Crate algo_sdk 

Sequence Algo SDK - Ultra Low Latency Trading

Write HFT algorithms in Rust, compile to WASM, deploy to Sequence.

Example

use algo_sdk::*;

struct MyAlgo { next_id: u64 }

impl Algo for MyAlgo {
    fn on_book(&mut self, book: &L2Book, state: &AlgoState, actions: &mut Actions) {
        if book.spread_bps() > 10 && state.position_1e8.abs() < 100_000_000 {
            self.next_id += 1;
            actions.buy(self.next_id, 1_000_000, book.bids[0].px_1e9 + 100);
        }
    }
    fn on_fill(&mut self, _: &Fill, _: &AlgoState) {}
    fn on_reject(&mut self, _: &Reject) {}
    fn on_shutdown(&mut self, _: &AlgoState, _: &mut Actions) {}
}

export_algo!(MyAlgo { next_id: 0 });

Modules

OrderType

Order type for execution semantics.

RejectCode

Reject codes from exchange (matches cc_proto::RejectClass).

Status

Order status.

log

Algo logging - non-blocking, ~100ns per call. Logs are batched and viewable via dashboard with 1-2s delay.

time

Simple timing helpers for client-controlled latency measurement. SDK/runtime does not force any logging; strategy decides how/when to log.

Macros

export_algo

Stub macro for native builds (no-op).

export_algo_v3

Stub macro for native builds (no-op).

export_multi_venue_algo

Stub macro for native builds (no-op).

log_debug

Log debug with formatting.

log_error

Log error with formatting.

log_info

Log info message with formatting.

log_warn

Log warning with formatting.

Structs

Action

Order action (place, cancel, or amend).

Actions

Actions buffer - orders to send.

AlgoState

Algo state: position, orders, session stats, symbol metadata, and risk limits. All managed by server — read-only from algo’s perspective.

Fill

FillExt

Extended fill metadata (NOT in WASM memory — delivered via separate channel).

L2Book

L2 order book with up to 20 levels per side. Total size: 688 bytes (fits in L1 cache).

Level

Single price level in the order book.

NbboSnapshot

Cross-venue NBBO snapshot delivered to multi-venue algos.

OnlineFeatures

Online microstructure features delivered by the CC data engine. Written to WASM memory before each algo callback. Old algos that never read 0x1A000 are unaffected (backward compatible).

OpenOrder

Open order tracked by server.

PnlSnapshot

PnL snapshot in fixed-point units (1e9 = $1.00).

PoolBooks

Per-pool depth books delivered to multi-venue algos.

PoolMeta

Per-pool metadata: compact identity for a single DEX pool.

Reject

RiskSnapshot

Current risk limits — read-only view for algos. Allows pre-checking orders before placing (avoids wasting actions on rejects).

SymbolMeta

Symbol trading specifications from the exchange. Injected by runtime — prevents rejects from wrong lot size / tick size. Fields set to 0 mean “unknown” — helpers return input unchanged.

VenueBooks

Per-venue full-depth order books delivered to multi-venue algos.

WasmActions

Wire format for actions buffer.

Enums

LogLevel

Log levels for algo logging.

Constants

ACTION_AMEND

Amend an existing order (atomic modify price/qty).

ACTION_CANCEL

Cancel an existing order.

ACTION_NEW

New order action (place on book).

MAX_ACTIONS

Max actions per callback.

MAX_ORDERS

Maximum open orders per algo.

MAX_POOLS

Maximum number of individual pool slots tracked per symbol.

MAX_VENUES

Maximum number of venues in a multi-venue snapshot.

ONLINE_FEATURES_WASM_OFFSET

WASM offset for OnlineFeatures — page-aligned after PoolBooks. PoolBooks at 0x14000, size ~23KB -> ends well before 0x1A000.

POOL_BOOKS_WASM_OFFSET

WASM memory offset where PoolBooks is written by the runtime. Located after VenueBooks to avoid overlap.

VENUE_BINANCE

Binance (CEX)

VENUE_BITGET

Bitget (CEX)

VENUE_BITMART

Bitmart (CEX)

VENUE_BOOKS_WASM_OFFSET

WASM memory offset where VenueBooks is written by the runtime. Multi-venue algos read per-venue depth from this fixed address.

VENUE_BYBIT

Bybit (CEX)

VENUE_COINBASE

Coinbase (CEX)

VENUE_CRYPTOCOM

Crypto.com (CEX)

VENUE_DEX

Generic DEX (aggregated across chains)

VENUE_DEX_ARB

DEX — Arbitrum (Uniswap V3, Camelot)

VENUE_DEX_BASE

DEX — Base (Uniswap V3, Aerodrome)

VENUE_DEX_ETH

DEX — Ethereum mainnet (Uniswap V2/V3, Curve, Balancer V2)

VENUE_DEX_OP

DEX — Optimism (Uniswap V3, Velodrome)

VENUE_DEX_POLY

DEX — Polygon (Uniswap V2, Balancer V2, Curve)

VENUE_DEX_SOL

DEX — Solana (Raydium, Orca, Jupiter aggregated)

VENUE_HYPERLIQUID

Hyperliquid (CEX — L1 with on-chain settlement, EIP-712 signing)

VENUE_KRAKEN

Kraken (CEX)

VENUE_OKX

OKX (CEX)

VENUE_UNKNOWN

Unknown venue (wire ID 10, maps to CC VenueId::Unknown)

Traits

Algo

Trading algorithm trait. All methods run on HOT PATH - avoid heap allocations.

AlgoV3

Extended algo trait with OnlineFeatures access.

MultiVenueAlgo

Multi-venue trading algorithm trait.

Functions

is_cex

Returns true if this venue is a CEX (centralized exchange).

is_dex

Returns true if this venue is a DEX (on-chain liquidity).

venue_name

Human-readable name for a venue ID.