Back to directoryResource
abides
Github Repo
by abides-sim
Tags
agent based modellingmarket microstructuremarket simulationorder bookspython
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for market microstructure and execution. Specialist prerequisites vary by resource.
Before you read
- Order Books
Read bid, ask, depth and queue-based market state.
- Order Flow and Adverse Selection
Understand why fills and order flow can carry information.
Go further
- Market Impact
Connect trading speed and size to execution cost.
- Implementation Shortfall
Measure execution relative to the decision price.
Explore a related reading path
- Market making and execution
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.