POINT-IN-TIME SAFE MARKET-DATA INFRASTRUCTURE
QUANT MARKET DATA REPLAY
Every backtest is a claim about the past — and most are wrong in a specific, preventable way: they let strategies see the future.
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
PIPELINE STAGES
9
RAW → ANALYTICS
TIMESTAMP PRECISION
ns
NANOSECOND CLOCK
SILENT DATA DROPS
0
QUARANTINE MODEL
STORAGE MODE
WAL
SQLITE
02 / THE PROBLEM
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
03 / WHY I BUILT IT
ENGINEERING MOTIVATION & OBJECTIVES
I engineered QUANT MARKET DATA REPLAY to address core architectural challenges in point-in-time safe market-data infrastructure.
Every backtest is a claim about the past — and most are wrong in a specific, preventable way: they let strategies see the future.
04 / ARCHITECTURE
MODULAR STATE MACHINE & PIPELINE FLOW
05 / KEY CAPABILITIES
CORE ENGINES & SYSTEM MODULES
◆Architecture
Every backtest is a claim about the past — and most are wrong in a specific, preventable way: they let strategies see the future.
◆Implementation
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
06 / TECHNOLOGY STACK
LANGUAGES, PROTOCOLS & RUNTIME INFRASTRUCTURE
07 / ENGINEERING CHALLENGES
BOTTLENECK INVESTIGATION & RESOLUTION
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
Every backtest is a claim about the past — and most are wrong in a specific, preventable way: they let strategies see the future.
08 / DEVELOPMENT JOURNEY
EVOLUTIONARY PHASES & MILESTONES
Problem Formulation
Every backtest is a claim about the past — and most are wrong in a specific, preventable way: they let strategies see the future.
Architectural Construction
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
Validation & Testing
Core infrastructure implemented; 70-test suite passes CI on Python 3.10-3.12.
09 / CASE STUDIES
EMPIRICAL SCENARIO INVESTIGATIONS
DATA REPLAY Technical Investigation
A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
Verified deterministic behavior.
10 / EVIDENCE & RESULTS
VERIFIED TEST SUITES, BENCHMARKS & HONEST LIMITATIONS
- ✓A market-data infrastructure that ingests raw exchange data, normalizes, validates, quarantines and reorders it, then serves point-in-time safe access with deterministic replay — eliminating lookahead bias by construction. Exact decimal arithmetic, nanosecond timestamps, SQLite WAL storage, sliding watermarks and deterministic tie-breaking.
- Figures are benchmarked on dedicated harnesses and dependent on underlying hardware.
11 / SCREENSHOTS & VISUALISATIONS
SYSTEM TOPOLOGY & INSTRUMENTATION SCHEMATICS
System Topology & Flow
SCHEMATICArchitectural topology of QUANT MARKET DATA REPLAY.
12 / LINKS & RESOURCES
REPOSITORIES, PROOFS & DOCUMENTATION