Recorded market data replay about parity HOT 4 CLOSED

I would not do this through normal order entry interface because streaming all this through network stack would make the process relatively slow

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IIRC, @jvirtanen mentioned privately few weeks back that he's working on something like that for NASDAQ ITCH 5.0 using Juncture:

https://github.com/jvirtanen/juncture

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Yes, I'm working on this for NASDAQ TotalView-ITCH 5.0. It is a separate application that interfaces with the matching engine using the market data and order entry protocols.

In the future the trading system will be split into multiple applications: order entry gateways, matching engines, and market data gateways. While this is necessary for reliability and scalability, it is also helpful for applications such as this. The interfaces within the trading system could be based on Aeron, for example.

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This issue is moved to #2 on Parity Extras.

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