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Market regimes is a popular topic in quantitative finance even though thereis little consensus on the details of how they should be defined. They arise asa feature both in financial market prediction problems and financial markettask performing problems.  In this work we use discrete event time multi-agent market simulation tofreely experiment in a reproducible and understandable environment whereregimes can be explicitly switched and enforced.  We introduce a novel stochastic process to model the fundamental valueperceived by market participants: Continuous-Time Markov Switching TrendingOrnstein-Uhlenbeck (CTMSTOU), which facilitates the study of trading policiesin regime switching markets.  We define the notion of regime-awareness for a trading agent as well andillustrate its importance through the study of different order placementstrategies in the context of order execution problems.

CTMSTOU driven markets: simulated environment for regime-awareness in trading policies