Synopsis
Marketdata playback is a facility which when deployed to any 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 specifying the Feed,Market(s) & DateRange, playback also has the benefit of enabling the replay on multiple streams simultaneously.
Note
It should be noted that Playback can be permitted on a single Market (security/currency pair) or multiple Markets dependant on the client need. additionally, when specifying the start date and time to begin the stream, the stream will continue until the end of the available day is reached unless an end date is specified.
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
Marketdata 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. This can often mean playing back a specific event in high fidelity within a recycling loop, at higher and lower speeds (maybe even tick by tick with manual progression - like a user pressing a button) to drive the system. Playback of such events for SBE implementations will have no impact to the production marketdata Feeds and their performance.
Stress Test application TBD..
Overview
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