FastMM 0.6.0

Connectors for Hyperliquid and Lighter, both signing natively. The store and fastmm-top show why
an order went out or did not, and parameter changes are confirmed and kept as history.

Highlights:

• hyperliquid connector, main and HIP-3 dexes (Added, venues)
• lighter connector for Lighter perpetuals (Added, venues)
• fastmm-top shows per side what is asked, what works and the first obstacle (Added, live)
• every refused order is stored with the limit that refused it (Added, store)
• fastmm-ctl param --wait, with parameter history in the store (Added, live, store)

Added

• venues: hyperliquid connector for perpetuals, main and builder-deployed (HIP-3) dexes.
• venues: Hyperliquid order signing with libsecp256k1 0.6.0, pinned and built in-tree.
• configs: hyperliquid.toml, BasicMM on the Hyperliquid BTC perpetual.
• venues: lighter connector for Lighter (zkLighter) perpetuals.
• venues: Lighter transaction signing, native and checked against the official Go signer.
• configs: lighter.toml, BasicMM on the Lighter NVDA perpetual.
• tools: tools/lighter_api_key.py registers a Lighter API key.
• live: fastmm-top shows the session's threads from /proc: CPU, core, context switches, faults.
• data: fastmm-data analyze <live.fmj> [--json] marks a live session's fills against its mids.
• replay: fastmm-replay --check [--json] lists what a replay needs, without replaying.
• store: fastmm-pnl ledger gives one row per execution across sessions, with its flags.
• store: fastmm-pnl order --order <id> shows one order's sends, refusals, fills and state.
• live: fastmm-top shows per side what is asked, what works and the first obstacle (v21).
• api: ctx.note_quote and ctx.metric publish the strategy's reasons and numbers live.
• store: refused orders with the limit that refused them and the budget then (schema 9).
• live: the status shows each account's order windows, refusals by limit and the risk bucket.
• store: parameter history (schema 8): fastmm-pnl params --at, param-changes, param-diff.
• store: fastmm-pnl config prints the configuration a session ran with, for a backtest of it.
• live: fastmm-ctl param answers queued seq=N; --wait waits for it; params reads them back.
• live: param --source names who changed a parameter, in the journal and the status file (v19).
• live: fastmm-live logs a topology check at start: hot threads sharing a core, and adaptive spin.
• python: fastmm init --profile production adds production.toml, tuned for a dedicated host.
• python: fastmm sim runs the simulated exchange; fastmm init writes sim.toml to trade it.

Changed

• live: the network thread sends queued orders between one socket's event and the next.
• venues: a pool's accounts take their IP's shared weight without a kernel wait on each order.

Fixed

• store: refusals of a pool's accounts in turn were counted under the first account's record.
• core: a pool order refused for a full or paused account takes no [risk] token.

Documentation

• docs: the economics page, the tutorials and the fastmm init README give the numbers alone.
• docs: the README and Install name Linux x86-64 and run the quick start in Docker elsewhere.
• docs: Run on testnet has Hyperliquid and Lighter sections.
• docs: the README and the home page open on a two-minute film; the home page lists all three.

Install

pip install "fastmm-engine[live]==0.6.0"
docker pull ghcr.io/ziyangliu-666/fastmm:0.6.0

The Linux tarball below runs on glibc 2.28 or newer. Install guide, Deploy.

Full Changelog: v0.5.1...v0.6.0

FastMM 0.5.1

Fixed

• init: the generated README runs pip and python from the active environment.
• venues: a warm standby started early in a rate-limit minute has its books before the handoff.

Install

pip install "fastmm-engine[live]==0.5.1"
docker pull ghcr.io/ziyangliu-666/fastmm:0.5.1

The Linux tarball below runs on glibc 2.28 or newer. Install guide, Deploy.

Full Changelog: v0.5.0...v0.5.1

FastMM 0.5.0

fastmm-live --dry-run quotes on paper, the release tarball runs on any Linux with glibc 2.28 or
newer, and fastmm init writes a live config next to the backtest. Python 3.9 is no longer supported.

Breaking changes

• python: fastmm-engine requires Python 3.10 or newer; no cp39 wheels are built.
• live: a dry run runs as engine <name>-dryrun, with its own status file, socket and journal.
• live: --dry-run with --standby or --takeover exits with status 2.

