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Microalpha

Microalpha is an event-driven research platform for reproducible quantitative strategy development. The engine prioritises leakage-safety, deterministic execution, and rich analytics so researchers can iterate quickly without sacrificing rigor.

Why Microalpha?

  • Leakage-safe core: strict timestamp ordering, FIFO broker interactions, and lookahead guards.
  • Execution realism: TWAP/impact models and a configurable level-2 limit order book.
  • Reproducible pipelines: manifest metadata, trade logs, and automation-ready CLI.
  • Extensible design: users can plug in new strategies, data handlers, and execution layers.
  • Documentation-first: MkDocs site with invariants, manifests, API references, and runnable demos.

Quickstart

  1. Install the package

bash pip install microalpha # or, for local development pip install -e ".[dev]"

  1. Run the bundled mean-reversion backtest

bash microalpha run -c configs/meanrev.yaml

The CLI writes manifests, metrics, equity curves, and trade logs under artifacts/<run_id>/.

  1. Explore further

  2. Inspect leakage invariants in Leakage Safety.

  3. Review reproducibility workflows in Reproducibility.
  4. Extend components using the API Reference.
  5. Try the scenarios in Examples.

Use the navigation to dive into leakage guarantees, reproducibility tooling, API surfaces, and runnable examples.