How it works and its limits
- Inputs
- The Hawkes fit of the latest 5000 trades, plus a linear price-impact calibration (per-second price change against signed size) from the same window.
- Outputs
- For each quote offset: fills per minute, PnL split into spread captured, adverse selection (5 s markout) and inventory effect, spread of outcomes and the 5% worst case; calm against stressed flow.
- Evidence
- Simulation only. The PnL split is exact (the three parts sum to the total) and is covered by tests; the price model is not validated against real order books.
- Limits
- No order book: a market order of size s is assumed to reach a quote at distance d if impact·s ≥ d. No queue position, fees or latency. Stress is a fixed scenario (flow ×2, impact ×2). Not trading advice.
- Minimum data
- 400 recent trades.
- API
GET /labs/hawkes/market-maker?symbol=BTCUSDT&exchange=binance&minutes=10