinements.
electronictradinghub.com/how…
When your book looks wrong, can you prove whether it was the market or your code?
The book says capture "the raw wire feed at ingress, before parsing or normalization touches it, with a hardware timestamp". A 10 Gbps feed near line rate makes on the order of 4.5 terabytes of that an hour.
Then: "Run the same binary over it. Then prove the output matches."
If you keep only the derived snapshots, "you cannot tell whether a discrepancy is a market event or a bug in your own book-building logic".
More in chapter 21 of my book, The Electronic Trading Stack.
At fifty trades an hour, a sixty-second signal sees less than one trade on average.
From my book: "At fifty trades an hour, a sixty-second window sees 0.83 events on average. At that rate, calibrating a parameter is guessing on noise."
Cont, Kukanov and Stoikov found "a linear relation between order flow imbalance and price changes, with a slope inversely proportional to the market depth". On a thin book, count how often your signal's window gets no input at all.
More in chapter 40 of my book, The Electronic Trading Stack.
Electronic Trading Architect | Strategic Advisor retweeted
AMZN, 22 Aug 2023: sell pressure went from -22 to -98.6 in seconds. The scale stops at -100.
VisualHFT Terminal puts the sellers' push in one number, -100 to +100, so you size quotes to the market you are in.
#visualhft
At Eurex, every modify you send costs two against your order-to-trade ratio.
Eurex: "A modify of an order or quote is treated as a 'delete' followed by an 'add'. Thus, the original order and the new order will both be counted towards the ordered volume".
Cboe EDGX Options, for market makers: "calculated monthly based on the total number of orders (including messages to modify orders)". Tier 7, 20,000 orders per trade and above: a $150,000 fee.
If your model counts a modify once, your real Eurex ratio is higher.
More in chapter 38 of my book, The Electronic Trading Stack.
Same team I wrote about in September, with good C++ and the wrong architecture. How I described them on a call that month:
"I would say around eight engineers [...] And their architecture was... A disaster, basically".
"[P]retty deep into C++ already, very good engineers".
The disaster sat above the code, in how their systems were scattered.
Same at the top. From this morning's article: "A 99.5% uptime target allows 43.8 hours of downtime a year [...] That was an acceptable target when markets closed."
Before you approve hardware or a code rewrite, check the layers above the code.
Electronic Trading Architect | Strategic Advisor retweeted
Buyers crossed the spread, and the price did not move.
Delta of Trades jumps on buys at the offer while OFI stays near zero, and the offer holds. The Desk in VisualHFT Terminal shows the tape pushing and the book standing still, so you see it before you chase.
#visualhft
How Do I Design High-Frequency Trading Systems and Its Architecture.
Part 1 of 3
(this is a 2026 Update from a previous post)
The architectural principles still hold in 2026. What has shifted is the protocol landscape, the C++ memory toolkit, and a couple of LOB-layout refinements.
electronictradinghub.com/how…
Multi-Venue Trading Architecture:
The Four Layers Beneath Smart Order Routing
A fill lands on venue A. The strategy’s risk logic reads it, computes exposure, and fires a hedge. Milliseconds later, the same parent order’s fill on venue B lands, except the risk system does not know it yet: no shared clock told it the two fills belong to the same event, and no shared snapshot combined them into one position. For that window, the hedge is sized against a position that was already wrong.
electronictradinghub.com/mul…
Electronic Trading Architect | Strategic Advisor retweeted
CVD reads positive while sellers do the hitting, and both are true at once.
The sign is the session and the slope is now. The CVD tile in VisualHFT Terminal shows both, so an early buying run never hides who is selling into you now.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
Nine seconds of AMZN bids building, then six cents gone in 1.3 seconds. Watch OFI flip red.
OFI in VisualHFT Terminal swung from green to red on the way down, so you stop leaning on size that already left.
#visualhft
Electronic Trading Architect | Strategic Advisor retweeted
An Introduction to Financial Derivatives: Open Lecture Notes arxiv.org/abs/2611.01355
Electronic Trading Architect | Strategic Advisor retweeted
79.7%: how often the side of the last trade called the direction of the next mid change on held-out NASDAQ data.
It beat a last-tick reversal rule by more than 40 points.
The Order Flow Dynamics Desk is live in VisualHFT Terminal: taker flow beside the book's lean.
#visualhft