Abstract: A system and apparatus generates trading algorithms as data feeds. These data feeds are derived from market data feeds from electronic trading platforms. Functions of invention include the generation of the feeds as market microstructure analytics, trading algorithm building blocks, market behavior and risk estimates that are synchronized with underlying market data feeds. The invention incorporates utilities for agent-driven simulation of multiple electronic markets, and real-time testing and calibration of trading strategies. By delivering critical market dynamics that have not been available so far to market participants, the invention is projected to cut the cost of designing, implementing, and validating trading strategies while also increasing trading performance significantly. The invention will have an equalizing effect on trading by enabling retail investors to remain competitive with high speed traders.