Replay feeds archived events into a test consumer with controllable timing and deterministic ordering.
Select the archive, event order and speed multiplier before starting a run. Separate original market timestamps from replay delivery time so latency measurements do not confuse historical age with the test system's processing delay.
Use replay to reproduce gaps, bursts and reconnect conditions. Label the stream as a test dataset and isolate it from production order-routing systems; an archived quote must not be mistaken for a current market observation.
Bring the proposed instrument list, source documentation and consumer workflow to a technical discussion. The agreed integration specification defines coverage, fields, usage permissions and acceptance tests.
| Dataset definition | Confirm raw ticks, bid/ask events, trades or OHLC bars and the source instrument. |
|---|---|
| Time and ordering | Define UTC boundaries, timestamp precision, sequence ordering and duplicate policy. |
| Quality and gaps | Document missing intervals, corrections and any backfill or normalization applied. |
| Export and retention | Agree format, pagination, permitted storage and the consumers allowed to use the dataset. |
Historical data for your instrument universe needs an instrument definition and provenance. Tick history, aggregated bars and replay events are different outputs. Record which prices form each bar, how gaps are represented and whether corrections can change an earlier result.