HFT & Arbitrage Trading Glossary

This glossary explains the vocabulary of high-frequency arbitrage trading. It covers the strategy types (latency, hedge, triangular, statistical), the infrastructure (VPS, colocation, feeds, broker platforms), the execution metrics (fill rate, slippage, latency, drawdown), and the commercial vocabulary (prop firms, dealing desks, anti-detection plugins) you need to understand the rest of this site and the wider arbitrage industry.

Each term is a self-contained definition. Where useful, an entry includes a short example, a cross-reference to a related term, or a link to a deeper page on this site. Use the alphabetical jump-list below to find a term quickly.

A

Algorithmic trading

Trading executed automatically by a computer program based on pre-defined rules — entry conditions, exit conditions, position sizing, risk limits. The program reads market data, makes the decision, and sends the order without a human in the loop. Algorithmic trading is the broader category that contains HFT and all 套利 strategies as subsets.

Anti-detection filter

A software setting that disguises arbitrage activity from broker monitoring systems. Typical filters include randomized lot sizing (so trades do not all use identical 0.10 lots), enforced minimum holding times (to prevent the obvious “millisecond round-trip” pattern that brokers flag), and session diversification (spreading trades across hours rather than concentrating during a single news window). Anti-detection filters extend account survival on tolerant brokers from days to months but cannot bypass brokers that explicitly prohibit arbitrage.

Arbitrage

The simultaneous purchase and sale of the same or related assets to profit from a temporary price difference. In forex and CFD markets the price difference is usually tiny — fractions of a pip — and arises from latency between brokers, mispricing across instruments, or temporary order-book imbalances. Arbitrage requires speed, low transaction cost, and either a permissive broker or a multi-broker structure to capture the difference before it disappears.

B

回测引擎

A simulation tool that replays historical tick data through a strategy to estimate how the strategy would have performed in the past. A useful backtest engine for arbitrage uses millisecond-resolution data and incorporates broker-specific latency and execution behaviour, because arbitrage results are dominated by execution mechanics rather than directional prediction. Backtest results are a ceiling, not a guarantee — live results typically arrive at 70–90% of backtest fill rates on a correctly configured setup.

Bid-ask spread

The difference between the highest price a buyer will pay (bid) and the lowest price a seller will accept (ask) for an instrument at a given moment. The spread is the per-trade cost on every round-trip, so wider spreads compress arbitrage profitability disproportionately. ECN brokers offer raw spreads near zero plus a fixed commission; market makers offer wider spreads with no separate commission. For arbitrage, raw-spread + commission is almost always cheaper.

经纪人

The intermediary that gives a retail trader access to the forex or CFD market. Brokers are categorized by execution model: ECN brokers route orders to a network of liquidity providers; STP brokers pass orders straight through to a counterparty; market makers take the other side of client trades internally. The execution model determines whether arbitrage is viable — ECN and quality STP brokers permit it, market makers usually do not.

C

CFD (Contract for Difference)

A derivative contract that pays the difference between the entry and exit price of an underlying asset, without the trader actually owning the asset. Most retail forex, gold, indices, and crypto trading is in fact CFD trading. Arbitrage strategies described on this site work on CFD instruments because that is what retail brokers offer, even though the mechanics are identical to spot forex.

主机托管

The practice of placing your trading server (VPS) in the same physical datacenter as the broker’s matching engine. Colocation reduces network round-trip time from tens or hundreds of milliseconds down to fractions of a millisecond. For 延迟套利 this is not optional — without colocation the strategy does not work. The four datacenters that matter for forex/CFD are LD4 (London), 纽约4 (New York), TY3 (Tokyo), and FR5 (Frankfurt).

CQG

An institutional-grade market-data and order-routing provider widely used for futures and spot forex price feeds. CQG is one of the reference feeds the platform supports for 延迟套利 signal generation. CQG’s data is faster and more accurate than consumer aggregators, which is why it costs $50–$200/month rather than being free.

cTrader

A retail trading platform developed by Spotware, used by ECN-style forex brokers. cTrader has a more transparent order-book view than MT4/MT5 and supports algorithmic trading via cBots. The platform connects to cTrader brokers through cTrader Open API and supports cTrader Raw price feeds as a reference source.

