SYSTEM, APPARATUS AND METHODS FOR OBSERVING, INTERACTING WITH AND TESTING A VIRTUAL MARKET

摘要

An apparatus and method for modeling, interacting with and testing market behavior has a system defining a virtual market that may be used to study and test algorithmic trading and market behavior at the microstructure level. The system may use real data and time sequences and features a trading mechanism implemented by a database server, an information center, client computers and a matching engine through which a live stream of orders is matched against a static historical stream of orders. In one embodiment, the system uses real servers on a real network with inherent latency.

主权项

1. A simulation apparatus, comprising:
a source of a stream of digital market data from a trading market for items for a time period T, including data identifying the items and associated price data, the stream of data defining a portion of a dynamic virtual market; a user computer capable of receiving the digital market data from the source of digital market data and displaying at least a portion of the data to a user on the user computer, the user computer capable displaying a graphical user interface for receiving input from the user defining orders for items on the virtual market based upon order data entered by a user into the user computer; a matching engine capable of receiving the orders for items entered by the user and fulfilling orders from the virtual market, the matching engine changing the market data to reflect the fulfillment of the order, the user computer capable of displaying at least a portion of the changed market data to the user, the user activity and the matching engine comprising other portions of the virtual market.