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Quantitative Finance · Glossary

What is Order-book replay?

Definition 18.1 Research Craft: Predictors, Backtests, Measurement, Portfolios · Chapter 18 — Order-Book Replay Simulation

An order-book replay rebuilds the book from a recorded message feed and runs a strategy against it, inserting the strategy’s own orders as shadow orders: they can be filled by the recorded executions but do not change the messages that follow.

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