Order book simulation

版本 1.0.0.0 (33.1 KB) 作者: Dimitri Shvorob
(a naive artificial stock market)
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更新时间 2016/4/4

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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.

引用格式

Dimitri Shvorob (2024). Order book simulation (https://www.mathworks.com/matlabcentral/fileexchange/23514-order-book-simulation), MATLAB Central File Exchange. 检索时间: .

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Order Book/

版本 已发布 发行说明
1.0.0.0

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