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Order book simulation

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(a naive artificial stock market)

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Description

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.

Acknowledgements

Scrolling Display and The Object Of My Callback inspired this file.

MATLAB release MATLAB 7.7 (R2008b)
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Comments and Ratings (1)
20 May 2013 Mirko

my virusscanner alarmed me about a possible Virus in the pdf document and in a temp file creaded from the pdf.

Please check the pdf before you open it.

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