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Synopsis

Marketdata playback The Historic Tick Streamer (HTS) is a facility which that when deployed to any an SBE Whisperer instance can be subscribed to by enabled users. The function allows MFClient users to request the playback of marketdata messages within the production environment with a request when specifying the Feed, Market(s) & DateRange, playback also has the benefit of enabling the replay on multiple streams simultaneously.

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Marketdata playback was designed to be adopted by existing Whisperer customers requiring little or no modification to the client code base. This would provide MFClient users the ability to subscribe to the playback feed (in a similar way that customers subscribe to Whisperer feeds), the client application can then feed the data into a test harness to evaluate new algorithms and software updates against past market events and messages.

Marketdata Playback Design

Diagram design  

 

Marketdata Playback for Investigations and Stress Tests

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