Record and Replay Daemon for Market Data Scenario Simulation
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Solution Overview
Problem
Current market data processing software applications face challenges in verifying their performance in response to market conditions before actual use, requiring manual observation of software behavior during desired market events.
Innovation Solution
The system employs a record and replay daemon to create and apply precise, automated market data scenarios, allowing for the simulation of contrived market activities to test the performance of securities trading applications, enabling pre-emptive verification of software reactions.
Engineering Contradictions & Design Principles
Engineering Contradiction Analysis
1Reliability
If manual observation of software behavior during actual market events is used for testing, then the software can be tested under real market conditions, but the testing process is time-consuming and cannot be performed in advance
Solution Approach 1:
The system creates and stores market data scenarios in advance before actual market events occur. These pre-created scenarios can be replayed to test software applications beforehand, allowing verification of software performance in advance without waiting for actual market conditions to manifest.
Solution Approach 2:
The system creates copies of actual market data scenarios by recording and storing market data patterns. These copies can be replayed multiple times to test software applications repeatedly under the same market conditions, enabling advance verification without requiring the actual market events to occur.
2Productivity
If real-time market data processing is implemented, then the software can respond to actual market conditions, but it becomes difficult to verify performance in advance
Solution Approach 1:
The system provides feedback mechanisms by comparing the software's response to contrived market scenarios against expected outcomes. The recorded and replayed market data scenarios serve as known reference points, allowing verification of whether the software processed data correctly according to predefined expectations.
Solution Approach 2:
By pre-creating and storing market data scenarios with known expected outcomes, the system enables advance verification of software performance. The scenarios are prepared beforehand with defined characteristics that can be used to measure and detect software response accuracy before actual market processing occurs.
3Productivity
If automated market data scenario creation is implemented, then testing efficiency is improved, but the system complexity increases
Solution Approach 1:
The recorded and replayed daemon serves multiple functions: it records actual market data, stores the data, creates contrived scenarios by modifying stored data, replays the scenarios to applications, and provides feedback on performance. This multi-functional approach consolidates complexity into a single system component rather than requiring separate tools for each function.
Solution Approach 2:
The system creates copies of market data scenarios that can be manipulated and replayed without requiring the original complex real-time data processing infrastructure. These simplified copies maintain the essential characteristics needed for testing while reducing the complexity of the testing system itself.
Data Source
AI summary
A method for developing and applying market data scenarios may include receiving market data by a record and replay daemon executing on a computer system; storing the received market data in a storage device; replaying the stored market data; changing the stored market data with respect to at least one asset by applying in an automated manner a contrived market activity scenario selected from a plurality of different scenarios stored on the computer system, whereby performance of at least one specific asset is changed to a contrived performance to simulate market activity desired by a user to create a contrived market activity scenario; and transmitting the contrived market activity scenario to a client application, which is able to process the contrived market activity scenario as if it were market data transmitted directly from the market data distribution platform.