Crypto Market Microstructure Platform

Timeline

May 2026 – present

Role

Solo builder

Stack

Python, WebSockets, Parquet, mypy, pytest

Links

GitHub

Solo production-grade capture of Kraken and Coinbase order books at 1s resolution: WebSocket ingestion, validation, microstructure features, realistic backtester. The headline result is a negative one. Retail taker fees swamp sub-basis-point spreads by ~1000×. And that's the point.