  We show how a multi-agent simulator can support two important but distinct
methods for assessing a trading strategy: Market Replay and Interactive
Agent-Based Simulation (IABS). Our solution is important because each method
offers strengths and weaknesses that expose or conceal flaws in the subject
strategy. A key weakness of Market Replay is that the simulated market does not
substantially adapt to or respond to the presence of the experimental strategy.
IABS methods provide an artificial market for the experimental strategy using a
population of background trading agents. Because the background agents attend
to market conditions and current price as part of their strategy, the overall
market is responsive to the presence of the experimental strategy. Even so,
IABS methods have their own weaknesses, primarily that it is unclear if the
market environment they provide is realistic. We describe our approach in
detail, and illustrate its use in an example application: The evaluation of
market impact for various size orders.
