Platform · Trading

Market replay: test on real trading days, not scripted cases

Replay any real trading day in a test environment, order by order and member by member, at the original times.

In short

Market Replay plays a real trading day back into an exchange's test environment. Every order goes out through a FIX connection ZagTrader recreates for its member, at the time it was first sent. The exchange tests against real members, orders, prices and timing, needs no effort from member firms, and can replay the same day as often as it needs.

Built for: Exchanges testing a new trading system, release, rule change or configuration update
Scale: Any number of member FIX connections at the full order throughput of a trading day
In use: Delivered for a regional exchange, with no member firm needing to connect or take part

What exchanges use it for

Actual members, orders, prices and timing from a real trading day, replayed as often as needed.

Migration testing

Run real trading days through a new trading system before go-live and compare the results with the current system.

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Releases and upgrades

Check a new release, patch or configuration change against a full trading day before it reaches production.

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Rules and controls

Pause and resume the market, or change auctions, price limits and session settings, and see how real flow responds.

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Capacity and load

Run any number of member FIX connections at the full order throughput of a trading day and see how the system holds up.

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Incident review

Replay the day an issue happened to reproduce it, find the cause and confirm the fix.

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Operations rehearsal

Let market operations practise go-live days and unusual sessions on real order flow, away from production.

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How a replay works

Same order, same time: the system under test sees the day as it happened.

1
Collect
A trading day's FIX logs, or an order export file, are collected from production.
2
Set up members
Member brokers and their trading users are created in the replay environment, each with its own FIX session.
3
Load orders
Each order keeps its member, user, side, quantity, price, order type and time, with executions down to partial fills.
4
Schedule
The scheduler releases each order at its original time. An order first sent at 09:30 is sent again at 09:30.
5
Replay
Orders reach the system under test through each member's FIX connection, so it sees the day as it happened.

Everything inside Market Replay

Real order flow, full market scale and no member effort.

Capability	What you get
Real order flow	Actual members, orders, prices and timing from a real trading day.
Day capture	Loads a trading day's FIX logs or an order export file collected from production.
Member set-up	Member brokers and their trading users are created in the replay environment, each with its own FIX session.
Order detail	Each order keeps its member, user, side, quantity, price, order type and time, with executions down to partial fills.
Order scheduler	Releases each order at its original time, so the order flow keeps the timing of the production day.
Member FIX sessions	Every member FIX session the market needs, simulated in parallel. Orders reach the system under test through each member's FIX connection.
Full order throughput	Any number of member FIX connections at the full order throughput of a trading day, so the test market carries the same load as a production day.
No member effort	Every member session is recreated by ZagTrader. Member firms do not need to connect or take part.
Repeatable	The same trading day can be replayed as often as the exchange needs.
Results comparison	Trades, volumes, values and closing prices from the replay are compared with the production day. Differences are listed, fixed and re-tested.
Any kind of change	The same comparison works for a new trading system, a new release, a rule change or a configuration update.
Replay on demand	Through a migration, before each release or after a rule change.
Support	ZagTrader supports the exchange during replay sessions.

Frequently asked questions

Do member firms need to take part?

No. ZagTrader recreates every member's FIX session in the replay environment, so member firms do not need to connect or take part.

What data does a replay need?

A trading day's FIX logs or an order export file from production, plus the production day's results where a comparison is needed. Each order keeps its member, user, side, quantity, price, order type and time, with executions down to partial fills.

How does it help with a trading system migration?

Members trade as normal on the current system, and the day's FIX logs and results are captured at close. The same day then replays through the new system's test environment at the original times, and trades, volumes, values and closing prices are compared. Differences are listed, fixed and re-tested.

Can it test capacity?

Yes. It runs any number of member FIX connections at the full order throughput of a trading day, so the test market carries the same load as a production day.

What does ZagTrader provide?

The replay engine and order scheduler, loading of FIX logs or order export files, set-up of member brokers, users and their FIX sessions, as many member FIX connections as the market needs at full order throughput, comparison of replay results with the production day, and support during replay sessions.

What does the exchange provide?

Daily FIX logs or an order export from production; the production day's results, where a comparison is needed; test environment access and FIX specifications for the system under test; test FIX credentials for the member sessions to be replayed; and instruments and session settings in test that match the production day.

How do we get started?

In four steps. Scope: agree which trading days, markets and members to replay, and how often. Connect: set up access to the test environment, member test sessions and log delivery. Pilot: replay one full trading day and review the results together. Run: replay on demand, through a migration, before each release or after a rule change.