Book Reconstruction
A simulator can only replay the state represented by its data. L1, L2, and L3 inputs support progressively stronger but still venue-specific conclusions.
Central questions
- Which order-book invariants are checked after every event?
- How do snapshots join the incremental stream?
- Which hidden or implied liquidity remains unobserved?
Planned model
Reconstruct the same interval from L1, L2, and L3 feeds and compare executable depth, queue knowledge, and simulated fill claims.