Replay & Recorder

The mercury-replay crate provides tools for recording live market data and replaying it deterministically.

Recorder

Recorder subscribes to BookUpdate and Trade events on the bus and writes them to a Parquet file.

# Record 120 seconds of BTCUSDT tick data
cargo run --bin mercury -- record \
  --symbol BTCUSDT \
  --output data.parquet \
  --duration 120

Default duration is 60 seconds. The output file can be replayed or used for backtesting.

Player

Player reads a Parquet file and replays events onto the EventBus at a configurable speed multiplier.

# Replay at real-time speed
cargo run --bin mercury -- replay --file data.parquet --speed 1.0

# Replay at 10x speed
cargo run --bin mercury -- replay --file data.parquet --speed 10.0

Backtest

The backtest subcommand combines Player with a SimulatedExchange to run a strategy over historical data and report PnL:

cargo run --bin mercury -- backtest \
  --file data.parquet \
  --strategy market_maker

Results are printed to stdout and written to backtest_results.json.

Parquet schema

Each row represents one tick: