Building Crypto Trading Infrastructure in Go

After spending months building trading bots in Python, I decided to rebuild everything in Go. Here's what I learned.

Why Go?

• Performance: Sub-millisecond latency matters in trading
• Concurrency: Goroutines make handling multiple exchanges trivial
• Single binary: Deploy anywhere without dependency hell

Architecture

┌─────────────────────────────────────────┐
│              Strategy Layer              │
├─────────────────────────────────────────┤
│           Unified API Layer             │
├──────────┬──────────┬──────────────────┤
│ Binance  │  Bybit   │    Coinbase      │
└──────────┴──────────┴──────────────────┘

Key Challenges

1. WebSocket Management

Each exchange has different reconnection strategies. Building a resilient connection manager was crucial.

2. Order Book Synchronization

Maintaining accurate order book state requires careful handling of snapshots and deltas.

3. Rate Limiting

Getting banned from an exchange is not fun. Implement proper rate limiting from day one.

Lessons Learned

1. Start with paper trading
2. Log everything
3. Test edge cases (network failures, exchange maintenance)
4. Never trust external data without validation