Order book simulation

(a naive artificial stock market)

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

The author wishes to acknowledge the following in the creation of this submission:
Scrolling display, The Object of My Callback

• MATLAB release: MATLAB 7.7 (R2008b)