Added

• live: --dry-run quotes on paper: orders are acknowledged locally and never sent.
• live: a dry run logs what it would have sent per instrument every 5 s.
• init: fastmm init also writes live.toml (BTCUSDT on Binance Spot Demo Mode).
• init: the starter backtest.py takes --config and --data to replay a recorded journal.
• backtest: a kill-switch stop reports kill_reason and kill_at_s in the summary and stats().
• hot: the @fastmm.hot check names each allocation and its line.
• logging: [logging] status_interval_s sets how often the per-venue status line is printed.

Changed

• packaging: the tarball is built in manylinux_2_28 with OpenSSL and libstdc++ linked statically.
• packaging: the tarball is tested on Ubuntu 22.04/24.04, Debian 12, Rocky 9 and Amazon Linux 2023.
• packaging: the tarball ships fastmm-sim-exchange and its configs; its README starts with it.
• live: a dry run leaves the keyed session's store, kill ledger, state file and instance lock alone.
• live: a planned stop logs stopping: pulling quotes and cancelling all at INFO.
• logging: the status line is printed every 10 s on stderr; a log file still gets it every second.
• init: the starter quotes 0.0001 BTC per side; its default backtest stays under [risk] max_loss.
• examples: examples/quickstart fetches the release tag, not main.

Fixed

• logging: [logging] file opens the log file.
• logging: log files are flushed after each burst.
• build: scripts/bootstrap.sh honours $CXX and finds g++-13, clang++-16 and later.
• python: BacktestConfig.from_toml accepts unset ${VAR} in [venues.*].

Documentation

• docs: the quick start creates a virtual environment first (PEP 668).
• docs: Register a strategy installs FastMM as an SDK build without tests, benchmarks and examples.

Install

pip install "fastmm-engine[live]==0.5.0"
docker pull ghcr.io/ziyangliu-666/fastmm:0.5.0

The Linux tarball below runs on glibc 2.28 or newer. Install guide, Deploy.

Full Changelog: v0.4.0...v0.5.0

FastMM 0.4.0

Account pools put several accounts of one exchange behind one venue, with a shared rate limiter, a
treasury and a hot handoff between processes. The release also adds the Gate USDT perpetual
connector, a fill audit against the venue's trade history and more realistic simulator fills.

Highlights:

• Account pools: up to 8 accounts of one exchange behind one venue (Added, venues)
• fastmm-live --takeover and --standby hand a running session to a new process (Added, live)
• A pool treasury keeps an asset spread over the accounts by internal transfer (Added, live)
• Gate USDT perpetual futures connector (Added, gate)
• Fill audit against the venue's trade history, live and in fastmm-pnl (Added, live)
• Simulated fills take the print's quantity, not the whole order (Breaking changes, sim)

Breaking changes

• sim: a trade through a resting order fills the print's quantity, not the whole order.
• sim: one print is shared across our orders in price priority; backtest fills and hashes change.
• venues: RateLimiter::weight_bucket and order_bucket return std::optional<RateBucket>.
• live: the status file is at version 18 (fill audit and treasury counters).
• binance_usdm: an account in hedge mode exits with status 3.

