QuantumFeed Simulator
An interactive exploration of the high-fidelity, agent-based simulator for replicating and analyzing market microstructure dynamics.
Abstract: High-frequency trading (HFT) research is hampered by a "realism gap" in existing simulators. This paper introduces QuantumFeed, a novel, open-source, agent-based simulator designed to bridge this gap. It combines a high-performance C++ matching engine with a flexible Python agent framework, uses sophisticated stochastic models to generate realistic data, and is validated against the canonical stylized facts of financial time series.
The Core Challenge in HFT Research
Understanding the gap QuantumFeed was designed to fill.
The Simulation Gap
Existing simulators often fail to model the sub-second phenomena defining HFT. Many abstract away the core mechanics of price formation, like the Limit Order Book (LOB), which "significantly undermines the realism of the simulator" as HFT strategies exploit these very microstructures. This leads to a "microstructure fidelity gap," preventing accurate replication of emergent market events like flash crashes.
The QuantumFeed Contribution
QuantumFeed addresses this gap with a fourfold contribution: 1) A novel, open-source, distributed architecture for scalability and performance. 2) A high-fidelity microstructure model with a full-depth LOB. 3) A verifiable data generation process using sophisticated stochastic models. 4) A demonstration of scientific utility by replicating the 2010 Flash Crash.
Simulator in Action
A live, animated visualization of the QuantumFeed matching engine at work.
QFEED-SIM
BIDS
ASKS
Recent Trades
Interactive System Architecture
Click on components to learn more about the distributed, multi-tier system.
Select a component to see details.
Market Service (C++)
Matching Engine & LOB
Agent Service (Python)
Agent Personas & Logic
Orchestrator
Control & Configuration
Communication
Protobuf over TCP
High-Fidelity Data Generation Models
The stochastic processes that drive market dynamics.
Validation: Replicating Stylized Facts
QuantumFeed's output is validated against empirical properties of real financial markets.
Case Study: The 2010 Flash Crash
An interactive walkthrough of how QuantumFeed simulates a systemic crisis.