D

Dealing desk

A team or automated system at a market maker broker that decides whether to fill, requote, slip, or reject incoming client orders. A dealing desk is the opposite of straight-through execution — instead of routing your order to the market, the broker takes the other side and uses its desk to manage the resulting risk. Dealing desks are the principal reason arbitrage strategies fail on market-maker brokers: the desk recognizes arbitrage activity and filters it.

Drawdown

The peak-to-trough decline in account equity, expressed as a percentage. Maximum drawdown is the worst single decline experienced; daily drawdown is the loss within one calendar day. Prop firms enforce both: typical rules cap daily drawdown at 4–5% and total drawdown at 8–10%. The platform’s risk dashboard enforces these limits automatically when configured.

DXTrade

A multi-asset trading platform developed by Devexperts, used by an increasing number of forex/CFD brokers and prop firms (notably some FundedNext and TopstepFX accounts). DXTrade supports algorithmic execution through its WebSocket API, which the platform connects to via a dedicated module.

E

ECN (Electronic Communication Network)

An execution model where the broker routes client orders into a network of liquidity providers — banks, hedge funds, other brokers — and lets them compete to fill the order at the best available price. ECN brokers do not take the other side of client trades; they earn a fixed commission per round-trip plus the raw spread the liquidity provider posts. ECN execution is the most arbitrage-friendly broker type, with fill rates typically 95–99% on a correctly configured setup.

Equinix

The colocation provider that operates the four datacenters where most forex and CFD brokers host their matching engines: LD4 (London), NY4 (New York), TY3 (Tokyo), FR5 (Frankfurt). When this site refers to “VPS in LD4” it means a server physically inside Equinix’s London Slough facility, with sub-millisecond network paths to brokers also colocated there.

Execution latency

The total time between the platform deciding to place an order and the broker confirming the fill. Execution latency is the sum of order-send latency (VPS to broker), broker processing time (matching, risk checks, dealing-desk intervention), and acknowledgement latency (broker back to VPS). Healthy round-trip execution latency on an ECN broker with colocated VPS is 5–30 ms; anything above 50 ms degrades arbitrage profitability.

Expert Advisor (EA)

An automated trading program written for MetaTrader 4 or MetaTrader 5. EAs run inside the platform, read price data, and place orders without manual intervention. The HFT Arbitrage Platform connects to MT4 and MT5 through dedicated EA modules rather than running as a free-standing terminal — this allows it to use the broker’s own MT4/MT5 connection rather than relying on third-party APIs.

F

Feed (data feed)

The source of real-time price data the strategy compares against the broker’s quote stream to detect arbitrage opportunities. A useful reference feed must be faster and more accurate than the broker’s feed; otherwise there is no exploitable difference. Institutional feeds — Rithmic, CQG, Integral, LMAX — cost $50–$300/month. Consumer aggregator feeds are usually too slow or derived to produce viable signals.

填充率

The percentage of orders submitted by the platform that the broker fills at the expected price. Fill rate is the single most important execution metric for arbitrage, because a strategy with great signals but a 50% fill rate produces worse results than a mediocre strategy with a 98% fill rate. Fill rate above 90% indicates a healthy broker setup; below 70% indicates either a market-maker dealing desk, a non-colocated VPS, or an anti-arbitrage plugin on the broker side.

API FIX

The Financial Information eXchange protocol — the industry-standard messaging format for exchanging trade information between brokers, exchanges, and trading systems. FIX API gives direct, low-latency access to a broker’s order book without going through a retail trading platform. Brokers offering FIX API are usually the most arbitrage-friendly because FIX is built for institutional speed; the trade-off is higher minimum capital ($10K–$50K) and a more technical setup.

