Stock Exchange Simulator

, ,
1

Imported from previous forum

2

Hi all,
i am trying to implement a StockExchange simulator in order to learn:

  • FIX protocol
  • Order Management System
  • Algo Trading

It’s a big project… and at the moment i am stuck with Order Management System.
I was wondering if anyone could suggest me a decent algorithm for processing orders… or if anyone could send me some links so that i can learn more about the subject.

w/kindest regards
Marco

3

Hi all,
i am trying to implement a StockExchange simulator in order to learn:

  • FIX protocol
  • Order Management System
  • Algo Trading

It’s a big project… and at the moment i am stuck with Order Management System.
I was wondering if anyone could suggest me a decent algorithm for processing orders… or if anyone could send me some links so that i can learn more about the subject.

w/kindest regards
Marco

There is a good post on this here http://fixprotocol.org/discuss/read/243e366e

There are also some books available that you may find useful. “Trading and Exchanges: Market Microstructure for Practitioners” and “Algorithmic Trading and DMA: An introduction to direct access trading strategies” are just two. There are many others.