Feed
Binance L2 depth, aggregated trades and ticker events with heartbeat monitoring.
CASE 02 · EXECUTION RESEARCH
Real-Time Market Making
Quotes · Queues · Fills · Markouts
QUOTE LOGIC5 MODES
Mid, top, level, microprice and queue-aware.
MARKOUTS1 / 5 / 10S
Post-fill adverse-selection horizons.
PARTICIPATION25%
Default cap attributed to a paper fill.
EXECUTIONSIMULATED
Live public data; no order is sent.
SYSTEM ARCHITECTURE
One event loop from exchange message to metric.
Feed handling, book state, quoting, execution approximation and post-trade analytics remain modular so assumptions can be changed independently.
State & quotes
Local book, symbol precision, reservation price, skew and five quote modes.
Paper fills
Crossing trades, top-of-book eligibility, visible queue ahead, participation cap and cooldown.
Analytics & gates
Markouts, P&L, inventory, notional limits, volatility pauses and loss controls.
LIVE RESEARCH INTERFACE
Market state and execution diagnostics in one view.
The current portfolio homepage is itself a restrained derivative of this research interface.
Book, trade tape, depth, microprice, imbalance, fill proxies and paper markouts in one observable state.
A descriptive view of displayed liquidity; not a standalone trading signal.
FILL MODEL
A touch is not automatically a fill.
The simulator preserves the distinction between a market trade reaching the quote and a realistic share of that trade reaching the paper order.
Crossing trade
Aggressive flow must trade through the paper quote.
Top-of-book test
The quote must remain eligible relative to the current best price.
Queue consumption
Visible resting quantity ahead is consumed first.
Participation cap
Only a configured residual share can fill.
Markout
Post-fill mid-price measures adverse selection.
STATE RETAINED
Every fill stays reviewable.
Side, price, size, quote mode, spread, inventory, queue-ahead estimate and contemporaneous mid-price remain attached to each simulated execution.
LIMIT
Paper execution remains a model.
Public aggregate trades and displayed L2 liquidity cannot reconstruct private queue priority, hidden liquidity or real exchange latency. The interface states this boundary explicitly.