Microstructure development guide

Language: English · 简体中文

This page describes the current public code under packages/microstructure and its local test entry point. Strategy research, real market data, and production runtime configuration are outside this public package.

Code layout

Path	Responsibility
packages/microstructure/src/ticknet/eventstream/	Event-stream packing, datasets and windows, models, training, and evaluation
packages/microstructure/src/ticknet/simulator/	Synthetic event generation, order-book matching, replay, ordering, and impact analysis
packages/microstructure/rust/	Optional PyO3 extension for order-book matching, batch replay, and event ordering
tests/microstructure/	Deterministic and synthetic-data tests for these public components

Python is the default implementation and behavioral reference. To use the Rust backend, build its wheel separately and select the backend explicitly. See the optional Rust kernel guide.

Historical FI-2010 reproduction code remains under legacy/ and is not part of the default development path. Do not infer the current public API from archived guides or old entry points. Check pyproject.toml, packages/microstructure/src/ticknet/, and the relevant tests.

Local checks

From the repository root, install the locked development dependencies and run the focused tests:

uv sync --locked --all-groups --extra microstructure
uv run --locked pytest tests/microstructure -q

See the development and testing guide for repository-wide quality checks, strict type checking, and CI gates. Rust parity tests are skipped in a regular Python environment when the extension is not installed. The Rust guide documents how to build the extension and require those tests.