atelier

A Computational Workshop for Market Microstructure Modeling, Synthetic Simulation and Historical Replay.

Overview

Use atelier for modeling market microstructure dynamics, it supports an orderbook-based market structure. Whether you need a high quality reproduction of any given market within a defined period of time (market replay), or, to generate what-if scnearios either completely random, or, with model specification (market simulation).

Contribute

Feel free to contribute, just make sure you check the CONTRIBUTING guidelines. Also consider to pick-up the existing issues.

Roadmap

Order struct

Incorporate new fields in the Order struct:

• customer_id: To link the order to the uniquely corresponding customer that generated it.
• asset_id: To link the order to the uniquely corresponding asset (even if is a pair).
• partial_fill: To indicate if the filling of the Order can be partial, or, is it has to ve fully filled at once.
• expiration_ts: Time units (must be a globally consistent nanosecs) of the order getting automatically cancel if not filled.

Upgrade existing fields:

• Design and implement a protocol to have a standardize, informative and memory efficient order_id.

Order Fill result

Design and implement a new struct to hold result data after:

an Order fill is produced:

• order is partially filled (two recipients per amount-matched, maker and taker)
• order is fully filled (two recipients per amount-matched, for all amounts, maker and taker)

an Order gets cancel:

• order is canceled (one recipient, maker)
• order expires (one recipient, maker)

Success/Error messages

• Create and implement the acknowledgement messages of success for all engine operations.
• Finish the implementation of the error messages for all engine operations.

Fee schedule

• Create a new struct to hold data about trading fees, bps for maker and for taker, in tiers.
• Create discount mechanism to charge fees.