Page History

Synopsis

The Historic Tick Streamer (HTS), when deployed to an SBE Whisperer instance, can be subscribed to by enabled usersis a playback service for marketdata that can accept subscription by users enabled to send requests. The service comprises of a replay server to which the MFClient connects (in the same way as the connection a connection is established to a FeedServer), alongside Whisperer logs held on a storage array used to store preserve the marketdata messages on the horizontal axis of the diagram below. Behind the operation of the replay server are the configuration and authentication services that allow users to gain access to the service.

It is also important to draw the distinction when referring to the HTS service, from other connection replay features. HTS is separate and distinct from FIX replay which exists as a session level service in cases of disconnection. In such events, the MFClient can obtain a replay of the orders that have taken place which will not include marketdata.

Historic Tick

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Streaming Design

Operation

The HTS function allows MFClient users to request the playback of marketdata messages (inclusive of last trade information) from the production environment when a request is made specifying the Feed, Market(s) & DateRange, playback also has the benefit of enabling the replay of market data messages on multiple streams simultaneously.

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The HTS 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 service, 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.

HTS Playback for Investigations 

Marketdata playback HTS playback can also be used to investigate issues, events and software failure. In an event that a system encounters a problem during normal operations, a clients development team can use the playback function to effectively recreate the scenario in UAT. This can often mean playing back a specific event in high fidelity within a recycling loop, at higher and lower speeds once the customer application has the messages (maybe even tick by tick with manual progression - like a user pressing a button) to drive the system. 

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