Forex (FX)

Foreign exchange — the global market for trading one currency against another. Major pairs (EURUSD, USDJPY, GBPUSD, USDCHF) trade with the tightest spreads and highest liquidity, which is why most retail arbitrage strategies focus there. Cross pairs and exotic pairs have wider spreads, less liquidity, and frequently produce arbitrage signals that the broker can fade against — a trap to be aware of.

FTMO

One of the largest and most established prop trading firms, headquartered in Prague. FTMO offers funded accounts up to $400K based on a two-step evaluation. FTMO’s terms explicitly prohibit one-leg latency arbitrage but permit hedge arbitrage and 2-legs latency variant 3 if used responsibly within drawdown limits. FTMO is the reference standard most other prop firms benchmark against.

FxBlue

An independent third-party trade-tracking and verification service used by traders and software vendors to publish auditable performance data. FxBlue connects directly to the broker account, reads the trade log, and publishes equity curve, drawdown, win rate, and trade-by-trade history publicly. Vendors that publish FxBlue links rather than PNG screenshots are providing verifiable data — this is a meaningful differentiator versus vendors that only show edited images.

G

Gold arbitrage

Arbitrage strategies executed on gold (XAUUSD) instead of currency pairs. Gold often produces wider arbitrage windows than majors because liquidity is fragmented across futures (COMEX), spot OTC, and the various retail CFD brokers, which means broker quotes can lag the reference market by tens of milliseconds. The trade-off is wider spreads — typical retail XAUUSD spread is 20–40 cents versus ~0.1 pip on EURUSD — so the captured difference must exceed both spread and commission to be profitable.

H

對沖套利-為了讓這個策略發揮作用

An arbitrage strategy that opens opposing positions on two different brokers simultaneously to lock in a small price difference between them. Because the position is hedged across brokers, the trader has no net market exposure — the profit comes from the price discrepancy rather than from market direction. Hedge arbitrage is the most flexible strategy: it works on a wider range of brokers than latency arbitrage, is permitted by most prop firms, and has the highest fill rates (90–99%). The trade-off is that it requires capital on both sides of the trade.

HFT (High-Frequency Trading)

A category of algorithmic trading characterized by very short holding times (milliseconds to seconds), high trade frequency (hundreds to thousands of orders per day), and tight execution latency requirements. HFT is the umbrella that contains 延迟套利, statistical arbitrage, market-making, and short-window news trading strategies. HFT in retail forex is technically possible but execution-limited — the achievable speed on any retail broker is orders of magnitude slower than what institutional HFT desks operate at.

持有时间

The duration between opening and closing a position. Pure latency arbitrage holds positions for milliseconds to a few seconds; hedge arbitrage holds for seconds to minutes; triangular arbitrage typically holds milliseconds. Brokers monitor average holding time as one of the cheapest signals for identifying arbitrage activity — accounts with consistent sub-second holding times are flagged for review. The platform’s anti-detection filter can enforce a minimum holding time to make the activity less obvious.

I

Integral OCX

Integral is a multi-bank FX liquidity provider that operates the OCX (Open Currency Exchange) — an institutional ECN aggregating prices from major banks. Integral OCX feed is one of the supported reference feeds for the platform’s latency-arbitrage strategies. The feed is used by tier-1 banks and large brokers, so it is faster than what most retail aggregators offer.

L

延遲

The time delay between cause and effect in a trading system: between a market price changing and the trader seeing it (feed latency), between the trader sending an order and the broker receiving it (network latency), between the broker accepting and confirming an order (execution latency). All three matter for arbitrage. Total latency is the sum, and total latency above ~30 ms eliminates most latency-arbitrage opportunities.

延遲套利

An arbitrage strategy that exploits the time delay between a fast reference price feed and a slower broker quote. When the reference price moves up, the strategy buys at the broker’s stale (lower) price before the broker’s quote catches up; when the reference moves down, it sells before the broker updates. Latency arbitrage requires (a) a faster feed than the broker’s, (b) a colocated VPS, and (c) a broker with execution that doesn’t filter the strategy. The platform supports one-leg, 2-legs (variants 1, 2, 3), and 3-legs variants — see 延迟套利软件.

