Expand description
§Sequence Algo SDK — Ultra Low Latency Trading
Write HFT algorithms in Rust, compile to WASM, deploy to Sequence.
§Execution Models
- Single-venue (
Algo) — one exchange, one book, tick-by-tick with OnlineFeatures - V5 Strategy/Executor (
Strategy/Executor) — sharded multi-venue with execution plan intents. The recommended path for cross-venue strategies.
§Modules
| Module | Contents |
|---|---|
book | Level, L2Book — order book depth |
state | AlgoState, OpenOrder, SymbolMeta, RiskSnapshot |
events | Fill, Reject, FillExt |
actions | Actions buffer, Action, order types |
venue | Venue IDs, NbboSnapshot, VenueBooks |
pool | PoolBooks, PoolMeta, PoolAmm, PoolStateTable |
features | OnlineFeatures, ChainFeeTable |
[builders] | Fluent builders for V5 execution plans |
units | Type-safe Px/Qty newtypes |
config | ConfigRegion for runtime parameter tuning |
testing | Test harness for native strategy development |
amm_math | Pure AMM/CLMM pricing math |
Re-exports§
pub use book::Level;pub use book::L2Book;pub use state::AlgoState;pub use state::OpenOrder;pub use state::PnlSnapshot;pub use state::RiskSnapshot;pub use state::SymbolMeta;pub use state::Status;pub use state::MAX_ORDERS;pub use events::Fill;pub use events::FillExt;pub use events::Reject;pub use events::RejectCode;pub use actions::Action;pub use actions::Actions;pub use actions::WasmActions;pub use actions::OrderType;pub use actions::MAX_ACTIONS;pub use actions::ACTION_NEW;pub use actions::ACTION_CANCEL;pub use actions::ACTION_AMEND;pub use venue::NbboSnapshot;pub use venue::VenueBooks;pub use venue::MAX_VENUES;pub use venue::VENUE_BOOKS_WASM_OFFSET;pub use venue::VENUE_KRAKEN;pub use venue::VENUE_COINBASE;pub use venue::VENUE_BINANCE;pub use venue::VENUE_BITGET;pub use venue::VENUE_CRYPTOCOM;pub use venue::VENUE_BITMART;pub use venue::VENUE_DEX;pub use venue::VENUE_OKX;pub use venue::VENUE_BYBIT;pub use venue::VENUE_UNKNOWN;pub use venue::VENUE_DEX_ETH;pub use venue::VENUE_DEX_ARB;pub use venue::VENUE_DEX_BASE;pub use venue::VENUE_DEX_OP;pub use venue::VENUE_DEX_POLY;pub use venue::VENUE_DEX_SOL;pub use venue::VENUE_HYPERLIQUID;pub use venue::is_dex;pub use venue::is_cex;pub use venue::venue_name;pub use pool::PoolMeta;pub use pool::PoolBooks;pub use pool::PoolAmm;pub use pool::PoolStateTable;pub use pool::pool_type;pub use pool::MAX_POOLS;pub use pool::MAX_POOL_STATES;pub use pool::POOL_BOOKS_WASM_OFFSET;pub use pool::POOL_STATE_TABLE_WASM_OFFSET;pub use features::OnlineFeatures;pub use features::ChainFee;pub use features::ChainFeeTable;pub use features::chain_id;pub use features::venue_chain_id;pub use features::ONLINE_FEATURES_WASM_OFFSET;pub use features::CHAIN_FEE_TABLE_WASM_OFFSET;pub use features::MAX_CHAINS;pub use traits::Algo;pub use messaging::send;pub use messaging::MAX_MESSAGE_SIZE;pub use actions::ACTION_INTENT;pub use actions::IntentPolicy;pub use log::LogLevel;pub use config::ConfigRegion;pub use config::CONFIG_REGION_WASM_OFFSET;pub use config::MAX_CONFIG_PARAMS;
Modules§
- actions
- Order actions buffer — place, cancel, amend orders.
- amm_
math - Pure AMM/CLMM pricing math for algo strategies.
- book
- Order book types — L2 depth, price levels.
- config
- Runtime parameter configuration via shared WASM memory. Runtime parameter configuration — live-tunable strategy parameters.
- events
- Execution events — fills, rejects, extended metadata.
- features
- Online microstructure features and chain fee data.
- log
- HFT-safe async logging — non-blocking, ~100ns per call.
- messaging
- Mesh algo messaging — send/receive between algo instances by label.
- pool
- DEX pool books, AMM state, and pool metadata.
- state
- Position state, orders, risk limits, symbol metadata.
- testing
- Test harness for native strategy development (non-WASM only). Testing harness for native strategy development.
- time
- Simple timing helpers for client-controlled latency measurement.
- traits
- Trading algorithm traits.
- units
- Type-safe fixed-point price and quantity newtypes. Type-safe fixed-point units — prevents mixing prices and quantities.
- venue
- Venue identification, NBBO snapshots, and per-venue order books.
Macros§
- export_
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.
- sequence_
algo_ entry - Set up WASM entry boilerplate: panic handler + bump allocator.