market-wave 0.2.1

Dynamic MDF synthetic market data generator

market-wave

Fast, lightweight synthetic market data from a Dynamic Market Distribution Function.

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market-wave is a Python library for generating synthetic market paths from market-wide entry and exit intent. It does not create individual participants. Instead, it models aggregate buy/sell pressure, position exits, order-book depth, cancellations, taker flow, and execution-driven price movement from probability mass over relative ticks.

It is not a forecasting model. It is a lightweight simulation primitive for experiments, visualization, teaching, and strategy-environment prototyping.

Why market-wave?

• Aggregate intent, not agents: market participants are represented by probability mass over relative ticks, not by individual objects.
• Dynamic MDF: entry and exit pressure live in four stateful MDF(relative_tick) fields that evolve from the previous step.
• Pluggable score model: swap the MDF score function with DynamicMDFModel or a custom MDFModel.
• Separated shape and size: MDFs decide where intent sits; intensity decides how much order flow appears.
• Execution-driven prices: prices stay flat unless trades execute.
• Batch generation: generate many reproducible synthetic paths without keeping every path in market.history.
• Inspectable state: every step returns a StepInfo snapshot with MDFs, volumes, order book state, position mass, VWAP, spread, and imbalance.
• Built-in plotting: matplotlib is included, with a clean light chart style by default.

Install

pip install market-wave

For dataframe export:

pip install "market-wave[dataframe]"

For local development:

git clone https://github.com/smturtle2/market-wave.git
cd market-wave
uv sync --extra dev

Python >=3.10 is supported.

Quickstart

from market_wave import Market

market = Market(
    initial_price=10_000,
    gap=10,
    popularity=1.0,
    seed=42,
    regime="auto",
    augmentation_strength=0.25,
)
steps = market.step(500)

last = steps[-1]
print(last.price_before, "->", last.price_after)
print("executed:", round(last.total_executed_volume, 3))
print("imbalance:", round(last.order_flow_imbalance, 3))
print("crossed flow:", round(last.crossed_market_volume, 3))
print("residual flow:", round(last.residual_market_buy_volume, 3), round(last.residual_market_sell_volume, 3))

Market.step(n) always returns list[StepInfo] and appends the same objects to market.history.

For high-volume generation, skip in-memory history:

steps = market.step(512, keep_history=False)

for step in market.stream(512, keep_history=False):
    consume(step)

For simple export workflows, use step.to_dict(), step.to_json(), or market.history_records().

Example output with seed=42:

10030.0 -> 10030.0
executed: 1.03
imbalance: 0.054
crossed flow: 0.693
residual flow: 0.215 0.122

Smoke Matrix

The simulator is deterministic for a fixed seed, so it is easy to run the same invariants across different market conditions:

from market_wave import Market

cases = [
    ("baseline", dict(initial_price=10_000, gap=10, popularity=1.0, seed=42, grid_radius=20), 500),
    ("busy", dict(initial_price=10_000, gap=10, popularity=2.5, seed=7, grid_radius=24), 500),
    ("thin", dict(initial_price=500, gap=5, popularity=0.25, seed=123, grid_radius=12), 500),
    ("low_price", dict(initial_price=1, gap=1, popularity=3.0, seed=17, grid_radius=8), 500),
    ("inactive", dict(initial_price=100, gap=1, popularity=0.0, seed=9, grid_radius=10), 100),
]

for name, kwargs, steps_count in cases:
    market = Market(**kwargs)
    steps = market.step(steps_count)
    prices = [step.price_after for step in steps]
    move_steps = sum(step.price_change != 0 for step in steps)
    exec_steps = sum(step.total_executed_volume > 0 for step in steps)
    print(name, min(prices), max(prices), move_steps, exec_steps, market.state.price)

Recent verification on the current implementation:

baseline   range=10000.0-10070.0 moves=248 exec_steps=500 final=10050.0
busy       range= 9930.0-10040.0 moves=263 exec_steps=500 final= 9960.0
thin       range=  460.0-500.0   moves=245 exec_steps=500 final=  460.0
low_price  range=    1.0-5.0     moves=263 exec_steps=500 final=    3.0
inactive   range=  100.0-100.0   moves=  0 exec_steps=  0 final=  100.0

Those runs also checked that current-state MDF projections stay aligned with state.price_grid, MDFs remain normalized, prices never fall below one tick, order book and position mass stay non-negative, and price changes only occur on steps with executed volume. Dynamic MDF acceptance also runs seeds 10..19 at mdf_temperature=1.0 and checks that every MDF remains finite, non-negative, normalized, and broad enough not to collapse to a single price.

Diagnostic note for 0.2.0: the current MDF update is numerically stable under the smoke metrics above, but it is not behaviorally calibrated. Treat these ranges, move counts, and execution counts as regression diagnostics, not claims that the generated paths match any real market.

Visualization

from market_wave import Market

market = Market(initial_price=10_000, gap=10, popularity=1.0, seed=42)
market.step(260)

fig, ax = market.plot(last=180)

The default market_wave style uses a light multi-panel chart: price/VWAP, bid and ask orderbook depth heatmaps by simple level, executed volume, and order-flow imbalance. To keep the legacy three-panel view, pass orderbook=False.

