Electronic Trading Architect | Strategic Advisor

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!!

Your total volume may earn a tier no single venue gives you. From my book: "The fund is paying retail-adjacent fees on institutional volume because the volume is diluted across venues that each calculate tiers independently." Binance: "VIP 2 ≥ 5,000,000 USD and ≥ 25 BNB 0.080% / 0.100%". "VIP 3 ≥ 20,000,000 USD and ≥ 100 BNB 0.040% / 0.060%". "The fee-tier leak is invisible in most fund reporting because dashboards track total fees paid, not fee-tier delta." Make each venue's distance to its next tier a line on your fee report. More in chapter 5 of my book, The Electronic Trading Stack.

A sudden step in your cross-venue latency may be the venue's clock moving. "customers have depended on the Amazon Time Sync Service to provide one millisecond clock accuracy". AWS, on its older clock. Its newer one is "designed to deliver clock accuracy in the low double-digit microsecond range". Once your own clock is tighter than that, alarm on any step in measured offset above the normal one-way jitter on that path. More in chapter 11 of my book, The Electronic Trading Stack.

Your trading system's primary venue goes down at 3 AM on Sunday. My book asks: "how long until orders route to secondary venues?" If it is "when the on-call engineer acknowledges the alert," your architecture is operator-dependent. If it is "the next order automatically routes to the secondary venue," it is deterministic. "A system designed for 99.5% uptime was acceptable when markets closed. That uptime target allows 43.8 hours of annual downtime". More in chapter 3 of my book, The Electronic Trading Stack.

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.

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.

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.