mmrl 0.1.6

Market Making RL - simulation, experiments, and CLI

Market Making RL Agent

Docs: https://Aviral1303.github.io/Market-Making-RL-Agent/

Why this is useful

• End-to-end, deployable research stack: config-driven envs, MLflow tracking, CLI, REST API with async jobs, and DuckDB persistence
• Microstructure features that matter: OU price dynamics with regime switching, probabilistic fills, fees/slippage, multi-asset correlation, depth-aware quoting, size decisions
• Baselines and RL: Naive, Inventory-aware, Avellaneda–Stoikov, PPO; hyperparameter search with Optuna

At a glance

Benchmarks (best-of grid)

60s Quickstart

pip install mmrl
mmrl backtest
mmrl evaluate  # Naive vs Rule-Based vs A–S vs PPO
mmrl analyze strategy_comparison.csv --plot  # analyze your returns file

Examples

• Backtest + HTML report in one go

mmrl backtest
mmrl report results/$(ls -t results | head -n 1) --out report.html

• Run grid search and visualize

mmrl grid
python3 analysis/plot_grid_heatmaps.py

• Compare agents (rule-based and PPO if rl extra installed)

mmrl evaluate

• Programmatic backtest

from mmrl import run_backtest
cfg = {"run_tag": "script", "seed": 7, "steps": 1000, "output_dir": "results",
        "agent": {"spread": 0.1, "inventory_sensitivity": 0.05},
        "market": {"ou_enabled": True, "ou": {"mu": 100, "kappa": 0.05, "sigma": 0.5, "dt": 1.0},
                    "vol_regime": {"enabled": True, "high_sigma_scale": 3.0, "switch_prob": 0.02}},
        "execution": {"base_arrival_rate": 1.0, "alpha": 1.5},
        "fees": {"fee_bps": 1.0, "slippage_bps": 2.0, "maker_bps": -0.5, "taker_bps": 1.0}}
run_dir, metrics = run_backtest(cfg)
print(run_dir, metrics)

• Plug in your own data (CSV example)

from env.simple_lob_env import SimpleLOBEnv
from mmrl.data import load_adapter

env = SimpleLOBEnv()
adapter = load_adapter('mmrl.data.csv_adapter:CSVAdapter', path='data/example.csv', mapping={'mid_price': 'mid', 'best_bid': 'bid', 'best_ask': 'ask'})
for tick in adapter.iter_ticks():
    state = env.step_from_tick(tick)

Programmatic API (Python)

from mmrl import run_backtest

cfg = {
  "run_tag": "demo", "seed": 42, "steps": 500, "output_dir": "results",
  "agent": {"spread": 0.1, "inventory_sensitivity": 0.05},
  "market": {"ou_enabled": True, "ou": {"mu": 100, "kappa": 0.05, "sigma": 0.5, "dt": 1.0},
              "vol_regime": {"enabled": True, "high_sigma_scale": 3.0, "switch_prob": 0.02}},
  "execution": {"base_arrival_rate": 1.0, "alpha": 1.5},
  "fees": {"fee_bps": 1.0, "slippage_bps": 2.0, "maker_bps": -0.5, "taker_bps": 1.0}
}
run_dir, metrics = run_backtest(cfg)
print(run_dir, metrics)

From source:

pip install -r requirements.txt

Colab Notebooks

• Quickstart

  

• Grid Search + Heatmaps

  

• RL vs Rule-Based

  

• Multi-asset & Replay

  

Multi-asset

• Configure under multi_asset in configs/inventory.yaml
• Run:

python3 experiments/evaluate_multi_asset.py
python3 analysis/plot_multi_asset.py results/.../multi_asset_history.csv

API

• Start stack:

docker compose up -d redis worker api mlflow
curl http://localhost:8000/health
curl http://localhost:8000/config/schema  # config JSON schema

• Submit jobs:

curl -X POST http://localhost:8000/backtest -H 'Content-Type: application/json' -d '{"steps": 200}'
curl -X POST http://localhost:8000/grid -H 'Content-Type: application/json' -d '{"execution": {"alpha_grid": [1.0, 1.5]}}'
curl http://localhost:8000/trades/<run_id>?limit=100
curl http://localhost:8000/runs/<run_dir_name>/artifacts
curl -L -o run.zip http://localhost:8000/runs/<run_dir_name>/download

Hyperparameter Optimization

python3 experiments/hyperopt.py

Notable features

• Multi-asset Gym wrapper with per-asset, per-level actions (offsets + sizes)
• Depth-aware agent placing quotes at multiple levels with regime-conditioned parameters
• DuckDB persistence of runs/metrics/trades and a /trades/{run_id} endpoint
• MLflow logging of params, metrics, artifacts with run IDs written per run
• CLI extras: mmrl fetch-data (CCXT sample), mmrl config-validate, mmrl config-schema

Roadmap

• Postgres-backed storage and public demo deployment
• Size-aware RL policy across multi-asset Gym env
• Notebooks + Colab badges for quick experimentation

Packaging

• Install from source or build wheel with python -m build (requires build).
• Optional extras:
  • mmrl[api] for FastAPI stack
  • mmrl[rl] for Gymnasium/SB3

Data utilities

• Fetch sample trades to Parquet:

python3 -m mmrl.cli fetch-data --exchange binance --symbol BTC/USDT --limit 1000 --out data/btcusdt.parquet