.. image:: doc/Figures/logo/logo_centrale_paris.png :target: http://www.ecp.fr/

.. image:: doc/Figures/logo/devise_centrale_paris.gif :target: http://www.ecp.fr/

FiQuant Market Microstructure Simulator

The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation and the market microstructure. It is developed at Chair of Quantitative Finance <http://fiquant.mas.ecp.fr/>_ of École Centrale Paris <http://www.ecp.fr/>_

• Installation notes <doc/install.rst>_

• History <doc/history.rst>_

• Strategy Definition Language <doc/lang.rst>_

  • Compiler usage <doc/compilation.rst>_

  • Packages <doc/packages.rst>_

  • Types <doc/types.rst>_

  • Functions <doc/functions.rst>_

  • Expressions <doc/expressions.rst>_

  • Syntax <doc/syntax.rst>_

  • Possible language improvements <doc/language-todo.rst>_

• Components <doc/talks/objects.png>_

  • Events, functions and observables <doc/observable.rst>_

  • Statistics <doc/statistics.rst>_

  • Discrete event simulation <doc/scheduler.rst>_

  • Orders, order factories and requests <doc/order.rst>_

  • Meta orders <doc/metaorder.rst>_

  • Market representation <doc/orderbook.rst>_

  • Simple strategies <doc/strategy.rst>_

  • Adaptive strategies <doc/adaptive.rst>_

• Rationale for module design <doc/rationale.rst>_

• Simple and compound modules <doc/modules.rst>_