LD4

Equinix’s London Slough datacenter, the primary forex/CFD trading hub in Europe. Most ECN brokers serving European clients colocate their matching engines in LD4. A VPS physically inside LD4 has sub-1 ms network latency to those brokers, which is the precondition for latency arbitrage. “VPS in LD4” specifically means the LD4 facility, not “a VPS somewhere in London.”

杠杆作用

The ratio of position size to account capital. Leverage of 1:100 means $1,000 of equity controls $100,000 of position. Leverage amplifies both profit and loss equally; arbitrage strategies typically use modest leverage (1:30–1:100) because the per-trade target is small and over-leveraging makes drawdown unsurvivable when fills slip. Prop firms cap leverage explicitly; retail accounts in regulated jurisdictions (EU, UK, Australia) have leverage capped by regulators at 1:30.

LMAX

LMAX Exchange is a London-based MTF (Multilateral Trading Facility) offering institutional FX, metals, and indices liquidity. LMAX runs an order-book model rather than dealing-desk, with last-look-free execution. The LMAX feed is one of the supported reference sources for the platform’s latency strategies and is widely regarded as the cleanest retail-accessible institutional feed.

Lock arbitrage

Another name for 对冲套利 — the strategy of opening locked opposing positions on two brokers to capture price differences between them. Some traders distinguish “lock” (positions held until both brokers’ prices converge) from “hedge” (positions managed dynamically), but the terms are usually interchangeable.

M

Market maker

A broker execution model where the broker takes the opposite side of every client trade internally rather than routing to an external market. The broker profits from the bid-ask spread plus client losses; conversely the broker loses on client wins. Market makers manage their net exposure with a dealing desk, which makes them hostile to arbitrage activity. Most “zero commission” retail brokers are market makers.

MatchTrader

A trading platform developed by Match-Trade Technologies, gaining adoption among newer forex and CFD brokers and many prop firms. MatchTrader supports algorithmic execution through a dedicated API, which the HFT Arbitrage Platform connects to as one of its supported broker platforms.

MT4 (MetaTrader 4)

The most widely used retail forex trading platform globally, developed by MetaQuotes and released in 2005. MT4 is showing its age (legacy architecture, single-thread limitations) but remains dominant because of trader familiarity and the enormous library of EAs and indicators. The platform connects to MT4 through an Expert Advisor module, which uses the broker’s own MT4 connection for order routing.

MT5 (MetaTrader 5)

The successor to MT4, also from MetaQuotes, released in 2010. MT5 supports more instrument types (futures, equities, options), better backtesting, and a more modern architecture, but adoption has been slow because EA libraries are smaller and traders are reluctant to migrate. The platform supports MT5 as a separate module — code from MT4 EAs is not directly compatible.

N

News trading

A category of strategies that profit from price moves around scheduled economic news releases (NFP, FOMC, ECB, CPI). News-trading software either pre-positions before the release based on consensus expectations or reacts in the first milliseconds after the data hits the wire. Pure news arbitrage is a subset of latency arbitrage applied specifically to news windows — and is the broker activity most aggressively monitored, because news windows are when broker spread widening produces the largest arbitrage opportunities.

NinjaTrader

A trading platform popular in the US futures and CFD markets, developed by NinjaTrader Group. NinjaTrader supports automated strategies through its NinjaScript language and connects to brokers including NinjaTrader Brokerage, Continuum, and various futures-focused providers. The platform supports NinjaTrader as a connection target alongside MT4/MT5/cTrader/DXTrade/MatchTrader/FIX.

纽约4

Equinix’s New York datacenter (Secaucus, NJ), the primary trading hub for North American FX and futures. Most US-facing forex brokers and many international ECNs colocate their matching engines in NY4. “VPS in NY4” specifically means a server inside the Equinix NY4 building, with sub-1 ms paths to brokers also colocated there. NY4 is the right datacenter for any strategy targeting US sessions or US-domiciled brokers.

