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Order book simulation

version 1.0 (33.1 KB) by

(a naive artificial stock market)

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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.

Comments and Ratings (4)

ben

ben (view profile)

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?

Wang Shiran

Mirko

Mirko (view profile)

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.

Updates

1.0

BSD

MATLAB Release
MATLAB 7.7 (R2008b)
Acknowledgements

Inspired by: Scrolling display, The Object of My Callback

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