Problem
Short-horizon market behavior depends on order book dynamics, latency, liquidity provision and agent interaction. These mechanisms are difficult to reason about from aggregate price series alone.
Simulation
Market Microstructure Simulator
Architecture for simulating order-driven markets with agents, strategies, reaction times, matching rules and detailed execution logs.
Approach
The simulator is designed around explicit agents, a limit order book, event timing and execution logs so that strategy behavior can be inspected at the microstructure level.
Technical Focus
- Order book state and matching rules.
- Liquidity providers, noise flow and trading agents.
- Latency and reaction-time modelling.
- Structured execution logs for analysis.