ramseshk
639dd4fb6d
New sim/ module — 7 files + init, replays stored L2/trade data
through a realistic market-making simulation:
sim/engine.py (SimulationEngine):
Event-driven core — processes L2 updates, trades, mark prices
sequentially. Orchestrates queue model, maker quotes, fill sim,
constraints, scenarios. Supports periodic re-quoting and
stale order cancellation.
sim/queue.py (QueueModel):
Price-time FIFO queue per price level. Tracks where maker orders
sit in queue. Simulates order eating by aggressor trades.
fill_probability() — Poisson thinning model for fill odds.
sim/maker.py:
AvellanedaStoikovMaker — stochastic control quoting with
aeta, k, tau parameters. Reservation price based on inventory.
quote() and quote_with_skew() with configurable inventory tilt.
GridMaker — evenly-spaced grid quoting at N levels.
sim/fills.py:
FillSimulator — partial fills, adverse selection probability,
cancel latency (gaussian RTT). FillEvent/CancelEvent tracking.
adverse_selection_intensity() — measures post-fill price moves.
sim/constraints.py:
InventoryConstraint — long/short/net/gross position limits.
FundingConstraint — hourly funding cost estimation.
FeeSchedule — maker/taker fee calculation.
LiquidationRisk — liquidation price and safety distance.
CircuitBreaker — PnL, trade count, toxic rate, slippage trips.
ConstraintManager — unified pre-trade constraint check.
sim/scenario.py:
ScenarioEngine — randomized exchange downtimes, latency spikes,
volatility bursts. State query per sim_time for spread/trade-rate.
sim/reporter.py:
PnLReporter — component-level PnL breakdown:
spread_capture, inventory_pnl, fees, funding, adverse_selection.
SimulationStats — trade counts, fill rates, drawdown, sharpe.
Equity curve tracking and max drawdown computation.
53 new tests across 4 files (all pass):
test_sim_queue.py (12) — order placement, FIFO, fills, cancels
test_sim_maker.py (9) — A-S quotes, inventory skew, grid maker
test_sim_constraints.py (14) — limits, funding, fees, liquidation, breakers
test_sim_reporter.py (12) — PnL components, equity curve, stats
test_sim_engine.py (6) — full engine integration
Total test suite: 134 tests, all passing.
56 lines
1.4 KiB
Python
56 lines
1.4 KiB
Python
"""
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Event-driven market-making simulator.
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Replays L2 and trade data, models queue position, fill probability,
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adverse selection, and generates component-level PnL breakdowns.
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"""
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from sim.engine import SimulationEngine, SimConfig
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from sim.queue import QueueModel, QueuePosition, QueueLevel, fill_probability
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from sim.maker import (
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AvellanedaStoikovMaker,
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GridMaker,
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MakerConfig,
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Quote,
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)
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from sim.fills import (
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FillSimulator,
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FillModelConfig,
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FillEvent,
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CancelEvent,
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adverse_selection_intensity,
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)
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from sim.constraints import (
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ConstraintManager,
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InventoryConstraint,
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FeeSchedule,
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FundingConstraint,
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LiquidationRisk,
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CircuitBreaker,
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)
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from sim.scenario import (
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ScenarioEngine,
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ScenarioConfig,
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ExchangeDowntime,
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LatencySpike,
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VolatilityBurst,
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)
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from sim.reporter import (
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PnLReporter,
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PnLBreakdown,
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SimulationStats,
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)
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__all__ = [
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"SimulationEngine", "SimConfig",
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"QueueModel", "QueuePosition", "QueueLevel", "fill_probability",
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"AvellanedaStoikovMaker", "GridMaker", "MakerConfig", "Quote",
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"FillSimulator", "FillModelConfig", "FillEvent", "CancelEvent",
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"adverse_selection_intensity",
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"ConstraintManager", "InventoryConstraint", "FeeSchedule",
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"FundingConstraint", "LiquidationRisk", "CircuitBreaker",
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"ScenarioEngine", "ScenarioConfig", "ExchangeDowntime",
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"LatencySpike", "VolatilityBurst",
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"PnLReporter", "PnLBreakdown", "SimulationStats",
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]
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