Order book simulation

Versione 1.0.0.0 (33,1 KB) da Dimitri Shvorob
(a naive artificial stock market)
3.0
(2)
3,5K download
Aggiornato 4 apr 2016

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Submission presents a set of classes that can be used to simulate operation of an exchange order book allowing market and limit orders. My focus has been on overall design - as adapted to Matlab - and a few implementation details have been skipped; notably, limit orders are not crossed with one another.
Please see the included PDF and run OrderBookDemo.m to test the code. A ‘live’ price-volume chart will appear and run for one minute; once the simulation concludes, you can inspect order and trade histories by examining active objects. You will need to re-start Matlab to re-run the simulation.

Cita come

Dimitri Shvorob (2024). Order book simulation (https://www.mathworks.com/matlabcentral/fileexchange/23514-order-book-simulation), MATLAB Central File Exchange. Recuperato .

Compatibilità della release di MATLAB
Creato con R2008b
Compatibile con qualsiasi release
Compatibilità della piattaforma
Windows macOS Linux
Categorie
Scopri di più su Transaction Cost Analysis in Help Center e MATLAB Answers
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Ispirato da: Scrolling display, The Object of My Callback

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Order Book/

Versione Pubblicato Note della release
1.0.0.0

BSD