  In a financial exchange, market impact is a measure of the price change of an
asset following a transaction. This is an important element of market
microstructure, which determines the behaviour of the market following a trade.
In this paper, we first provide a discussion on the market impact observed in
the BTC/USD Futures market, then we present a novel multi-agent market
simulation that can follow an underlying price series, whilst maintaining the
ability to reproduce the market impact observed in the market in an explainable
manner. This simulation of the financial exchange allows the model to interact
realistically with market participants, helping its users better estimate
market slippage as well as the knock-on consequences of their market actions.
In turn, it allows various stakeholders such as industrial practitioners,
governments and regulators to test their market hypotheses, without deploying
capital or destabilising the system.
