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.
When I tried to run OrderBookDemo.m I encountered the following error message:
The class Settings has no Constant property or Static method named 'TraderPeriod'.
Does anyone can help on this problem?
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.