Doing HFT on any CEX: subscribe to ws. Voila. Doing HFT on HL: - Run a non-validator node on AWS Tokyo with 16 vCore ($800+/month $$) - Do the RAM disk trick ($800+ more /month $$), because HL-node only writes data to disk and not RAM, and it is close sourced. Then you can drive your OB update latency down to ~120ms (median), but if you use orderbook server by Jeff (so you don't need to write one from sratch), the reliability sucks coz the gives you 1000+ms latency every few minutes. - Worse than that, the orderbook snapshot validation fails all the time, so you need to restart/reinitialize it 100 times/day. Oh man, I like trading on HL with my mouse. But there's too much BS if you dare venture into the low latency realm.