Recording Market Data

The record subcommand captures live tick data to a Parquet file for later replay or backtesting.

Basic usage

# Record 60 seconds (default)
cargo run --bin mercury -- record --symbol BTCUSDT --output data.parquet

# Record 10 minutes
cargo run --bin mercury -- record --symbol BTCUSDT --output data.parquet --duration 600

Output format

The Parquet file contains one row per BookUpdate event with columns:

• timestamp — Unix milliseconds
• symbol — trading symbol
• bid_price, bid_qty — best bid
• ask_price, ask_qty — best ask

Prices and quantities are stored as UTF-8 decimal strings to preserve exact precision.

Storage size

Roughly 1–3 MB per minute for a single symbol at normal Binance update frequency (~10 updates/sec). A one-hour recording of BTCUSDT is typically 60–180 MB.

Using recorded data

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

# Run a backtest
cargo run --bin mercury -- backtest --file data.parquet --strategy rsi