Latency down ~60% on @bitfinex order roundtrip after the upgrade. And we did not even enable all optimizations.
Latency will be stable even across spikes. 4/5ms now. 1.5/2ms by end of year.
Writing a short paper about changes we made.
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Replying to @paoloardoino @bitfinex
hey, i've been integrating an app with different exchanges; and figured out why your limit+stop oco order implementation has a strange behavior. for sell-side orders, it locks 2x of the base asset amount out of the balance; and for buy-side...
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... orders, it locks amount*limitPrice + amount*stopPrice from the quote asset balance. even though there are two orders, they shouldn't however have been inserted as scaled orders; if you guarantee that the other will be cancelled...
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... whenever one executes, you can just lock that amount instead. - for sell-side orders, lock 1x of the amount in base asset. - for buy-side orders: lock amount*stopPrice (which must be higher than the limitPrice) in quote asset.
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That is something we discussed indeed. We wanted to be on the same side for this upgrade but ideally we can take just the biggest of the two exposures and use that.
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