About the Simulator

As briefly described in the Introduction section, MesoSim was purpose-built for option backtesting. To achieve outstanding performance, certain parts of the simulation are modeled in a simplified (coarse-grained) manner:

• Client - Broker interaction
• Broker enforcements
• Data Access

This does not mean, however, that our simulation became inaccurate:
We have spent much time finding the right abstraction without sacrificing simulation accuracy.

In MesoSim, we:

• Support multiple fill models and model slippage
• Take data from the most reliable source: the Chicago Board Options Exchange (CBOE)
• Ensure that the system has no data-snooping bias
  
• Calculate Reg-T margin to support position sizing
• Double-check religiously: both automatically (via unit and system tests) and manually

To validate our approach, we micro-analyzed and cross-checked over 100 backtests against other state-of-the-art simulators (such as OptionNet Explorer).

In the following few chapters, we will provide a detailed description of each technical function of MesoSim.