Microstructure Simulator

SBH DIGITAL LTD – Microstructure Simulator

Feature Overview & Capabilities Report

1. Realistic Order Book (DOM) Simulation

• depth-of-market layout with separate bid, ask, and cumulative columns.

• Click-to-trade directly from the ladder.

• Order cancel buttons for both bids and asks.

• Visible stop orders at their trigger price.

2. Multiple Matching Engine Algorithms

The simulator supports switching between different price–time priority models to explore market microstructure effects.

• Core Matching Modes:

  1. FIFO (Price–Time)

     • Fills orders at the best price in strict time priority.

  2. Pro-Rata

     • Fills all orders at the best price proportionally to their size, with remainder by time.

  3. Size–Time

     • Gives priority to larger orders at a price level before using time priority.

• CME Algo Codes:

  1. FIFO-like: A, F

  2. Pro-Rata-like: C, O, Q, S

  3. Size-bias: K, T

     
     

     The system automatically maps these to the correct core matching logic.

• Live Switching:

  
  

  Change the matching engine on the fly using a dropdown menu — no need to restart the session.

3. Participants & Risk Management

• Unlimited participants — add/remove from a management window.

• Editable risk controls per participant:

  • Max order size

  • Max net position

  • Minimum account balance

• Real-time enforcement for all orders:

  • Manual ticket entries

  • Click-to-trade from DOM

  • Stop activation

  • Dummy trader activity

4. Order Types

• Limit

• Market

• Stop

• Stop–Limit

• Stop orders trigger into the book when price conditions are met.

5. Dummy Trader Simulation

• Toggleable on/off.

• Places both passive quotes and aggressive market orders.

• Respects full risk rules.

6. Volume Profile & Price–Time Chart

• Volume profile panel aligned with ladder price levels.

• Time–price chart with:

  • Latest trade line

  • Best bid and best ask reference lines

• No animation jumps for stable high-frequency plotting.

7. Trade Blotter (Trades Window)

• Full list of executed trades with:

  • Time

  • Price

  • Quantity

  • Buyer/Seller

• CSV export/import for historical analysis.

8. Session Management

• Export Session — saves all orders, trades, participants, and settings to JSON.

• Import Session — restores a saved simulation state.

• CSV Trade Export/Import — merges trades into the current session.

9. Window Management

• Separate draggable/resizable windows for:

  • DOM (Order Book)

  • Participants

  • Volume Profile & Chart

  • Trades Blotter

• Planned menu for show/hide window selection.

10. Key Differentiator

This simulator isn’t just about order flow display — it is a research-grade microstructure lab that lets you:

• Experiment with different matching engine rules in real time.

• Observe how price formation, queue position, and fill rates change.

• Replay or modify sessions to study market behavior under different mechanics.