Market Making Backtester

PHASE 8

Quote around a simulated mid, manage inventory and sweep the spread-skew grid.

Planned capabilities

›Synthetic mid-price as a random walk or OU process with adjustable volatility and reversion.
›Background Poisson order flow with an informed-flow share that biases trades toward future moves.
›Strategy controls: half-spread, quote size, inventory limits, Avellaneda-Stoikov style skew, requote rate and latency.
›Worker-backed simulation with a progress bar over many thousands of events.
›P&L decomposed into spread capture versus inventory P&L, with inventory bands and fill-rate stats.
›Parameter sweep heatmaps of Sharpe and maximum inventory over half-spread by skew intensity.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 8, using the shared math library and the datasets you generate or upload.