Identify the instrument and payoff
Spot, dated futures, options, perpetual futures, and perpetual swaps need distinct types. Store underlying, quote and settlement assets, linear or inverse payoff, multiplier, tick and quantity rules, margin modes, leverage tiers, funding interval, and venue product ID. Version rules with effective time.
Keep last trade, index, and mark prices separate. A chart may show last price while margin uses mark price and funding references an index. A single generic price field can produce incorrect PnL or liquidation warnings.
Model orders as durable state machines
Use client order IDs or idempotency keys. Represent submitted, acknowledged, partially filled, filled, canceled, rejected, expired, and unknown states. A timeout after submission is not proof that the order failed; reconcile by ID and private stream before retrying.
Record immutable order events, fills, fees, corrections, and cancellations. Current-state tables support fast display, but event history enables restart recovery and account reconciliation. Make clear whether stops and conditions are held by the venue, server, or client.
Represent funding, collateral, and margin
Store estimated funding separately from settled funding cash flows. Include rate, interval, notional basis, amount, currency, and settlement time. Funding affects account history and should not disappear inside a changing PnL field.
Margin can depend on notional tiers, collateral haircuts, portfolio offsets, and isolated or cross mode. Return components and assumptions, not only one available-margin number. Treat liquidation price as an estimate tied to a venue model and timestamp.
Sequence public and private streams
Market data, orders, fills, positions, and collateral updates can arrive on separate channels and out of order. Track sequences independently, tolerate valid ordering differences, and reconcile with snapshots after reconnect. Mark account state as reconciling when continuity is uncertain.
Centralize upstream connections and distribute authorized normalized events. Provider secrets stay in the server boundary. Apply backpressure so replaceable quotes do not crowd out fills or state changes that cannot be reconstructed.
Separate ordinary APIs from HFT infrastructure
High frequency trading involves specialized networking, venue-specific protocols, deterministic performance, and microstructure controls. A general Digital Assets API can support research, monitoring, risk, and lower-frequency execution, but it should not market ordinary cloud REST latency as HFT.
Define latency classes and service objectives for market age, order acknowledgement, private-state reconciliation, and recovery. Measure tail percentiles. Use server-side limits, price collars, stale-data blocks, reduce-only emergency mode, and kill switches.
Simulate the failure paths
Test duplicate writes, timeouts after venue acceptance, partial fills, rejected reduce-only orders, funding settlement, changed margin tiers, stale marks, rapid price moves, and reconnect gaps. Confirm that new risk is blocked when required data or account state is stale.
The perpetual derivatives field note provides the detailed data model. Pair it with the market data guide for order-book integrity and the compliance guide for identity and reporting controls.