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Simulator of a basic order book flow and order execution
This project forked from macosh/order_book
Simulator of a basic order book flow and order execution
WORK IN PROGRESS The aim of this project is to build a basic order book simulator. Classes include: order_class.py - which specifies attributes and methods of different types of orders: market order, limit order, etc. orderbook_class.py - which specifes attributes and methods of a 'price-time priority' order book given order types specified in order_class.py matching_engine_class.py - which specifies attributes and methods of a matching engine for order types specified in order_class.py order_generator.py - which aims to simulate a random flow of orders into an order book, with the goal of reflecting order dynamics throughout different market regimes price_history_db.py - which is a database of history or executed orders with all relevant order details - ultimately to be replaced by an SQL DB More classes controlling flow of data between existing classes is going to be build.
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