Added

• venues: pool_of = "<primary>" pools up to 8 accounts of one exchange behind one venue.
• venues: a pooled order goes to the account with room and the most order window left.
• venues: Venue::transfer moves an asset between the accounts of one exchange.
• venues: BalanceMsg::withdrawable caps a treasury move; USDⓈ-M reports maxWithdrawAmount.
• venues: source_ip / source_interface bind every connection of a venue to a local address.
• venues: public_only = true makes a venue market-data only, with no keys and nothing sent.
• engine: .account(venue) on a quote level names the pool account its order goes from.
• engine: ctx.pool() and ctx.account_usable() describe a venue's pool to the strategy.
• engine: ctx.balance(), ctx.order_budget() and balance_room() are per account.
• engine: on_batch_end(ctx), requested by ctx.request_batch_end(), runs once after a burst.
• engine: a quote short of a [risk] orders_per_sec token is held and placed as the bucket refills.
• engine: [engine] quote_token_reserve keeps order tokens for other orders.
• engine: [engine] feed_budget_per_ring sets how many events a ring yields before the next one.
• engine: [engine] net_spin_dedicated lets network threads on dedicated cores busy-poll.
• engine: [engine] rt_priority and net_rt_priority run the threads under SCHED_FIFO.
• engine: [engine] cpu_dma_latency_us holds a CPU latency request for the session.
• engine: [engine] log_irq_affinity logs NIC queue interrupt placement at start.
• live: --takeover, --standby, fastmm-ctl handoff and [engine] instance_lock: hot handoff.
• live: a warm standby on Binance Spot runs market data and its strategy while the old one trades.
• live: [venues.<primary>.treasury] keeps an asset spread over a pool's accounts by transfers.
• live: a treasury has transfer limits, a crash-safe ledger and metrics.
• live: fill_audit_interval_s audits the stored fills against the venue's trade history.
• binance: Spot and USDⓈ-M transfer between sub-accounts with a separate transfer-only master key.
• binance: the fill audit runs on Spot and USDⓈ-M and can book the fills it finds missing.
• binance: order_rate_threshold (default 0.9) caps the share of the 10 s and daily order limits.
• binance_usdm: md_ticker_conns opens extra bookTicker connections; first copy of an update wins.
• binance_usdm: one_way_mode = true and leverage = <n> set the account up at start.
• gate: Gate USDT perpetual futures connector (kind = "gate_usdt") with a dead man's switch.
• pnl: fastmm-pnl audit --exchange <file> exits 5 when stored fills differ from exported trades.
• journal: sessions record restored strategy state and snapshots (state_snapshot_interval_s).
• journal: fastmm-replay replays restored sessions exactly.
• backtest: the treasury runs on simulated time ([backtest] transfer_latency_ms, transfers.csv).
• backtest: initial_state = "journal" and params_from_journal = true start from a live session.
• backtest: journal:x.fmj reads all parts of a session split by journal_max_bytes as one stream.
• backtest: journal:…,remap=1 maps a recording's instruments to the configuration's by symbol.
• backtest: order_service_us models per-connection order processing; latency_cancel_us cancels.
• backtest: [backtest] orders_10s / orders_1d simulate Binance's order-count limits.
• data: fastmm-data calibrate fits cancel latency, order service time and jitter from journals.
• data: fastmm-data calibrate --from-live-state compares runs started from live state.
• data: fastmm-data fill-check breaks down the fills l2_queue misses by markout, queue, print.
• sim: SimExchangeServer::accepted_client_order_ids().
• tools: scripts/host-setup.sh cstates limits idle states per CPU.
• tools: scripts/host-setup.sh irq-affinity spreads NIC queue interrupts.

Changed

• engine: a strategy can declare up to 128 parameters (was 64); the journal layout is unchanged.
• binance: the periodic execution replay queries only symbols with recent order activity.
• binance_usdm: a hedge-mode error names the setting and one_way_mode.
• binance_usdm: mixed settlement currencies without [accounting] print the lines to add.
• gate: a base coin label longer than the instrument field is shortened with a warning.

Fixed

• binance: a signed REST request queued behind an execution sweep no longer fails with -1021.
• binance: pooled accounts share one request-weight window per IP.
• venues: a pooled account whose order window is full gets no automatic orders.
• venues: quotes on one pooled account are no longer sized to another's room.
• engine: a fill arriving after its order was cancelled marks it Filled and updates the store.
• sim: fees are charged on the contract's notional including its multiplier.
• journal: a journal with more parameters than the reader supports opens.
• journal: every journal refusal says which check failed.
• backtest: --data "a;b" no longer corrupts memory on depth snapshots deeper than 256 levels.

Documentation

• docs: the README is rewritten around the engine's features.
• docs: How fast it is, a new page, shows the latency and load of a production session.

Install

pip install "fastmm-engine[live]==0.4.0"
docker pull ghcr.io/ziyangliu-666/fastmm:0.4.0

The Linux tarball below runs on glibc 2.28 or newer. Install guide, Deploy.

Full Changelog: v0.3.0...v0.4.0

FastMM 0.3.0

This release adds OKX and Coinbase connectors, cross-venue hedging with HedgeExecutor and the
xmm strategy, balances, margin and perpetual mark and funding for strategies, and exact fill
recovery after a restart. Unknown configuration keys are now errors.

