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Set sim speed to 90:1 (1s wall = 90s sim) across all specs

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Grounded ratio based on ABIDES/ECMWF benchmarks. Single global clock
shared by all horizons. Wall time for full window: hourly ~40s,
daily ~16min, weekly ~1.9hr, monthly ~8.3hr, annual ~4.2d, 5yr ~20.8d.

Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
This commit is contained in:
Claude
2026-07-13 23:18:24 +00:00
parent e40210f570
commit ab086e422b
6 changed files with 23 additions and 25 deletions
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core/docs/plans/M3g-market-microstructure-sims.md
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@@ -7,7 +7,7 @@ optimal execution, and cross-exchange arbitrage** at the fastest time scales. Po
**Almgren-Chriss optimal execution framework** for minimizing market impact of large orders.
Operates at the highest temporal resolution — where M3a provides statistical forecasts and M3c
models pool mechanics, M3g models the *plumbing* of how orders actually execute, across **six
concurrent time horizons** at tick-advanced, ≥ 360:1 (1s wall = 1h sim).
concurrent time horizons** at tick-advanced, 90:1 (1s wall = 90s sim).
## 2. Status / certainty
DESIGN-FIRST · ABSENT. Order-book microstructure theory C4 (established). Almgren-Chriss
@@ -36,7 +36,7 @@ Python with optimized event loop.
## 5. Interface contract
- Implements `query(PredictionQuery) -> BoundedPrediction` per M3 hub.
- **Output bounds:** execution cost ranges, liquidity intervals, optimal trajectory envelopes.
- **Time-horizon mapping** (all run concurrently, tick-advanced, ≥ 360:1 (1s wall = 1h sim)):
- **Time-horizon mapping** (all run concurrently, tick-advanced, 90:1 (1s wall = 90s sim)):
| Horizon | Primary models | Update cadence |
|---------|---------------|----------------|
| Tick–hourly | Almgren-Chriss execution, slippage, spread, arb decay | Every tick |
@@ -90,7 +90,7 @@ Slippage: larger orders produce greater slippage. Spread: spread widens under ad
Almgren-Chriss: optimal trajectory minimizes total cost vs. naive execution on backtest; impact
parameters update when market conditions change. Arb decay: detected arb opportunity closes over
time. Depth: depth profile matches order book state. Bounds: all outputs bounded. Resolution:
predictions update at tick frequency. Speed: sim tick-advances ≥ 360:1 (1s wall = 1h sim).
predictions update at tick frequency. Speed: sim tick-advances at 90:1.
## 10. Open items
- CEX order book data access (API limitations, costs).