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Fix formatting and punctuation in README.md
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> **[📊 Live Interactive Dashboard](https://Leotaby.github.io/MicroExchange/)** — 3D order book surface, Kyle's lambda landscape, spread decomposition, stylized facts.
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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.
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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.
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### Visualizations
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**3D Limit Order Book Surface** Bid (blue) and ask (red) depth across price levels over time:
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**3D Limit Order Book Surface** - Bid (blue) and ask (red) depth across price levels over time:
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![Order Book Surface](docs/images/orderbook_3d.png)
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**3D Price Impact Surface** Kyle's lambda: impact increases with volume (concave, square-root law) and amplifies with directional imbalance:
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**3D Price Impact Surface** - Kyle's lambda: impact increases with volume (concave, square-root law) and amplifies with directional imbalance:
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![Price Impact Surface](docs/images/impact_surface_3d.png)
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**Spread Decomposition** Effective spread decomposed into realized spread (MM revenue) and price impact (adverse selection ≈ 68%):
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**Spread Decomposition** - Effective spread decomposed into realized spread (MM revenue) and price impact (adverse selection ≈ 68%):
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![Spread Decomposition](docs/images/spread_decomposition.png)
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**Stylized Facts** Fat-tailed returns (κ ≈ 12 vs Gaussian) and volatility clustering (positive ACF of |returns|):
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**Stylized Facts** - Fat-tailed returns (κ ≈ 12 vs Gaussian) and volatility clustering (positive ACF of |returns|):
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![Stylized Facts](docs/images/stylized_facts.png)
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┌──────────────────────────────────────────────────────────────────────┐
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│ MicroExchange Architecture │
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│ │
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│ ┌─────────────┐ ┌──────────────────┐ ┌───────────────────┐ │
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│ │ Simulation │───▶│ Matching Engine │───▶│ Market Data Feed │ │
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│ ┌─────────────┐ ┌──────────────────┐ ──────────────────┐ │
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│ │ Simulation │───▶│ Matching Engine │───▶│ Market Data Feed │ │
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│ │ (Hawkes / │ │ (CLOB + FIFO) │ │ (ITCH-style) │ │
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│ │ ZI agents) │ │ │ │ │ │
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│ └─────────────┘ │ • Limit/Market │ │ • Incremental │ │
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│ │ • IOC / FOK │ │ • Snapshots │ │
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│ ┌─────────────┐ │ • Amend/Cancel │ │ • Trade prints │ │
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│ │ ITCH Replay │───▶│ • Partial fills │ └────────┬──────────┘ │
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│ └─────────────┘ │ • Limit/Market │ │ • Incremental │ │
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│ │ • IOC / FOK │ │ • Snapshots │ │
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│ ┌─────────────┐ │ • Amend/Cancel │ │ • Trade prints │ │
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│ │ ITCH Replay │───▶│ • Partial fills │ └────────┬──────────┘ │
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│ │ (historical │ └──────────────────┘ │ │
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│ │ data) │ ▼ │
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│ └─────────────┘ ┌───────────────────
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│ │ Analytics │
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│ │ • Spread decomp
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│ │ • Price impact │
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│ │ • Kyle's λ
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│ │ • Order imbalance │
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│ │ • Stylized facts │
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│ └───────────────────
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│ │ data) │ ▼ │
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│ └─────────────┘ ┌────────────────────┐
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│ │ Analytics ││
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│ │ • Spread decomp
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│ │ • Price impact ││
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│ │ • Kyle's λ
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│ │ • Order imbalance ││
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│ │ • Stylized facts ││
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│ └────────────────────┘
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└──────────────────────────────────────────────────────────────────────┘
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```
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