Just running some market replay tests based on data obtained from a ZenFire feed and running into some sequencing problems.
Please take a look at the attached event sequence dump. Looks suspiciously like the market replay engine is raising all the MarketData events for a particular one second interval and then raising all the MarketDepth events for the same interval. This obviously is significantly different from the order in which the events were originally raised, with the MarketData and MarketDepth tightly synchronised (apart from the odd instance where the multithreading causes a bit of lead/lag).
Can you confirm that this is the case?
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