HFT API architecture
Study the boundaries between market data, strategy state, risk controls, orders, and reconciliation. Educational architecture—not an execution service.
Define the boundary before the fast path
An HFT API is one interface in a system that must maintain a coherent view of inputs, proposed actions, and observed outcomes. A short request time does not establish that an order is appropriate, accepted, or filled.
Our reference design keeps language-model calls outside the time-critical order path. Research can propose reviewed artifacts; execution remains behind independent authorization, bounded behavior, and operational controls. This recommendation is a learning framework, not a claim that a page or diagram makes a live trading system safe.
Market data needs state and freshness
Record source identity, ordering information, timestamps, and the conditions under which a local view becomes invalid. Define the response to missing updates, delayed messages, and a source that is connected but stale.
For a stateful feed, a reconnect should trigger the documented recovery procedure. Opening a connection does not by itself prove that snapshots, incremental updates, or the consumer's local state are synchronized.
Keep risk controls independent
Define allowed instruments, accounts, order sizes, exposures, and operating modes before an order is submitted. A generated explanation is not evidence that a required control passed. Keep the authority to reject an action separate from the component proposing it.
The SEC market-access FAQ explains obligations for broker-dealers within the scope of Rule 15c3-5. Its applicability is specific; obtain qualified advice about any real system's obligations. HFAPI.com does not certify compliance.
Model the order lifecycle
| Observable state | Why it needs a distinct meaning |
|---|---|
| Submitted | An instruction was sent, but acceptance may be unknown. |
| Acknowledged | The external system reported acceptance under its protocol. |
| Partially filled | Some execution occurred; remaining quantity still matters. |
| Filled | The reported execution outcome must be reconciled. |
| Cancel requested | A request to cancel is not confirmation of cancellation. |
| Uncertain | Recover through the supported reconciliation mechanism. |
Actual states and transitions depend on the venue or broker interface. Preserve its documented semantics instead of forcing every outcome into a success boolean.
Design recovery and stopping
Uncertain outcomes
Do not blindly replay a state-changing instruction after a timeout. The original operation may already have reached the external system. Use operation identifiers and supported reconciliation methods.
Independent control
Define a path to stop new submissions, and separately define cancellation behavior for outstanding orders. Make the visible operating state precise about what has stopped and what still requires attention.
Test scenarios
Exercise stale data, duplicate events, lost acknowledgments, partial fills, and disconnected sessions in an authorized isolated environment. A clean replay is not sufficient evidence for every live failure mode.
Keep research honest
A backtest depends on data availability, fees, spread, liquidity, and execution assumptions. Document those assumptions and separate research evidence from operating-system tests. Simulated outcomes do not establish future performance.
Read the full HFT architecture guide, AI research workflow, and risk disclosure. HFAPI.com provides no brokerage connection, live market data, trade recommendations, or investment advice.
Read the full architecture guide