{"repo":"Leotaby/MicroExchange","free":true,"listed":false,"github":"https://github.com/Leotaby/MicroExchange","clone":"git clone https://github.com/Leotaby/MicroExchange.git","description":"Exchange-grade CLOB matching engine + microstructure analytics in C++20","language":"C++","stars":64,"topics":["cpp","finance","hawkes-process","market-microstructure","matching-engine","order-book","quantitative-finance"],"license":null,"category":"trading","readme_excerpt":"MicroExchange Exchange-grade CLOB matching engine + ITCH-style market data replay + microstructure analytics in modern C++20. 📊 Live Interactive Dashboard — 3D order book surface, Kyle's lambda landscape, spread decomposition, stylized facts. A complete market microstructure laboratory: from order entry to trade print, from raw event feeds to empirical spread decomposition, built with the rigor of production exchange systems and the analytical depth of graduate-level financial economics. Visualizations 3D Limit Order Book Surface - Bid (blue) and ask (red) depth across price levels over time: 3D Price Impact Surface - Kyle's lambda: impact increases with volume (concave, square-root law) and amplifies with directional imbalance: Spread Decomposition - Effective spread split into realized spread (MM revenue) and price impact. Real large-caps run 50–70% adverse selection; this zero-intelligence sim produces ≈0 (uninformed flow → no permanent impact) - see reproducible results. Stylized Facts - Return distribution vs Gaussian and the autocorrelation of returns . Reproduced on 1s bars: volatility clustering AC(\\ r\\ ,1) ≈ 0.24; fat tails are mild (excess kurtosis ≈ 1.2) under zero-intelligence flow - see reproducible results. --- Architecture --- Visualizations → Interactive 3D charts (GitHub Pages) 3D Order Book Surface — Depth × Price × Time Bid side (blue) and ask side (red) form the characteristic valley around the midpoint. Depth clusters at key levels and shifts with the pr","default_branch":null,"files":null,"tree":[],"storefront":"/r/Leotaby","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/Leotaby/MicroExchange/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}