Crypto Trade Simulator

A high-performance crypto trade simulator for analyzing execution costs of large orders using real-time orderbook data.

Features

Real-time L2 Orderbook Data: Streams market depth data via WebSocket connection
Advanced Market Models: Implementations of slippage calculation, fee structure, market impact (Almgren-Chriss model), and maker/taker probability
Interactive UI: Adjust order parameters and see results in real-time
Visualizations: View the orderbook, cost breakdowns, and maker/taker probabilities

Clone the repository
Install dependencies:
```
npm install
```
Create a .env.local file in the root directory with the following content:
```
NEXT_PUBLIC_WS_URL=wss://ws.okx.com:8443/ws/v5/public
```

Start the development server:

npm run dev

Build the application:

npm run build

Slippage is calculated by walking the orderbook and determining the effective average execution price compared to the best available price.

Fees are calculated based on the exchange's tier structure, with different rates for maker and taker orders.

The market impact model is based on a simplified version of the Almgren-Chriss model:

Impact = σ * √(Q/V) * C

Where:

The probability of an order being executed as a maker order (vs. taker) is modeled using a logistic function based on order size:

P(maker) = 1 / (1 + e^((x-midpoint)/steepness))

Where:

The current implementation uses mock data for development purposes
For production use, replace the mock data with an actual WebSocket connection
The market impact model is a simplified version and may need calibration for specific markets

MIT