O

单腿延迟套利

The simplest latency-arbitrage strategy: a single position is opened on one broker when the reference feed shows a price difference versus the broker’s quote, and closed when the broker’s quote catches up. “One leg” because there is only one trade, not two simultaneous trades on different brokers. One-leg is the highest-edge strategy where it is permitted but is also the most aggressively detected — most prop firms ban it, and many retail brokers restrict it after a few weeks. See the 单腿版.

Order book

The list of all current buy and sell orders at each price level for an instrument. An ECN broker exposes the aggregated order book; a market maker shows only its internal best bid and ask. Order-book depth determines how much volume can be filled at a given price before slippage occurs, which is why high-volume arbitrage requires deep liquidity and why retail-grade brokers are not suitable for institutional-size flows.

P

Pip

The standard unit of price movement for most currency pairs — the fourth decimal place (0.0001) for pairs quoted in dollars-per-currency, the second decimal (0.01) for JPY pairs. A “pipette” is one tenth of a pip (the fifth decimal). Arbitrage profits per trade are usually measured in pipettes (0.1–0.5 pip captured, before spread and commission), which is why per-trade size and trade frequency both matter so much.

利润因子

The ratio of gross profit to gross loss across a set of closed trades. A profit factor of 2.0 means two dollars earned for every dollar lost. Healthy arbitrage strategies typically run profit factors between 1.5 and 3.0; profit factors above 5.0 in published numbers usually indicate either cherry-picking or back-fitted parameters. The platform reports running profit factor in the risk dashboard.

Prop firm (proprietary trading firm)

A company that funds traders to trade the firm’s capital, sharing profits typically 70/30 or 80/20 in the trader’s favour after a paid evaluation phase. Major prop firms include FTMO, FundedNext, The5ers, and MyForexFunds. Prop firms enforce strict rules — daily drawdown caps, maximum drawdown caps, profit targets, lot-size restrictions, and explicit prohibitions on certain strategies including most one-leg latency arbitrage. See the 交易公司套利 当前兼容性矩阵页面。.

Q

Quote

A pair of bid and ask prices broadcast by a broker for a given instrument at a given moment. Quotes are updated continuously — a healthy retail broker pushes 5–50 quote updates per second on a major pair. Latency arbitrage works precisely when broker quote updates lag the reference price; the platform measures quote-update frequency as one of the diagnostics in the live dashboard.

R

Requote

A broker response in which an order is rejected and a new (worse) price is offered, requiring the trader to accept or cancel. Requotes are common on market-maker brokers during volatile moments and on any broker when a dealing desk decides not to fill at the requested price. A requote rate above 5% indicates either a hostile broker or an undersized account; healthy arbitrage setups see requote rates below 2%.

Rithmic

An institutional market-data and order-routing provider, especially dominant in US futures (CME, CBOT, NYMEX). Rithmic data is among the fastest retail-accessible feeds for those markets and is one of the supported reference feeds for the platform’s latency-arbitrage strategies. Rithmic is paid (~$50–$200/month depending on the venues subscribed) but provides clean, unfiltered data that consumer aggregators cannot match.

Round-trip latency

The total time for an order to leave the trading server, reach the broker, be processed and confirmed, and the confirmation to return — measured in milliseconds. Round-trip latency below 5 ms is excellent (colocated VPS + ECN broker + FIX API); 5–30 ms is healthy retail; above 50 ms eliminates most latency-arbitrage opportunities. Round-trip latency is the single number that should be monitored constantly when running arbitrage.

S

Session filter

A platform setting that pauses trading during specific hours or events — typically high-impact news releases (NFP, FOMC, CPI), Sunday open, daily roll-over windows, and market close. Session filters serve two purposes: (1) avoiding unstable execution during widening spreads, and (2) anti-detection — concentrating trades during news windows is a strong broker signal for arbitrage activity, so spreading trades across sessions improves account survival.

