kdbx-modules

A collection of custom modules for KDB-X.

Modules

Module	Description	Status
di.simtick	Realistic intraday tick data simulator with configurable market microstructure	✅ Ready
di.simcalendar	Multi-day tick simulation over a trading calendar	✅ Ready
di.simorder	Order execution simulator - generates a parent order + child executions against di.simtick market data, for TCA demos	✅ Ready
di.simbasket	Multi-instrument correlated tick simulation using a factor model	🚧 In progress
di.simbook	L2 order book simulator	🚧 In progress

Module hierarchy

simtick ← simcalendar ← simbasket
simtick ← simorder                   (order execution against a single day's market)
simbook                              ← standalone (future: integration with simcalendar)

simtick is the atomic unit — one instrument, one day. Each layer above it adds a dimension: multiple days (simcalendar), multiple instruments (simbasket), or a parent order worked against that day's market (simorder). simbook is a separate bottom-up simulator that models individual order flow events rather than deriving quotes from a price process.

Together, simtick + simorder generate the four datasets (trades, quotes, orders, executions) needed to build Transaction Cost Analysis (TCA) — realistic market data plus a realistic, internally consistent order trading against it, with configurable execution quality for good-vs-bad comparisons.

Quick Start

git clone https://github.com/youruser/kdbx-modules.git
cd kdbx-modules
make repl

q)simtick:use`di.simtick
q)simcalendar:use`di.simcalendar
q)simorder:use`di.simorder

Installation

Option 1: Command line (Makefile)

cd kdbx-modules
make repl

Option 2: Manual QPATH

export QPATH=$QPATH:/path/to/kdbx-modules
q

Option 3: VS Code

After connecting to q, add the module path:

.Q.m.SP,:enlist"/path/to/kdbx-modules"

Then load modules:

simcalendar:use`di.simcalendar

Project Structure

kdbx-modules/
├── Makefile
├── README.md
└── di/
    ├── simtick/           # 1 instrument, 1 day (atomic unit)
    │   ├── init.q
    │   ├── presets.csv
    │   ├── test.csv
    │   └── README.md
    ├── simcalendar/       # 1 instrument, N days (uses di.simtick)
    │   ├── init.q
    │   ├── calendar.csv
    │   └── README.md
    ├── simorder/          # 1 order, 1 day (uses di.simtick's trades/quotes)
    │   ├── init.q
    │   ├── presets.csv
    │   ├── test.csv
    │   ├── testing.q
    │   └── README.md
    ├── simbasket/         # M instruments, N days (uses di.simcalendar) [WIP]
    │   ├── init.q
    │   └── README.md
    └── simbook/           # L2 order book simulator, Gillespie algorithm [WIP]
        ├── init.q
        └── README.md

Creating New Modules

Each module should follow the KDB-X module framework and include:

• init.q — Module code
• test.csv — Unit tests (k4unit format)
• README.md — Documentation

License

MIT