How the simulator works
What the synthetic market models, and what it cannot tell you. · 6 min
Every chart in the simulator is generated. It is not real market data, it is not based on any real instrument, and nothing in it predicts how real markets will behave. It exists to practise the arithmetic of trading under realistic uncertainty.
The model
- Prices move in log space, so they stay positive and moves scale with price. Every price is rounded to the instrument's tick size.
- Fat-tailed shocks come from a Student-t distribution rescaled to unit variance.
- Volatility clustering comes from a GARCH(1,1) process: each shock feeds the next minute's variance, which decays back toward its long-run level.
- Regimes (uptrend, downtrend, range, high volatility, crisis, recovery) switch at session opens following a Markov chain. Each has its own drift, volatility and volume level; ranges mean-revert toward the price where they began.
- Sessions last 6.5 hours with a U-shaped intraday pattern (busier at the open and close) and an overnight gap carrying part of each day's variance. The 24/7 market has no gaps.
- Shocks: rare random jumps, plus scheduled events such as earnings gaps and flash crashes whose effect partly fades with a set half-life.
- Volume follows the intraday U-shape and rises with volatility, with the size of each move and after shocks.
- Candles: every 1-minute bar is built from a sub-minute path, so highs and lows are real path extremes. Every other timeframe is aggregated from the same 1-minute bars, so 5-minute, hourly, daily and weekly charts always agree.
No peeking
The generator is a stream: the next bar does not exist until you reveal it. Indicators use only past candles, and the regime the market was in is shown only after you review the round.
Reproducible
A market and a seed fully determine the chart, so you can share a round or replay it. Each part of the model has its own random stream, so changing one knob in the scenario lab leaves the others' randomness untouched.
What it leaves out
Order books, bid-ask spreads that widen in stress, liquidity that disappears, correlations between assets, news, and the behaviour of other traders. Real markets are not stationary and not generated by any simple model. Treat what you learn here as arithmetic and discipline, not as a pattern to expect in real prices.