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.

lib.rs:

Atelier

Provides a computational framework that can be used as a workshop to develop Financial Machine Learning models, especifically battle tested to the level of Market microstructure. Features include:

• Market Simulation: A synthetic simulation of a market, as detailed as the provided configuration.
• Market Replay: A high-fidelity reproduction of what actually happened, all the way down to the data granularity that is provided.