Canonical identity comes first
Map each venue symbol to an economic asset, network, contract address when relevant, quote currency, contract type, multiplier, tick size, and quantity increment. A wrapped token, perpetual contract, and native spot asset may share a ticker while settling different obligations.
Version the registry and make unknown or changed metadata fail closed. Strategy code should compare canonical instruments, while venue adapters handle translation. This prevents a cosmetic symbol match from becoming an unintended basis or bridge-risk trade.
Price the intended size
Use depth-weighted asks for purchases and bids for sales. Convert quotes into a common numeraire conservatively, then subtract actual account fees, funding or borrow, impact, and uncertainty. Record exchange timestamps, local receipt times, and sequence health.
A fast feed paired with a delayed feed can manufacture opportunities. Data freshness should be a gate. When a book has a gap, a route becomes unavailable until the venue’s recovery procedure rebuilds a valid state.
Manage pre-funded inventory
Holding quote currency on likely buy venues and assets on likely sell venues removes transfer time from the critical path. After each trade, inventory shifts. Target bands, venue caps, and a central reservation service determine whether the next opportunity is usable.
Transfers become asynchronous rebalancing. The workflow should verify network and address identity, cap value in transit, track withdrawal through deposit credit, and model every fee and delay. A paused withdrawal can strand capital even when trading remains open.
Route and recover orders
Order policy specifies sequencing, time-to-live, price limits, partial-fill behavior, cancel-and-replace rules, and emergency hedges. Client identifiers and idempotency rules protect against ambiguous retries. A timeout means unknown status until venue state is reconciled.
Prioritize cancellation, hedging, and reconciliation over new orders during an incident. The thinner or harder-to-hedge leg often determines maximum size. Passive execution may reduce fees while increasing adverse selection and queue uncertainty.
Close the loop with settlement
A trade ends when fills, fees, positions, transfers, and balances agree. Match websocket events, request responses, and statements. Block dependent activity when state is unknown. Attribute results to quoted spread, slippage, fees, funding, conversion, and rebalancing.
Stress tests should delay feeds, reject orders, duplicate messages, change precision, pause withdrawals, and disconnect venues. A system is robust when these events produce a bounded, explainable state—not when every API call succeeds in a demo.