滑动

The difference between the price at which an order was sent and the price at which it filled. Positive slippage (filled at a better price) is rare in retail; negative slippage is common and is the second most important execution metric after fill rate. Average slippage of 0–0.3 pips is healthy on a quality ECN broker; 1+ pips of slippage indicates either market-maker dealing-desk intervention or insufficient liquidity at the requested size.

Spread

看 bid-ask spread.

统计套利

A category of arbitrage that exploits statistical relationships between instruments rather than direct price differences — for example, mean reversion of correlated pairs, lead-lag relationships, or co-integrated baskets. Statistical arbitrage is a broader and more model-driven approach than latency arbitrage; it operates at lower frequency (seconds to minutes), is more robust to broker policies, and is what most institutional quant funds run. The HFT Arbitrage Platform focuses on direct-price arbitrage (latency, hedge, triangular) rather than stat-arb, which is a different software category.

STP (Straight-Through Processing)

A broker execution model in which client orders are passed directly to a counterparty (a liquidity provider, another broker, or an exchange) without a dealing desk taking the other side. STP brokers profit from a small markup on the spread plus commission. Pure STP brokers are more arbitrage-friendly than market makers but less than ECNs; many retail brokers advertised as “STP” are in fact hybrid (STP for some volumes, market-making for others).

T

Tick

A single price update — one new bid-ask pair from the broker or feed. A “tick” can be a tiny fractional move or no price move at all (only a timestamp update); the term refers to the data event, not the price magnitude. Ticks are the raw input to arbitrage strategies; tick-by-tick processing requires the platform to handle thousands of events per second per instrument.

Tick data

Historical record of every tick that occurred for an instrument over a given period, used for backtesting at full resolution. Tick data is the most accurate form of market history but also the largest in storage terms (gigabytes per instrument per year). Useful arbitrage backtests require tick data with millisecond timestamps, not the lower-resolution OHLC bars most retail platforms ship by default.

三角套利

An arbitrage strategy that exploits price discrepancies across three currency pairs that share a common base — for example, EURUSD, EURGBP, and GBPUSD. When the cross-rate implied by two pairs differs from the directly quoted third pair, the strategy executes all three legs simultaneously to capture the spread and return to a flat position. Triangular arbitrage requires tight spreads on all three legs and high execution speed; it works best on ECN accounts with deep liquidity.

TY3

Equinix’s Tokyo datacenter, the primary trading hub for Asian-session FX and CFD execution. Brokers serving Asian clients colocate their matching engines in TY3. A VPS in TY3 has sub-1 ms paths to those brokers, which is required for latency arbitrage during Asian session hours. The other major Asia-Pacific datacenter is HK1 (Hong Kong), used by a smaller subset of brokers.

V

Variant (2-legs strategy)

Within the platform’s 2-legs latency arbitrage category, three implementation variants exist. Variant 1 is the classical formulation (open both legs simultaneously when divergence exceeds a threshold). Variant 2 reduces detection signature by introducing a short delay between leg openings. Variant 3 adds randomized timing and is the variant most compatible with prop firm rules. Each variant produces different fill rates, holding-time profiles, and account-survival characteristics; 所有套利组合 includes all three.

VPS (Virtual Private Server)

A remote server, typically rented from a hosting provider, that runs the trading software 24/5 without requiring the trader’s own computer to be online. For arbitrage, the VPS must be located in the same datacenter as the broker (see colocation), have at least 2 GB RAM, and a stable network path. A consumer-grade VPS at a generic data center adds tens of milliseconds of latency, which is enough to make latency arbitrage non-viable.

Continue learning

This glossary is the reference layer. To understand how these terms fit together in a working setup:

• 延迟套利软件 — deep-dive on the strategy category
• Prop firm arbitrage — what works on FTMO, FundedNext, The5ers, MyForexFunds
• How HFT Arbitrage Platform performs — fill rates, slippage, FxBlue verified accounts
• Compare editions and pricing — which strategies ship in which edition
• 设置指南 — 7 steps from license to live
• Full product FAQ — 19 questions across all topics