Before, During, and After the Fill: A Practitioner’s Map of Market Microstructure Measurement
Every order sent to a market moves through the same three-part sequence: a decision made before it is sent, a…
Tag: deterministic replay
Designing Market Data for Deterministic Replay
You are designing the market-data path for a trading system. Somewhere in the requirements, written down or not, is one…
Matching Engine Determinism: Why Replay Fidelity Is the Real Test of Exchange Architecture
Table of Contents The Test That Reveals Everything Why “It Works” and “It’s Deterministic” Are Different Statements The Five Architecture…