D01-F05 guided lab · synthetic data

Price-Level Quantity Aggregation

Aggregation changes representation, not economics: visible orders are grouped by side and integer price, then an output window may hide deeper levels.

Scenario purpose

Decision boundary: It does not infer hidden quantity or aggregate across instruments, currencies, tick regimes, or venues.

State

Feed state sequenceFour labeled stages from provider input through validated state to a D11 handoff.inputvalidatestateoutput

Step
RuleQ(side, price) = sum of visible q_i for orders at that side and price
D11 handoffD11-F03-A02; D11-F04-A01; D11-F04-A02; D11-F04-A03

Current synthetic input