Order book simulation

Version 1.0.0.0 (33.1 KB) by Dimitri Shvorob
(a naive artificial stock market)
3.0
(2)
3.5K Downloads
Updated 4 Apr 2016

View License

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.

Cite As

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

MATLAB Release Compatibility
Created with R2008b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Categories
Find more on Transaction Cost Analysis in Help Center and MATLAB Answers
Acknowledgements

Inspired by: Scrolling display, The Object of My Callback

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Order Book/

Version Published Release Notes
1.0.0.0

BSD