Learn Algorithmic Trading

MarketSimulator class

The MarketSimulator class is central in validating your trading strategy. You will use this class to fix the market assumptions. For instance, you can indicate the rejection rate and which type of orders can be accepted, and you can set the trading rules belonging to the exchange you are targeting. In our example, the market simulator acknowledges and fills all new orders.

When creating this class, the constructor will have two channels. One will get input from the order manager and the other will give the response back to the order manager:

class MarketSimulator:     def __init__(self, om_2_gw=None,gw_2_om=None):         self.orders = []         self.om_2_gw = om_2_gw         self.gw_2_om = gw_2_om

The lookup_orders function will help to look ...