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Papers on broker execution, latency arbitrage, HFT architecture, and market microstructure, by Boris Fesenko, building execution software since 2000.<\/p>\n<\/p><\/div>\n
This is the research library of BJF Trading Group.<\/strong> Each paper takes a claim traders usually argue about, broker fairness, whether an arbitrage edge survives, when it pays to trade, and settles it with data and reproducible method. The work is authored by Boris Fesenko (Ontario, Canada) and mirrored on open academic repositories (Academia.edu, SSRN, Zenodo, OSF) with DOIs where available, so it can be cited and checked. Read the abstracts below, then open the full papers.<\/p>\n <\/p>\n An open, reproducible methodology that scores a broker’s execution quality from a trader’s own trade and tick logs, combining fill rate, slippage symmetry, rejection behavior, and latency into a single comparable index. Includes the full method and an open-source reference implementation.<\/p>\n Also on: Academia.edu<\/a>.<\/p>\n<\/p><\/div>\n Examines how latency-arbitrage profitability in over-the-counter forex depends on measurable factors, including the trader’s latency edge, and derives the point at which asymmetric fills and costs erase the edge entirely.<\/p>\n Also on: ResearchGate<\/a>.<\/p>\n<\/p><\/div>\n A mathematical framework, with empirical validation, for how much of a latency-arbitrage edge disappears between backtest and production once real execution delays are modeled. Shows why perfect-fill backtests systematically overstate performance.<\/p>\n DOI: 10.5281\/zenodo.20616790.<\/p>\n<\/p><\/div>\n <\/p>\n Sets out a practical high-frequency trading architecture adapted to the constraints, connectivity, and infrastructure realistically available to retail traders, rather than to an institutional desk.<\/p>\n Traces how retail HFT masking evolved across four phases in response to increasingly sophisticated broker surveillance, from basic latency arbitrage to hybrid architectures that combine statistical signals with lock-arbitrage recovery.<\/p>\n <\/p>\n A foundational overview of arbitrage strategies across financial markets and how retail traders can apply them, setting the context for the more specialized execution and timing papers in this library.<\/p>\n Measures how long price-feed and execution inefficiencies persist in retail forex before they are competed away or filtered by broker risk systems, and what drives their decay.<\/p>\n Also on: MPRA and ResearchGate.<\/p>\n<\/p><\/div>\n An automated sliding-window algorithm that detects periods of concentrated trading opportunity through the day from event-stream data, without prior assumptions about timing or duration.<\/p>\n DOI: 10.5281\/zenodo.20722107.<\/p>\n<\/p><\/div>\n <\/p>\n Documents the infrastructure, execution architecture, and performance characteristics of automated economic-news trading in retail forex, from data capture through order execution around scheduled releases.<\/p>\n <\/p>\n Boris Fesenko’s book on the realities of retail trading and the broker-side mechanics that shape execution, the practitioner backdrop to the research in this library.<\/p>\n <\/p>\n <\/p>\n New papers, articles, and product releases, delivered when we publish them.<\/p>\nBroker execution & market microstructure<\/h2>\n
\n BEQI toolkit<\/a>\n <\/div>\n
\n Read on SSRN<\/a>\n <\/div>\n
\n Download PDF<\/a>
\n Zenodo (DOI)<\/a>\n <\/div>\nHFT architecture, detection & masking<\/h2>\n
\n Related guide<\/a>\n <\/div><\/div>\n
\n Related guide<\/a>\n <\/div><\/div>\nArbitrage strategy & timing<\/h2>\n
\n Related guide<\/a>\n <\/div><\/div>\n
\n Zenodo (DOI)<\/a>
\n OSF<\/a>\n <\/div>\nNews trading<\/h2>\n
\n Related guide<\/a>\n <\/div><\/div>\nBook<\/h2>\n
Technical deep-dives (dev.to & Medium)<\/h3>\n
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