New KDB-X module: di.simtick #83
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External contributor here — saw the call for community contributions on the Data Intellect blog |
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Quant-grade intraday tick simulator that generates synthetic trade and quote data exhibiting realistic market microstructure.
Unlike simple random data generators, this module produces data with statistical properties observed in real markets:
Trade clustering — Hawkes process captures self-exciting arrival dynamics
Price continuity — GBM with optional Merton jump-diffusion
Intraday seasonality — configurable U-shape or J-shape intensity patterns
Quote generation — bid-ask spreads that widen randomly
Useful for strategy backtesting, stress testing, system development, and demos.
Included:
46 unit tests (all passing)
Technical paper documenting the mathematical foundations
PyKX notebook for quick start
5 preset market scenarios (default, liquid, illiquid, volatile, jumpy)
Roadmap: If accepted, a follow-up module (di.simmulti) is planned to extend this with multi-instrument generation (symbol will be added) and configurable correlation structures.