Full Chain Historical Data Playback System Design¶

26.1 System Overview¶

The Full Chain Historical Data Playback System serves as the comprehensive market simulation engine for the quantitative trading system, enabling complete historical market scenario replay with tick-level or minute-level precision. This system provides strategy validation and execution validation capabilities through realistic market environment simulation.

26.1.1 Core Objectives¶

Complete Market Simulation: - Historical Data Replay: Real-time replay of historical market data with authentic timing - Full Chain Simulation: Complete simulation from market data to order execution - Multi-Speed Playback: Support for real-time, accelerated, and high-speed replay - Multi-Account Synchronization: Synchronized simulation across multiple accounts and strategies

Strategy Validation: - Execution Validation: Realistic order execution and matching simulation - Risk System Testing: Complete risk management system validation - Performance Analysis: Comprehensive strategy performance analysis - Scenario Testing: Historical scenario testing and analysis

26.2 Architecture Design¶

26.2.1 Microservice Architecture¶

Replay Engine Service:

services/replay-engine/
├── src/
│   ├── main.py                 # Service entry point
│   ├── loader/                 # Historical data management
│   │   ├── data_loader.py      # Data loading and management
│   ├── player/                 # Data replay engine
│   │   ├── replay_engine.py    # Core replay logic
│   ├── clock/                  # Time synchronization
│   │   ├── replay_clock.py     # Market time management
│   ├── controller/             # Replay control
│   │   ├── replay_controller.py # Replay control logic
│   ├── api/                    # REST API interface
│   │   ├── replay_api.py       # Replay management endpoints
│   ├── config.py               # Configuration management
│   ├── requirements.txt        # Dependencies
├── Dockerfile                  # Container configuration

26.2.2 Core Components¶

Historical Data Manager: - Data Loading: Support for CSV, database, and Parquet file formats - Data Validation: Historical data quality and consistency validation - Data Preprocessing: Data cleaning and normalization - Data Indexing: Efficient data retrieval and indexing

Data Replay Engine: - Real-time Simulation: Authentic market timing simulation - Speed Control: Configurable replay speed (1x to 1000x) - Event Streaming: Real-time market event streaming - Data Synchronization: Multi-instrument data synchronization

Time Synchronization Module: - Market Time Management: Unified market time across all components - Time Progression: Controlled time progression during replay - Time Synchronization: Synchronization across all system components - Time Validation: Time consistency validation

Event Reconstructor: - Order Matching: Historical order matching simulation - Trade Reconstruction: Complete trade execution simulation - Account Updates: Real-time account balance and position updates - Risk Monitoring: Real-time risk system monitoring

26.3 Data Management and Formats¶

26.3.1 Historical Data Types¶

Tick-Level Data: - Price Ticks: Real-time price updates with timestamps - Volume Data: Trading volume and market depth information - Bid-Ask Spreads: Bid and ask price information - Market Events: Market events and announcements

Bar-Level Data: - 1-Minute Bars: 1-minute OHLCV data - 5-Minute Bars: 5-minute OHLCV data - Daily Bars: Daily OHLCV data - Custom Intervals: User-defined time intervals

26.3.2 Data Format Support¶

File Formats: - CSV Files: Comma-separated value files - Parquet Files: Columnar data format for efficiency - JSON Files: JavaScript Object Notation format - Database Storage: Direct database access

26.4 Replay Engine Capabilities¶

26.4.1 Playback Modes¶

Real-time Replay: - 1x Speed: Authentic market timing simulation - Time Synchronization: Perfect time synchronization - Event Accuracy: Accurate event timing and sequencing - Market Realism: Realistic market behavior simulation

Accelerated Replay: - 10x Speed: 10x faster than real-time - 100x Speed: 100x faster than real-time - 1000x Speed: 1000x faster than real-time - Custom Speed: User-defined replay speeds

26.4.2 Simulation Features¶

Complete Chain Simulation: - Market Data: Historical market data replay - Order Matching: Realistic order matching simulation - Trade Execution: Complete trade execution simulation - Account Updates: Real-time account updates - Risk Monitoring: Real-time risk system monitoring

26.5 Technology Stack¶

26.5.1 Core Technologies¶

Data Processing: - Pandas: High-performance data manipulation - NumPy: Numerical computing and array operations - PyArrow: Efficient data serialization and storage - Dask: Parallel data processing for large datasets

Communication Systems: - NATS: Real-time event streaming - REST APIs: Replay control and management - WebSocket: Real-time status updates - Event Streaming: Historical event streaming

26.6 API Design¶

26.6.1 Replay Control Endpoints¶

Replay Management:

POST   /api/v1/replay/start              # Start replay session
POST   /api/v1/replay/pause              # Pause replay
POST   /api/v1/replay/resume             # Resume replay
POST   /api/v1/replay/stop               # Stop replay
POST   /api/v1/replay/reset              # Reset replay to beginning

Speed Control:

POST   /api/v1/replay/speed              # Change replay speed
GET    /api/v1/replay/current-speed      # Get current replay speed
POST   /api/v1/replay/jump-to-time       # Jump to specific time
GET    /api/v1/replay/current-time       # Get current replay time

26.7 Frontend Integration¶

26.7.1 Replay Control Dashboard¶

Replay Control Panel: - Playback Controls: Start, pause, resume, stop controls - Speed Control: Replay speed adjustment slider - Time Navigation: Time jump and navigation controls - Progress Display: Replay progress and timeline

Market Data Panel: - Current Market Time: Real-time market time display - Tick Information: Current tick data display - Price Charts: Real-time price chart updates - Volume Information: Trading volume and depth display

26.8 Simulation Scenarios¶

26.8.1 Historical Scenarios¶

Market Crash Scenarios: - 2008 Financial Crisis: 2008 market crash simulation - 2020 COVID Crash: 2020 pandemic market crash - Flash Crash Events: Flash crash scenario simulation - Volatility Spikes: High volatility period simulation

Normal Market Scenarios: - Bull Market Periods: Bull market scenario simulation - Bear Market Periods: Bear market scenario simulation - Sideways Markets: Range-bound market simulation - Trending Markets: Trending market simulation

26.9 Implementation Roadmap¶

26.9.1 Phase 1: Foundation (Weeks 1-2)¶

• Basic Data Loading: Simple historical data loading
• Basic Replay Engine: Simple replay functionality
• Time Management: Basic time synchronization
• Simple API: Basic replay control endpoints

26.9.2 Phase 2: Advanced Features (Weeks 3-4)¶

• Speed Control: Variable replay speed support
• Multi-Instrument: Multi-instrument replay support
• Event Reconstruction: Complete event reconstruction
• Advanced API: Advanced replay control features

26.9.3 Phase 3: Integration (Weeks 5-6)¶

• System Integration: Full system integration
• Multi-Account Support: Multi-account simulation
• Risk Integration: Risk system integration
• Strategy Integration: Strategy runner integration

26.9.4 Phase 4: Production Ready (Weeks 7-8)¶

• Enterprise Features: Advanced enterprise features
• Performance Optimization: High-performance optimization
• Advanced Analytics: Comprehensive analytics
• User Experience: Enhanced user experience

26.10 Integration with Existing System¶

26.10.1 Service Integration¶

Market Data Integration:

Replay Engine → Historical Data → Market Data Service → Strategy Runners

Strategy Runner Integration:

Replay Engine → Market Events → Strategy Runners → Order Generation

Risk System Integration:

Replay Engine → Market Events → Risk Center → Risk Monitoring

26.11 Business Value¶

26.11.1 Strategy Validation¶

26.11.2 Operational Excellence¶