Advanced
Practice Drills: Simulating a Market Making Strategy on Order Book Data
A hands-on drill course for quant researcher aspirants, prop trading applicants, and traders scaling a systematic book. You will rebuild an NSE limit order book from tick-by-tick messages, code a naive two-sided quoter, simulate fills with honest queue-position assumptions, decompose the P&L into spread capture, inventory and costs, measure adverse selection with markouts, then upgrade the quoter with inventory skew and an Avellaneda-Stoikov model. The course ends with pessimistic-fill and toxic-day stress tests and a go/no-go scorecard. Every step is worked by hand first, then coded.
Market MakingLimit Order BookBacktesting and SimulationAvellaneda-Stoikov ModelPython for Quant Finance
MODULES
5
DURATION
~3.5 hrs
TRACK
Algorithmic Trading
What You'll Master
How to rebuild a level-2 order book from tick-by-tick add, modify, cancel and trade messages
How to anchor quotes on the mid-price or microprice and round them correctly to NSE tick sizes
How to model fills with queue position and partial fills instead of the optimistic touch-equals-fill assumption
How to split simulated P&L into spread capture, inventory mark-to-market, and real Indian trading costs
How to measure adverse selection with markouts and add inventory skew and Avellaneda-Stoikov quoting
How to stress-test the strategy on expiry and event days and decide go or no-go with a written scorecard
Access Level
LEARNER
Everything included
Full Text Playbooks
Actionable Exercises
Mobile Reading Mode
Lifetime Updates