itch::ReplayEngine Class Reference

Replays a parsed ITCH stream paced by message timestamps. More...

#include <replay.hpp>

Public Member Functions
	ReplayEngine (double speed_multiplier=1.0) noexcept
	Constructs an engine with a speed multiplier.
auto	set_speed (double speed_multiplier) noexcept -> void
	Sets the speed multiplier (see the constructor).
auto	speed () const noexcept -> double
	The current speed multiplier.
auto	replay (std::span< const std::byte > data, const MessageCallback &callback) const -> std::uint64_t
	Parses data and invokes callback for each message, paced by the message timestamps.

Detailed Description

Replays a parsed ITCH stream paced by message timestamps.

For realistic backtesting and system simulation, a consumer often needs the feed delivered at its original wall-clock cadence rather than as fast as the CPU can parse it. The replay engine parses a buffer and invokes the callback for each message, sleeping between messages so the inter-message gaps match the differences in their nanoseconds-past-midnight timestamps, optionally scaled by a speed factor.

Definition at line 27 of file replay.hpp.

Constructor & Destructor Documentation

ReplayEngine()

itch::ReplayEngine::ReplayEngine ( double  speed_multiplier = 1.0 )

inlineexplicitnoexcept

Constructs an engine with a speed multiplier.

Parameters

speed_multiplier

Wall-clock speed relative to the original feed: 1.0 replays in real time, 2.0 twice as fast, 0.5 half speed. A value less than or equal to 0 replays with no pacing (as fast as possible).

Definition at line 34 of file replay.hpp.

Member Function Documentation

set_speed()

auto itch::ReplayEngine::set_speed ( double  speed_multiplier ) -> void

inlinenoexcept

Sets the speed multiplier (see the constructor).

Parameters

speed_multiplier

Wall-clock speed relative to the original feed (see the constructor for the exact semantics).

Definition at line 41 of file replay.hpp.

speed()

auto itch::ReplayEngine::speed ( ) const -> double

inlinenoexcept

The current speed multiplier.

Returns

The currently configured speed multiplier.

Definition at line 48 of file replay.hpp.

replay()

auto itch::ReplayEngine::replay	(	std::span< const std::byte >	data,
		const MessageCallback &	callback
	)		const -> std::uint64_t

Parses data and invokes callback for each message, paced by the message timestamps.

Parameters

data	A view over the contiguous buffer containing ITCH data.
callback	A function to be called for each successfully parsed message.

Returns

The number of messages replayed.

Definition at line 18 of file replay.cpp.

References itch::Parser::parse().

---

The documentation for this class was generated from the following files:

• replay.hpp
• replay.cpp