Highlights:

• OKX perpetual swaps and both Coinbase APIs (Added, okx and coinbase)
• HedgeExecutor and the xmm strategy: quote on one venue, hedge on another (Added, strategies)
• Balances, margin and perpetual mark, index and funding reach every strategy (Added, engine)
• Strategy state persists across sessions (Added, engine)
• Fills made during an outage are booked after a restart on Binance and Bybit (Added, venues)
• An unknown configuration key is an error (Breaking changes, config)

Breaking changes

• config: an unknown key or section is an error with its line number, [strategy.params] included.
• config: BacktestConfig.from_toml raises ConfigError on an unknown key.
• config: a venue with stale_ms above dead_ms, or stale_ms = 0, is refused at start-up.
• net: user-space TCP is removed: order_transport = "user_tcp" is refused; OUCH uses kernel TCP.
• strategies: lead_mm no longer has the own_in_feed parameter.
• core: sim::FeeModel is renamed FeeTable (core/fees.hpp).
• core: validate_venues no longer takes a warnings argument.
• build: FASTMM_BUILD_NET=ON needs make to build liburing from source.
• gateway: attach protocol version 7; strategies and fastmm-gateway must be upgraded together.

Added

• okx: OKX v5 connector for USDT-margined perpetual swaps, with fill replay and cancel-all-after.
• coinbase: Coinbase Advanced Trade connector (kind = "coinbase_advanced", spot, CDP keys).
• coinbase: Coinbase Exchange connector (kind = "coinbase_exchange", spot, sandbox).
• strategies: xmm quotes one venue and hedges with IOC orders on another (xmm-demo.toml).
• strategies: HedgeExecutor hedges across several instruments with failover, halt and de-risking.
• examples: examples/cpp/hedged_mm.cpp, a quoter on one venue hedged on two others.
• engine: ctx.mark, ctx.funding and on_perp_state carry a perpetual's mark, index and funding.
• engine: [accounting] mark values positions at the venue's mark.
• engine: ctx.balance, ctx.margin and on_balance: balances and margin from every connector.
• engine: state() / restore() and [strategy] state_file keep strategy state across sessions.
• engine: on_risk_reject reports orders refused by [risk].
• engine: ctx.order_budget(venue) shows the remaining order and request-weight budget.
• engine: ctx.fees, ctx.risk_headroom and ctx.venue_health: fees, risk room and feed lag.
• engine: execution view: ctx.own_qty, ctx.best_ex_self, ctx.queue_ahead, ctx.order_times.
• engine: [accounting] converts several settlement currencies to reporting_currency through FX.
• risk: [risk] check_balance (default on) refuses orders the balance cannot cover.
• risk: [risk.underlying.<BASE>] max_net limits the net position in one base asset across venues.
• risk: [risk] max_feed_lag_ms pulls quotes while a venue's market data lags.
• gateway: [gateway.underlying.<BASE>] max_net does the same for the account behind a gateway.
• gateway: [gateway.shared."<venue>:<symbol>"] shares one instrument between strategies, with STP.
• ctl: fastmm-ctl limits underlying.<BASE>.max_net=... sets the limit on a running session.
• venues: perpetual state comes from Binance USDⓈ-M, OKX, Bybit, Deribit and Gemini.
• venues: a reconciliation on Binance Spot, USDⓈ-M and Bybit books the fills made during an outage.
• venues: a restart restores the position.
• venues: api_passphrase credential for venues that need one (OKX, Coinbase Exchange).
• venues: a book checksum mismatch resyncs the book.
• binance: amend_keep_priority reduces an order's quantity in place and keeps its queue position.
• binance: fetch_fees = true on Spot reads the account's commission rates at start-up.
• binance_usdm: venue-side dead man's switch, dead_mans_switch_ms, on by default.
• binance_usdm: a lost dead man's switch countdown kills the venue.
• binance_usdm: post_only_rpi = true sends RPI post-only orders.
• binance_usdm: TRADIFI_PERPETUAL contracts are accepted.
• bybit: venue-side dead man's switch, dead_mans_switch_s, off by default.
• backtest: fastmm.walk_forward / bt::walk_forward run walk-forward sweeps over K time folds.
• backtest: [backtest] md_arrival = "recorded" replays market data at its recorded receive time.
• data: fastmm-data calibrate fits l2_queue and latencies to live journals; prints [backtest].
• net: the WebSocket client and server pass the Autobahn RFC 6455 suite (scripts/autobahn.sh).

