CROSSBOOK
Launch App
Platform

Market data

How prices, candles, depth and prints are generated, and why they are deterministic.

The simulation is deterministic: price is a pure function of symbol and timestamp. Two components asking for the same instant always agree, and a refresh continues the same market instead of inventing a new one.

Why deterministic

  • The chart, the order book, the tape and the portfolio all read the same function, so they cannot disagree.
  • A reload does not reset the market. Your resting order still makes sense against the price history that produced it.
  • Passive fills can be computed from the tape between two instants, which is what makes a resting order behave plausibly while a tab is closed.

How prices are generated

The generator is fractal value noise over the log price: several octaves, from a thirty-day period down to three seconds, scaled by each market's configured volatility and anchored to a reference price. That yields a continuous series with plausible structure at every timeframe the chart can show.

Shape of the generator
price(symbol, t) = anchor(symbol) × exp(volatility(symbol) × Σ octaves)

octave periods: 30d, 5d, 1d, 4h, 1h, 15m, 5m, 1m, 12s, 3s

Derived series

  • Candles — sampled from the price function across each interval; the newest candle is partial and tracks the live price.
  • 24h statistics — high, low, open and volume computed over a rolling window, bucketed by the minute so the readouts move without being recomputed continuously.
  • Order book — levels built around the current mid, with a spread and a size profile that thins at the touch, thickens with distance and occasionally posts a larger level.
  • Tape — prints placed in time slots, with side biased by recent drift so the tape agrees with the chart.

Sessions and liquidity

The simulation reads the US equity session in New York time and scales liquidity accordingly: depth thins and spreads widen pre-market, after hours, overnight and at the weekend. The book itself never closes.

What production data would require

  • A licensed feed for reference prices, with the entitlements that implies.
  • Book state derived from the chain rather than generated, with an indexer for history.
  • Publicly reconstructible candles, so a chart can be verified against chain state.

The interface reads all of this through one adapter, so replacing the simulation is a matter of implementing that interface — see Architecture.