Market Making Simulator

How It Works

This simulator tests passive market making by placing symmetric quotes around the mid-price at various spread levels. It uses historical candle data to estimate fill rates, inventory accumulation, adverse selection costs, and expected P&L. Find the optimal spread that maximizes profit while managing inventory risk.

⚙️ Simulation Parameters

Market

Lookback Period

Candle Interval

Quote Size (USD)

Max Inventory (USD)

Spread Range (bps)

Maker Fee (%) — positive = cost, negative = rebate

📈 Quick Stats

Realized Vol (24h ann.)

Avg Spread (bps)

24h Range %

Est. Trades/Day

Overview

Spread Analysis

Inventory Paths

P&L Distribution

Adverse Selection

🏆 Optimal Strategy

Optimal Spread (bps)

Expected Daily P&L

Daily Fills

Sharpe Ratio

📊 P&L by Spread Level

🔄 Fill Rate by Spread

📋 Spread Comparison Table

Spread (bps)	Fill Rate %	Fills/Day	Gross Spread P&L	Adverse Selection	Maker Fees	Net P&L/Day	Sharpe	Max DD

📊 Spread Level Analysis

Visual comparison of profitability at each spread level. Green indicates positive expected value.

💡 Spread Recommendations

📦 Sample Inventory Paths

Monte Carlo simulation of inventory accumulation at optimal spread

Inventory Stats

Avg Absolute Inventory

Max Inventory

95th Percentile

Time at Limits

% Time at Max

💰 P&L Distribution (Optimal Spread)

Mean Daily P&L

Median Daily P&L

Std Dev

Win Rate (Days)

⚠️ Adverse Selection Analysis

Adverse selection occurs when your quote gets filled right before the price moves against you. This measures the average loss per fill due to informed flow.

By Direction

Adverse Selection (Buys)

Adverse Selection (Sells)

📊 Market Making Simulator