Simple Trading

Strategy 1 is a simple trading strategy where we task the model with buying and selling MSFT stock at predetermined times. We take Databento's market-by-price L10 data for MSFT. We then randomize the volume available at each price level to enforce correct synthetic-book reservation. If we schedule a trade for 10 shares and only 8 exist in the book, the model must only take 8. This caps the max volume available in the book.

The strategy tracks: Cash and MSFT position; Realized P&L using FIFO accounting; Unrealized P&L based on raw-book mid-prices; An equity curve and maximum drawdown; Synthetic-book statistics such as total size available and bid/ask VWAP post model trades.