Changed

• engine: a strategy can declare up to 64 parameters (was 32); one more refuses the strategy.
• cli: command lines are parsed with CLI11; numbers are validated, flags and exit codes unchanged.
• cli: fastmm-ctl and fastmm-top take --version.
• backtest: the l2_queue queue model caps queue position with the book ticker and the trade tape.
• backtest: queue_conservatism defaults to [engine] queue_conservatism.
• strategies: xmm does not hedge on a venue that is killed, feed-lagged or stale.
• strategies: HedgeExecutor sizes hedges to the remaining max_gross_notional/max_net_notional.
• store: fastmm-pnl duplicates and the start-up duplicate check are about 10x faster (schema 7).
• net: the io_uring backend uses liburing 2.15.
• build: zlib is no longer needed.

Fixed

• binance: starting with many symbols stays under the request-weight limit; the IP is not banned.
• binance: combined-stream URLs with more than about 14 symbols connect.
• binance: a book no longer resyncs right after connecting.
• binance: cancel_all() retries after a 418 or 429.
• binance_usdm: WebSocket order placement no longer charges request weight.
• binance_usdm: history queries respect the minute's weight and Retry-After; a 418 stops REST.
• venues: a requote is no longer refused BalanceShort after a cancel ack.
• venues: order and cancel acks carry the venue's time on all connectors.
• venues: a quiet channel returning to Live no longer logs a state change every 20 s.
• store: fills with the same execution id on different venues, symbols or sides are kept (schema 5).
• store: a restart after consecutive crashes no longer books executions twice.
• store: a session killed during its start-up replay keeps its fills on the next start (schema 6).
• engine: an order's fill reported both by cumulative quantity and by execution is booked once.
• engine: [accounting.fx] rates from a quiet book no longer go stale ([accounting] stale_fx_ms).
• strategies: HedgeExecutor and xmm split a hedge larger than a [risk] per-order limit.
• gateway: after a restart, fills made while it was down reach the strategy that owns the order.
• gateway: orders of several strategies no longer fill the connector's order table.
• okx: funding bills with more than 8 decimals are booked.
• data: fastmm-data fill-check keeps fills reported after their order ended.
• net: invalid UTF-8 text and malformed close frames are rejected with close code 1007 or 1002.

Install

pip install "fastmm-engine[live]==0.3.0"
docker pull ghcr.io/ziyangliu-666/fastmm:0.3.0

The Linux tarball below runs on glibc 2.28 or newer. Install guide, Deploy.

Full Changelog: v0.2.0...v0.3.0

FastMM 0.2.0

FastMM 0.2.0 adds US equities through Nasdaq ITCH and OUCH with kernel-bypass receive, Python
strategies in backtests and live sessions, and a control plane for a running session. Strategy
registration, hook signatures and the journal format change; see Breaking changes.

Highlights:

• Nasdaq ITCH 5.0 / OUCH 5.0 venue with A/B arbitration and GLIMPSE recovery (Added, venues)
• Python strategies: Numba-compiled @fastmm.hot hooks and slow methods, live too (Added, python)
• fastmm-ctl pulls, resumes, retunes, flattens or kills a running session (Added, ctl)
• Run-to-completion threading and coalesced order sends (Added and Changed, engine)
• A SQLite trading record per session, queried with fastmm-pnl or from Python (Added, store)
• fastmm report writes a run as one self-contained HTML page (Added, backtest)

Breaking changes

• engine: a strategy library exports one registration function that calls register_strategy<S>(r).
• engine: StrategyRegistry::add is replaced by try_add.
• engine: on_trade, on_book_ticker, on_option_ticker take (ctx, InstrumentId, const Msg&).
• engine: on_fill takes (ctx, const Fill&) and set_quotes returns bool.
• engine: ParamDesc::parse and format replace set and get.
• engine: built-in strategies move to the fastmm::strategies library.
• engine: make_engine_runner, EngineConfig, LiveBackend moved; the install exports components.
• strategies: basic_mm bps parameters keep four decimals; its golden hashes change.
• venues: venues resolve through VenueRegistry; VenueKind and venue_factory.hpp are gone.
• venues: connector keys are validated per venue; a key of the wrong type stops the session.
• live: [engine] on_kill defaults to "exit"; set "stay" for the old behaviour.
• live: an unrequested kill switch ends the session with exit code 6, or 5 if cancel-all failed.
• journal: format version 3 (readers open 1 to 3).
• journal: fastmm-replay refuses unclosed or damaged journals unless given --allow-incomplete.
• top: status segment version 5; fastmm-top and fastmm-live must come from the same build.
• backtest: shipped configs charge Binance spot VIP 0 fees, 10 bps a side.
• backtest: each instrument pays its own venue's fees.
• codecs: moldudp::Receiver::on_packet takes (line, datagram, now_ns, meta).
• codecs: L3Book is no longer a template and takes an L3BookConfig.
• python: the PyPI distributions are fastmm-engine and fastmm-engine-live; imports unchanged.

