Market Microstructure Notebook

WIP

Scope

This is a living notebook of definitions + small experiments around:

• bid/ask spread
• effective vs realized spread
• order book dynamics (toy)
• execution cost and slippage assumptions

Why I’m doing this

Quant dev work often sits between research and production systems. I want to be able to:

• explain execution metrics clearly
• implement them without ambiguity
• test them with synthetic scenarios

Next steps

• add simple L1 simulations (random walk + spread)
• implement effective/realized spread calculations
• visualize outcomes under different assumptions