MARRESStart from an observed book
The AAPL pilot starts from a historical snapshot. Each world begins with the same configuration, so differences between runs can be examined on a common footing.
HOW IT WORKS
See the liquidity behind the spread
Flowshock simulates trading in an order book. Follow a price move, inspect the shares available to buy or sell, and compare that same minute with the historical market.
See the one-cent spread example ↓10:05 NY16:00 NY
━━ Historical━━ Three sample worlds
Simulate the orders behind the price
In Flowshock, simulated traders place orders into a shared book with finite buying power and inventory. As orders arrive, trade or are cancelled, the best quotes and the size available at each price change together. That lets you trace a price move back to the liquidity available at the time.
Let trading shape depth
A quote can stay in place while the shares behind it disappear. Follow both sides of the book to see whether liquidity holds as trading unfolds.
Check against history
After warm-up, compare each world with the observed market at the same minute and across the same price levels. Then check how often shallow books occurred over the session.
What can the order book tell you about liquidity?
Start with a quote, follow depth through the day, then compare each simulated world with the observed session.
INSIDE THE ORDER BOOK
What sits behind the best quote?
At 12:25 New York time, the simulated spread was one cent and the historical spread was two. Yet across ten levels per side, the simulated book held 93% fewer shares — 599 versus 8,116. Move the slider to see where that difference appears.
ACROSS THE SESSION
When does liquidity thin?
Switch worlds to see how depth changes. Amber dots mark snapshots below that world’s 10th-percentile depth, calculated from the one-minute sample.
How to interpret the comparison
Each world uses the same configuration and a different random seed. A similar distribution of depth can still hide differences in when liquidity disappears.
10:05 NY15:55 NY
Five-minute preview · ten levels per sideHISTORICAL BENCHMARK
How much depth was typical?
A thin minute can be an exception. Compare median depth over the measured session to see whether each world usually held as much stock near the quotes as the historical book.
Inspect the distributions →Historical8,488 shares
World 11,174 shares
World 21,310 shares
World 31,396 shares
HISTORICAL FIT
How closely does a world match the observed day?
Flowshock compares prices, depth and returns over the same trading window. Choose the measure that matters to your analysis. A world can track historical prices closely while offering much less liquidity.
Compare the three sample worlds →| Measure | Distance |
|---|---|
| Midpoint price | 1.64 USD |
| Displayed depth | 7,761 shares |
| One-second returns | 0.0578 bps |