RAMME: Market Microstructure Engine

RAMME is a Python-based market microstructure simulation engine with a GUI that enables real-time simulation of price, liquidity, and PnL per regime. It supports regime-based tick simulation, live plotting, and basic trade execution with risk and slippage modeling.

Features Market State Engine (RAMMEEngine)

• Computes mid-price, bid-ask spread, microstructure features, liquidity, and toxicity.
• Detects market regimes: TREND, MEAN_REVERT, VOLATILE, SHOCK, ILLIQUID.
• Regime-based tick simulation with drift, mean-reversion, volatility, shocks, and liquidity effects.

Simulation Controls

• Start, Pause, Resume, Reset.
• Adjustable parameters: Initial equity, Number of ticks, Volatility, Maximum drawdown.

Live Plotting

• Equity curve updates in real-time.
• PnL per regime with consistent color coding.
• Legends automatically updated.

Trade Execution

• Signal-based position management.
• Partial fills, slippage, latency, and risk governance.
• Shock events incorporated into price dynamics.

Data Export

• Save simulation ticks to CSV for post-analysis.

Dependencies

• Python 3.10+
• PyQt5
• matplotlib
• pandas
• numpy
• Usage

Launch the GUI: python main_window.py

Adjust parameters on the control panel:

• Initial equity
• Number of ticks
• Volatility magnitude
• Maximum drawdown

Use Simulation Controls: Start – begin simulation Pause – pause simulation Resume – resume simulation Reset – reset simulation and plots

Observe live plots: Top panel: Equity curve Bottom panel: PnL per regime

Save simulation data to CSV using the Save CSV button.

Project Structure RAMME/ │ ├── engine/ # Market state engine and clock │ ├── engine.py # RAMMEEngine core logic │ └── clock.py # Simulation clock │ ├── strategy/ # Signal and position management │ ├── signal.py │ └── position.py │ ├── execution/ # Fill, slippage, and latency models │ ├── fill.py │ ├── slippage.py │ └── latency.py │ ├── backtest/ # Simulation and PnL tracking │ ├── simulator.py │ ├── pnl_attribution.py │ └── shock.py │ ├── risk/ # Risk management │ └── governor.py │ ├── gui/ # GUI widgets and plots │ ├── plots.py │ └── widgets.py │ └── main_window.py # Main GUI application

Features in Depth

• Regime-Based Tick Simulation
• TREND → persistent drift
• MEAN_REVERT → pull to moving average
• VOLATILE → high variance
• SHOCK → rare extreme moves
• ILLIQUID → thin order book, slippage spikes

Microstructure Metrics

• Mid-price, spread, returns, liquidity, and toxicity scores updated each tick.
• Sanity checks: price > 0, spread ≥ 0, liquidity ≥ 0.

GUI Widgets

• Custom sliders and panels for inputs and statistics.
• Tick table to view per-tick details.
• Plots update live with legends and color-coded regimes.

Future Enhancements

• Integrate order flow simulation for multi-asset markets.
• Advanced risk and portfolio management.
• Hardware-in-the-loop validation for real-time testing.
• Machine learning models for regime prediction.