Market-Maker

This project is an experiment-first implementation of level-2 market making, treating quoting as a coupled control problem: choose bid/ask placements while managing inventory evolution and fill uncertainty. The project follows established microstructure formulations—spread/LOB modeling in the spirit of Guilbaud–Pham and inventory-risk control in the spirit of Guéant–Lehalle—then maps those assumptions onto a real message-driven engine to observe where theory breaks or needs correction. Quote placement is driven by order-book state and a noise/price-vibration view (spectral analysis), while inventory is actively skewed using tail-aware risk measures (Cornish-Fisher-style) and latency-aware fill models. The stack was built as model → simulator/engine → live-demo validation, emphasizing execution realism (throughput, latency, queue effects) rather than purely offline backtests.