1. A method for replicating activity occurring in connection with at least one financial market comprising: receiving a market data stream with an electronic receiver over a network interface for a predetermined symbol set containing symbols that are traded over the at least one financial market, wherein: the predetermined symbol set includes symbols to which a user of the system has a subscription to receive financial market data as the financial market data becomes available; and the market data stream includes market activity data items for the symbols in the predetermined symbol set; maintaining a time order of time values associated with each data item so that is the time order of the data items replicates a time order of market events represented by the data items with respect to that at least one financial market; and recording all of the time-ordered data items from the market data stream onto a computer readable medium so that the recorded data, when played back, represents a playback of the entirety of the market data pertaining to the predetermined symbol set.