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Limit Book Simulation

January 12, 2010

Michael Kearns and colleagues from Penn and UT did some interesting microstructure work years back with the Penn-Lehman Automated Trading (PLAT) and Penn Exchange Simulator (PXS) projects.

Having read these articles years ago, recent reference by etrading brought back memories.

Numerous of the following papers give readers a flavor of the challenge trading microstructure, with the state-of-the-art now miles beyond these undergrad papers:

Are any readers are familiar with an open source modern limit book exchange simulator (i.e. modern equivalent of PXS)? Fun weekend project would be to build up a few trading bots and compete against a Hasbrouck model.

5 Comments leave one →
  1. Justin permalink
    January 28, 2010 7:03 pm

    What do you mean by Hasbrouck model exactly? Can you give me reference? Thanks in advance.

    • quantivity permalink*
      January 29, 2010 2:30 am

      @Justin: Hasbrouck reference is to microstructure models surveyed in Empirical Market Microstructure, which is also included in How to Learn Algorithmic Trading: Part 3 post.

      • Justin permalink
        February 4, 2010 9:40 pm

        Thanks for the reply. I do have the book and I was wondering which model you were refering to in his book because it is a collection of many market microstructure models. Maybe it would be helpful if you can give me the original paper of Hasbrouck which discusses the model. Thanks again and I always enjoy reading your posting.

  2. Fiquant permalink
    June 20, 2010 8:15 am

    There is an open source project of simulation of an agent based limit order book, which is in its beginning steps.
    Here is its web page on sourceForge :


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