Order book simulation

(a naive artificial stock market)
3,5K Downloads
Aktualisiert 4. Apr 2016

Lizenz anzeigen

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.

Zitieren als

Dimitri Shvorob (2026). Order book simulation (https://de.mathworks.com/matlabcentral/fileexchange/23514-order-book-simulation), MATLAB Central File Exchange. Abgerufen.

Kompatibilität der MATLAB-Version
Erstellt mit R2008b
Kompatibel mit allen Versionen
Plattform-Kompatibilität
Windows macOS Linux
Kategorien
Mehr zu Transaction Cost Analysis finden Sie in Help Center und MATLAB Answers
Quellenangaben

Inspiriert von: Scrolling display, The Object of My Callback

Version Veröffentlicht Versionshinweise
1.0.0.0

BSD