Trading Bot Data Pipeline Architecture: Streams, Storage and Replay

A trading pipeline must serve live decisions while preserving enough evidence to reproduce incidents and backtests without look-ahead bias.

Raw evidence

Store original payloads with source, connection, source time, receive time and sequence. Raw retention allows reprocessing after decoder bugs or schema changes.

Normalization

Use common envelopes but preserve venue-specific finality and ordering. Map display symbols to stable instrument IDs, addresses and decimals. Never join markets by ticker alone.

Ordering and duplicates

Reconnects replay snapshots and consumers retry. Derive deterministic IDs from signatures or trade IDs and make consumers idempotent. Partition by the market or account whose order matters.

Live path and replay

Let strategies consume streams without waiting for warehouse writes while a durable log feeds analytics. Replay recorded events through the live interface. Compare Solana indexing options.

TierZero builds indexers and data pipelines plus trading dashboards.