HFT Trading
Low-latency trading infrastructure for institutional and broker-dealer partners
Liquidity.io provides institutional-grade low-latency infrastructure for registered broker-dealers and market makers. Direct access to the CLOB matching engine with sub-millisecond latency.
Access Protocols
| Protocol | Latency | Use Case |
|---|---|---|
| REST | ~5ms | Standard order management, account queries |
| WebSocket | ~1ms | Real-time market data, order status streaming |
| FIX 4.4 | ~500us | Institutional order routing, standard BD connectivity |
| ZAP Binary | ~100us | Zero-copy binary protocol for ultra-low-latency execution |
REST API
Standard HTTPS endpoints at /api/v1/cex/. Suitable for most integrations.
See API Reference for full documentation.
WebSocket
Persistent connections for real-time streaming:
- Market data feed: L1 quotes, L2 order book depth, trades
- Order status: Fill reports, cancellation confirmations, rejection notices
- Account updates: Balance changes, position updates
Connect to wss://api.liquidity.io/v1/cex/ws with Bearer token authentication.
FIX 4.4
Standard Financial Information eXchange protocol for institutional connectivity.
- Session-level: Logon (A), Heartbeat (0), Logout (5)
- Application-level: NewOrderSingle (D), ExecutionReport (8), OrderCancelRequest (F)
- Supports all order types: market, limit (GTC/IOC/FOK/DAY)
- Drop-copy sessions available for trade reporting
Contact partners@liquidity.io for FIX session credentials and connectivity details.
ZAP Binary Protocol
Zero-allocation binary protocol designed for maximum throughput:
- Zero-copy message parsing -- no heap allocations on the hot path
- Fixed-size message frames for predictable latency
- Direct memory-mapped order submission
- Multicast market data distribution
ZAP is available exclusively to co-located partners.
Co-Location
Co-location racks are available in the same data center as the matching engine.
| Tier | Monthly Cost | Includes |
|---|---|---|
| Standard | $5,000/mo | 1U rack space, 1Gbps cross-connect, ZAP access |
| Premium | $15,000/mo | 4U rack space, 10Gbps cross-connect, ZAP access, dedicated support |
| Enterprise | Custom | Full rack, dedicated cross-connect, custom SLA |
Pricing is aligned with NYSE/BATS co-location tiers.
Infrastructure
- Data center: Equinix NY5 (Secaucus, NJ)
- Cross-connect: Direct fiber to matching engine
- Network: Dedicated VLAN, no shared hops
- Monitoring: Real-time latency dashboards, Prometheus metrics endpoint
Matching Engine
The CLOB (Central Limit Order Book) matching engine is implemented in
liquidityio/cex/pkg/engine with the following characteristics:
- Price-time priority: Orders matched FIFO within each price level
- Sub-millisecond matching: Median match latency under 200 microseconds
- Deterministic: No garbage collection pauses on the matching hot path
- Broker fallback: Unmatched orders route to the 16-venue SOR for external execution
Direct Market Access
Co-located partners get direct access to all 16 broker venues via the SOR:
- Equities: Multi-broker (16 venues)
- Crypto: Coinbase, Binance, Kraken, Gemini, BitGo, SFOX, FalconX
- Forex: LMAX, CurrencyCloud
- Custody: Fireblocks, Circle
Orders can specify venue preference or let the SOR optimize for best execution.
Compliance
All HFT participants are subject to the same compliance framework as retail users:
- Pre-trade compliance checks on every order (sanctions, jurisdiction, accreditation)
- Post-trade surveillance (wash trading, layering, spoofing detection)
- Full audit trail for FINRA OATS, CAT, and ATS-N reporting
- Market maker obligations enforced where applicable
Contact
For co-location, FIX connectivity, or institutional access:
- Email: partners@liquidity.io
- Institutional onboarding typically completes within 5 business days