Order Book Microstructure Alpha Engine is a professional quant-style Python project that simulates Level 2 order book dynamics, generates advanced microstructure features, trains predictive models, evaluates performance, and visualizes results. It is designed for research, prototyping, and educational purposes in market microstructure and high-frequency trading.
- simulator.py: Order book simulation and data generation
- features.py: Feature engineering
- model.py: Model training and prediction
- evaluation.py: Metrics and visualization
- main.py: Pipeline orchestration
- Simulates realistic order book microstructure (10 bid/ask levels, volume, microstructure, mid-price movement)
- Computes advanced features: spread, imbalance, order flow, pressure, volatility, returns, momentum
- Trains Logistic Regression & XGBoost models to predict next-step price direction
- Evaluates with accuracy, precision, recall, F1, confusion matrix, ROC, feature importance
- Visualizes order book depth, imbalance, feature importance, ROC, price overlay (Matplotlib/Plotly)
- 1000+ time steps, noise and imbalance control, modular quant-style code