image thumbnail

Order book simulation

version 1.0.0.0 (33.1 KB) by Dimitri Shvorob
(a naive artificial stock market)

3.4K Downloads

Updated 04 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 (2022). 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
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!