Just-in-Time Historical State Reconstruction for Low-Latency Financial Trading with Large Language Models

This paper introduces Historical State Reconstruction, a novel framework for low-latency financial decision-making using Large Language Models. While agentic systems have demonstrated potential in synthesizing complex financial narratives, they typically rely on Retrieval-Augmented Generation or memory-based architectures. These paradigms introduce significant latency and risk look-ahead bias during real-time inference, rendering them unsuitable for high-frequency trading environments where milliseconds determine profitability. This proposed framework resolves this bottleneck by decoupling the heavy computational cost of context acquisition from the latency-sensitive critical path of decision-making. We propose a system that proactively compiles unstructured regulatory filings (10-K, 10-Q, 8-K) into a structured, bitemporal database. By pre-computing complex state facets, such as financial health ratios, governance structures, and insider trading signals offline, the system allows trading agents to “time travel” to a reconstructed state at any historical moment t with O(1) snapshot retrieval plus O(k) delta application complexity. We implement this approach on the top 50 companies in the S&P 500 ranked by market capitalization, processing over 12,000 filings to demonstrate a pipeline that transforms high-dimensional financial narratives into compact, prompt-ready context. Our evaluation shows that the system reduces context retrieval latency by over 97% compared to traditional baselines while achieving a 300:1 compression ratio for financial health data. Furthermore, the bitemporal architecture guarantees strict temporal integrity, eliminating the risk of data leakage in backtesting and satisfying the reproducibility requirements of regulatory frameworks like SR 11-7.