Dark overlay mode is still available:

fig, ax = market.plot(layout="overlay", style="market_wave_dark")

Synthetic Data

from market_wave import compute_metrics, generate_paths

paths = generate_paths(
    n_paths=100,
    horizon=512,
    config_sampler=lambda path_id: {
        "initial_price": 10_000,
        "gap": 10,
        "popularity": 1.0,
        "seed": 10_000 + path_id,
        "regime": "auto",
        "augmentation_strength": 0.35,
    },
)

metrics = compute_metrics(paths)
print(metrics.return_std, metrics.volume_mean, metrics.max_drawdown)
print(paths[0].metadata.config_hash)

GeneratedPath.metadata stores seed, config_hash, package version, regime, and augmentation_strength so synthetic runs can be traced. Pandas is optional: install market-wave[dataframe] to use to_dataframe(). ValidationMetrics.volatility_clustering_score is computed within each generated path and aggregated, so independent path boundaries do not affect the diagnostic.

Pluggable MDF

from market_wave import Market

class CenterSeekingMDF:
    def scores(self, side, intent, relative_ticks, context, signals=None):
        del side, intent, context, signals
        return [-abs(tick) for tick in relative_ticks]

market = Market(initial_price=100, gap=1, mdf_model=CenterSeekingMDF(), seed=7)

step = market.step(1)[0]
print(step.relative_ticks)
print(step.buy_entry_mdf)

Custom MDF models return scores, not probabilities. Treat each score as log-growth evidence: additive score differences become multiplicative changes to the previous MDF. Market applies those scores through the stabilized MDF update described below.

Core Concepts

At every step, the market builds relative ticks around the current price:

relative_tick = (price - current_price) / tick_size
relative_ticks = [-grid_radius, ..., 0, ..., +grid_radius]

The simulator maintains four Market Distribution Functions on that relative grid:

• buy_entry_mdf
• sell_entry_mdf
• long_exit_mdf
• short_exit_mdf

Each MDF is normalized. It is not recreated from scratch each step; it evolves from the previous MDF:

logits = persistence * log(MDF_prev(tick) + eps)
       + score(tick) / effective_temperature
proposal = softmax(clamp(logits - max(logits), -50, 0))
MDF_next = Normalize((1 - floor_mix) * Diffuse(proposal) + floor_mix * Uniform)

score(tick) can include value, trend, liquidity attraction, memory, risk, and order-book pressure. mdf_temperature controls how sharply scores reshape the distribution. The effective temperature also includes current volatility, so high-volatility regimes soften score updates instead of letting one tick absorb all mass. Persistence, diffusion, and uniform floor mixing prevent repeated small score advantages from collapsing the MDF into a single tick.

Those relative MDFs are projected onto the pre-trade grid price_grid = price_before +/- k * gap for order-book formation. StepInfo.mdf_price_basis records that pre-trade price basis.

low temperature  -> sharper, concentrated MDF
high temperature -> wider, smoother MDF

MDFs generate aggregate intent. Intensity controls total size. The order book and execution layer then turn that intent into limit flow, taker flow, cancellations, exits, matched volume, and price changes.

Execution Guarantee

Price movement is execution-driven:

• If a step has no executed volume, price_after == price_before.
• If trades execute, price_after is derived from that step's execution statistics. Random quote jitter is bounded and cannot move the price by itself when executions print at the previous price.
• seed makes the simulation reproducible for the same version and inputs.

This is a simulator, not a market data replay engine and not financial advice.

API Overview

from market_wave import (
    Market,
    DynamicMDFModel,
    generate_paths,
    compute_metrics,
    MarketState,
    IntensityState,
    LatentState,
    MDFContext,
    MDFSignals,
    MDFModel,
    RelativeMDFComponent,
    MDFState,
    OrderBookState,
    PositionMassState,
    StepInfo,
)

Useful StepInfo fields include:

• price_before, price_after, price_change
• tick_before, tick_after, tick_change, relative_ticks
• mdf_price_basis, price_grid
• buy_entry_mdf, sell_entry_mdf, long_exit_mdf, short_exit_mdf
• buy_entry_mdf_by_price, sell_entry_mdf_by_price
• buy_volume_by_price, sell_volume_by_price
• executed_volume_by_price, total_executed_volume, trade_count
• market_buy_volume, market_sell_volume, crossed_market_volume
• residual_market_buy_volume, residual_market_sell_volume
• vwap_price, best_bid_before, best_ask_before, spread_after
• orderbook_before, orderbook_after
• position_mass_before, position_mass_after

The *_mdf_by_price fields are pre-trade MDF projections keyed by mdf_price_basis; current Market.state.mdf.*_by_price is reprojected to the post-trade state price. Examples and public APIs use MDF names only; stale PMF examples from earlier prototypes should be considered obsolete.

API stability: Market, generate_paths, compute_metrics, the exported MDF model types, and the exported state dataclass names are the stable public surface for the current alpha line. StepInfo and state mappings are plain snapshot containers; their existing fields are kept compatible where practical, but new diagnostic fields may be added during alpha releases.

Development

uv sync --extra dev --extra dataframe
uv run ruff check .
uv run pytest
uv build

License

MIT