One of the most common requests we've received from customers is simple: "Can I build my own GUI?" Until now, the answer was "yes, but..." You could monitor your trading session remotely, download trade logs, and perform account management actions such as flattening positions
One of the biggest challenges in backtesting and simulation is that fills often look far better than they would in live trading. To help bridge that gap, we've added support for market data-based latency modeling in the Nanoconda Simulator. The simulator can now dynamically introduce latency based on
A new DOM Window has been added to the Nanoconda GUI. It provides a more intuitive and visual way to monitor where an algorithm is positioned relative to the market, making it easier to understand current market conditions, working orders, and execution activity at a glance. The DOM also enables
One problem eventually shows up in almost every serious HFT environment. The strategy evolves faster than the tooling around it. New risk controls get added. New diagnostics become necessary. Traders want different controls exposed. Operations wants more visibility. Developers want internal metrics during live sessions. Traditionally, this turns into a
futures
CME Fills: MDP 3.0 Trade Summary vs iLink private Fills latency It is commonly understood that CME private fill confirmations are delivered ahead of public market data. In this study, we set out to validate and quantify this assumption using real measurements. By matching market data events with corresponding
Engineering Tips
Using Databento DBN Files with the NanoConda Trade Simulator The NanoConda Trade Simulator and backtesting engine now support Databento DBN files. This integration enables cost-efficient, high-fidelity strategy testing without the complexity of working directly with raw PCAP files. Compared to packet-level replay, DBN-based workflows are easier to manage, faster to
futures
CME Trades: Message Ordering and Latency Whenever a trade occurs on a CME matching engine, the exchange disseminates such information in a sequence of messages. A few important observations: 1. The exchange disseminates a Trade Summary Message first for any trade. 2. 85% of the time other updates, such as
Announcements, HFT Tips and Markets Insights
What Is CME iLink? CME iLink is the CME Group's official order entry protocol - used by trading systems to submit, modify, and cancel orders directly into the CME Globex matching engine. It forms the backbone of CME's direct market access (DMA) for futures and options
What are market data gaps and how to deal with them In the world of high-performance trading systems, accurate and timely market data is paramount. Yet even in the most robust infrastructures, market data gaps—missing or out-of-sequence messages—are an unavoidable reality. Understanding how they occur, how to detect
What Is Order Book Imbalance? Order book imbalance is a key concept in market microstructure that helps traders interpret short-term supply and demand pressure in financial markets. It refers to the relative difference between the volume of buy orders (bids) and sell orders (asks) visible in the order book at
What Is an Order Book? How It's Built and Why It Matters In financial markets, the order book is one of the most fundamental concepts. It's where buying and selling interest meets - and where price discovery begins. If you've ever placed a trade
Low-latency programming in HFT isn't about Big-O - it's about cache lines In high-frequency trading, conventional software wisdom often breaks down. We're not optimizing for scalability or code elegance - we're optimizing for nanoseconds. Most systems in HFT are memory-bound, not CPU-bound.
Why GPUs Are Rarely Used in High-Frequency Trading In many fields - AI, simulations, rendering - GPUs offer massive speedups. But in ultra-low-latency trading, they're rarely the right tool. Here is Why: 1. HFT is driven by latency, not compute throughput. Most high-frequency strategies require a response in
In HFT, please use static linking. When you're optimizing for nanoseconds, runtime behavior matters more than startup time or convenience. Static linking - especially when combined with native compilation (-march=native, -O3, -mavx, etc.) - offers real runtime performance benefits. Here is the list of static linking benefits:
ETFs Are a Bad Replacement for Futures Exposure ETFs are marketed as convenient ways to gain access to commodities, rates, crypto, and volatility-but in many cases, they're inefficient, expensive, and poorly designed. Here's why serious traders and investors should avoid using ETFs as a proxy for
Futures: Closer to Market Democracy Than Equities Equities may be marketed as the path for the everyday investor-but under the surface, they've become a maze of fragmented exchanges, slow public data feeds (SIP), and opaque order routing games stacked against retail. Futures, on the other hand, are often
The Problem with SIP: How Regulation Reinforces an Unfair Market The SIP (Securities Information Processor) was created to ensure transparency and protect investors by consolidating quotes and trades from all U.S. equity exchanges into a single public feed. But in practice, it's now one of the biggest
Using Daily PCAPs for Nanoconda Trade Simulator The Nanoconda Trade Simulator enables you to replay historical trading days at real-time speed, enabling you to practice launching algos, monitor their behavior, and review performance on real tick data - all without the need for live market licenses. This workflow is especially
How to Find Memory Leaks This short guide covers two fast and effective ways to find memory leaks: This short guide covers two fast and effective ways to find memory leaks: (1) using pidstat to monitor memory growth, and (2) using gdb to trace memory allocations by setting a breakpoint