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tick-by-tick-simulator
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Realistic market making backtester with tick-by-tick L2 replay, FIFO queue simulation (iceberg detection + cancel inference), latency modeling, and detailed adverse selection metrics. Built for production-grade strategy research, focusing on real queue dynamics and fill quality rather than simplified assumptions.
python rust hft quantitative-finance backtester fifo-queue microstructure orderbook backtesting market-making tick-by-tick-simulator adverse-selection latency-modeling
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Updated
Jun 11, 2026 - Python
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