The situation
A futures trading framework built on CME market-by-order (MBO) data needed an independent review of its readiness for deployment.
The challenge
A framework can look robust on the one historical path that happened and still fail on another. The audit had to test how it behaves across many plausible paths, and whether the fills assumed in testing could happen in live markets.
What we built
- A 10,000-path Monte Carlo simulation of the framework’s trading results
- Stress tests of execution realism, checking that assumed fills are achievable
- A review of the adaptive drawdown controls and the account scaling logic
What was delivered
- A written assessment of where the framework holds up and where it does not
- Structural weaknesses identified and reported clearly
- A clearer basis for deciding whether the framework is ready for deployment
Stack
- Python
- Monte Carlo simulation
- CME MBO data