Added

• venues: Nasdaq TotalView-ITCH 5.0 venue (kind = "nasdaq_itch") with GLIMPSE and OUCH 5.0 orders.
• net: multicast receive backends rx_backend = "kernel" | "af_xdp" | "dpdk".
• net: AF_XDP loads its own BPF program without libbpf.
• net: DPDK needs -DFASTMM_WITH_DPDK=ON and spin_mode = "busy".
• net: unicast market-data lines on all three backends.
• net: order_transport = "user_tcp" (experimental): OUCH over user-space TCP, AF_PACKET or XDP.
• net: dpdk_exception_port, a DPDK kernel exception path.
• sim: fastmm-sim-itch, an ITCH/MoldUDP64 publisher with seeded drops, GLIMPSE and OUCH 5.0.
• codecs: fastmm::codecs: FIX 4.4, ITCH 5.0, MoldUDP64, SoupBinTCP, OUCH 4.2/5.0 and CME MDP 3.0.
• engine: [engine] threading = "single" runs reactor, engine and sends on one thread (one venue).
• engine: [engine] timer_slack_ns, lock_memory, net_backend = "io_uring", reject_backoff_ms.
• engine: configs/profiles/production-latency.toml for a dedicated host.
• engine: [engine] ack_timeout_ms cancels orders with no ack and frees their slots and exposure.
• engine: runtime parameter updates: ParamUpdate, on_params and [strategy] max_param_age_ms.
• engine: quoting.hpp helpers, verify_strategy<S>(), on_quoting and every/once timers.
• engine: StrategyHarness<S> for testing strategy hooks.
• core: Ratio and exact literals (100.25_px, 5_bps).
• core: Fixed::from_double_checked(), Ratio::from_bps_checked() and checked_add/sub/mul.
• core: Black-76 pricing, greeks and an implied-vol solver.
• core: inverse (coin-margined) contracts booked in their settlement coin.
• risk: [engine] kill_file latches a max_loss trip and carries cumulative PnL across restarts.
• risk: per-venue kill switch: an unusable venue pulls its quotes and refuses orders; others trade.
• risk: KillReason records why a kill switch tripped.
• live: a latched start exits 6 until fastmm-live --clear-kill; SIGHUP clears a running session.
• live: fastmm-live --strategy and --param key=value.
• live: fastmm-live logs what the previous session of the same name left behind before it starts.
• ctl: fastmm-ctl over a per-session Unix socket, scoped to the session, a venue or an instrument.
• ctl: pull, resume, param, limits, flatten, kill, unkill, stop and status.
• ctl: fastmm-ctl flatten closes positions in reduce-only IOC slices within --max-slippage-bps.
• top: fastmm-top, a terminal dashboard over /dev/shm/fastmm-<engine>.status, with --json.
• top: fastmm-top --metrics serves a Prometheus endpoint.
• top: rejects are counted per RejectReason.
• cli: --list-strategies --format json on fastmm-live and fastmm-backtest.
• cli: fastmm-pnl reads the record: sessions, fills, orders, pnl, positions, recover.
• python: Python strategies in backtests: subclass fastmm.Strategy.
• python: @fastmm.hot hooks are compiled by Numba (extra fastmm-engine[hot]).
• python: on_start, on_stop and @fastmm.every slow methods.
• python: fastmm.run_live() and python -m fastmm run module:Class run a Python strategy live.
• python: a failing hook or slow method stops a live session with exit code 7.
• python: fastmm.replay(journal, MyMM) replays a hot strategy from a journal's parameter updates.
• python: fastmm-engine-live wheel (fastmm-engine[live]) with the connectors and static OpenSSL.
• python: fastmm.data_sources() and fastmm.convert_data(); fastmm.data is now a package.
• python: fastmm.open_store(path) returns the record as pandas DataFrames.
• python: fastmm.features() and fastmm.evaluate_signal().
• deribit: Deribit connector (kind = "deribit") for options and futures, plus options_mm.
• binance: USDⓈ-M perpetual futures connector (kind = "binance_usdm"); hedge mode is refused.
• binance: Spot SBE market data (md_format = "sbe") decodes depth in 51 ns, JSON in 680 ns.
• binance: Ed25519 keys via private_key_env with session.logon on both Binance connectors.
• backtest: fill markouts at [backtest] markout_horizons_s (1, 10, 60 s) and fill-quality stats.
• backtest: markouts in the summary, summary.json, fills.csv and BacktestResult.markouts().
• backtest: per-instrument maker_bps and taker_bps overrides.
• backtest: --data binance:<SYMBOL>,<DATE> and tardis:<exchange>,<SYMBOL>,<DATE>: public data.
• backtest: fastmm report and fastmm.write_report() write a run as one offline HTML page.
• data: python3 -m fastmm.data fetch fetches public data; fastmm-data convert packs .fmj.
• store: a SQLite record per session ([storage]): fills, orders, positions, daily PnL, kills.
• journal: [engine] journal_sync, journal_max_bytes (rollover) and journal_retention_days.
• journal: a journal write error trips the kill switch and exits 5.
• research: fastmm::research feature and forward-markout extractor with evaluate_signal().
• tools: tools/pnl_report.py.
• tools: scripts/bench-e2e.sh, bench-2host.sh, host-setup.sh and xdp-test.sh.
• tools: scripts/build-pgo.sh builds with PGO and optionally BOLT.
• packaging: scripts/package-release.sh and the release-dpdk preset build a portable tarball.
• examples: examples/quickstart/, cpp/tutorial/, external-project/ and external-venue/.

