FIX, WebSocket, and multicast at HFT scale
Building and operating exchange connections: TCP tuning, WebSocket reconnection at scale, FIX protocol internals, multicast market data, and smart order routing across venues.
Connectivity is where strategy meets market. A reconnection bug that drops messages during high-volatility periods costs more than any signal alpha. These ten posts cover the complete connectivity stack, from TCP sysctl to venue-specific API edge cases that only show up in production.
BBR's bandwidth probing introduces 50-100µs jitter on latency-sensitive trading connections. Here's the congestion control and socket configuration that actually works.
How to manage WebSocket connections to 12 concurrent exchanges without data loss, sequence gaps, or backpressure failures. Lessons from Akuna Capital's multi-venue trading infrastructure.
Operational knowledge for running real money on Binance: weight system, mark price vs last price, hidden order limits, stream rate limits, and the testnet gotchas you'll hit in production.
What the docs don't tell you about OKX unified accounts, Bybit session management, and Deribit's options infrastructure - with the production failure modes for each.
FIX session layer mechanics for practitioners: sequence number guarantees, gap fill with ResendRequest, drop copy sessions, and the differences between FIX 4.2, 4.4, and FIXT/5.0.
How institutional market data infrastructure works with IGMPv3 SSM, A/B feed redundancy, and sequence-based gap detection. And why crypto is converging to this model.
Snapshot+diff book reconstruction has a race condition that creates phantom liquidity. The correct handling for 12 exchanges, Binance sequence numbers, and the memory layout that performs.
What the Binance, OKX, and Bybit docs say about Post-Only, SMP, IOC, and FOK - and what actually happens in production during thin markets, high volatility, and edge-case fills.
Practical infrastructure decisions for crypto trading latency: venue geography, AWS Local Zones vs Direct Connect, Tokyo-Singapore peering, and latency tables from Dubai to each major venue.
SOR for fragmented crypto liquidity: fee-adjusted mid routing, maker/taker status, rate limit headroom, and the position drift and hedge imbalance failures that break naive implementations.