Order book simulation

(a naive artificial stock market)

You are now following this Submission

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 (2026). Order book simulation (https://www.mathworks.com/matlabcentral/fileexchange/23514-order-book-simulation), MATLAB Central File Exchange. Retrieved .

Acknowledgements

Inspired by: Scrolling display, The Object of My Callback

General Information

MATLAB Release Compatibility

  • Compatible with any release

Platform Compatibility

  • Windows
  • macOS
  • Linux
Version Published Release Notes Action
1.0.0.0

BSD