Changed

• codecs: FIX 4.4 and CME MDP 3.0 are off by default (FASTMM_CODEC_FIX, FASTMM_CODEC_MDP3).
• codecs: MoldUDP64 packets ahead of a gap are buffered (reorder_packets, gap_timeout_ns).
• codecs: L3Book orders outside the price window go to an overflow store.
• codecs: OUCH 5.0 encode 4.4 µs → 0.1 µs; ITCH bridge 84 ns → 55 ns per message.
• venues: a connector registers itself in VenueRegistry with its keys and capabilities.
• engine: order sends are coalesced into one system call per drain (wire-to-wire p50 30-35 µs).
• engine: BM_EngineStep_Sim 9.2 µs → 2.9 µs; Binance order.place encode 1440 ns → 523 ns.
• engine: a venue's unreported cum_qty is booked as a synthetic fill (OmsUpdate::missed_qty).
• engine: a cancel ack for a fully filled order ends it as Filled.
• engine: OmsUpdate::replaced_cl_ord_id reports the id a cancel-replace superseded.
• live: fastmm-live refuses to start when the session epoch file cannot be written.
• live: fastmm-live trips OrderIdsExhausted instead of reusing client order ids.
• risk: fastmm-live refuses [risk] max_loss when instruments settle in more than one currency.
• core: Fixed::from_double() saturates out-of-range values and maps NaN to zero.
• backtest: the summary shows net = spread capture + mid drift - fees + rebates + unexplained.
• backtest: unknown config keys are reported with their line.
• backtest: sharpe_annualized is NaN for runs under a day.
• python: run_backtest takes params= and a fastmm.Strategy subclass; request_stop() ends it.
• python: wheels cover CPython 3.9 to 3.14.
• bench: CI benchmark budgets allow 10 % (was 25 %).
• build: scripts/run-sim.sh takes --port and --tls-port.

Removed

• engine: FASTMM_REGISTER_STRATEGY and StrategyContext::instrument_count().
• engine: ctx.add_timer(); use every and once.
• sim: sim::make_sim_or_replay_runner.

Fixed

• deribit: fees are booked in fee_currency.
• net: a failed WebSocket send is no longer counted as sent; the REST fallback runs.
• net: af_xdp on virtio_net receives every line.
• bybit: a rate-limit or signature e...