Quantitative Trading & Market Microstructure System
What this system is for
A research stack for order-book events, microstructure signals, backtesting and strategy evaluation.
Reference economics
€1M notional → 10 bps cost → €1k equivalent execution impact.
Reference arithmetic, not a measured client result.
€1M
Reference scenario
10 bps
Illustrative improvement
€1k
Decision value
The success story in 30 seconds
Business problem
Research becomes misleading when order-book events, execution assumptions and strategy metrics are mixed together.
What changed
Persist raw events before deriving signals.
Business utility
The point is reproducible research, cost-aware evaluation and a clear boundary between market observation and trading action.
Decision
Quantitative systems
System
Quantitative Trading & Market Microstructure System
Validation
Replay events · Signal families
Core stack
Python · TypeScript · Vite