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Quantitative Finance · Glossário

O que é Input journal?

Definition 23.2 Low-Latency Software · Capítulo 23 — Logging, Capture and Replay

An input journal is the record, kept by a process, of every input it received, in the order it received them, each with the time of its reception: market events, order reports, timer firings that depend on the clock, parameter changes and control messages. Together with the program’s version, it is enough to reproduce everything the process computed.

streameventsrecordedjournalcompressedratio
large tick (the simulator’s open)189 875120 s120\,\mathrm{s}10.6 MB2.8 MB3.76
small tick (synthetic)6 0006 ms6\,\mathrm{m}\mathrm{s}0.34 MB0.08 MB3.96
Table 23.1. The input journal of two event streams: 56 bytes per event raw, about 15 compressed with zlib at level 6. Data: fig_journal.py (deterministic).
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