README.md

In norwegianblueparrot/marketsimulatr: A Package For Simulating A Continuous-Time, Stochastic, Double Auction

marketsimulatr

The goal of marketsimulatr is to simulate a financial market with an active market maker. The package models a continuous, stochastic, double auction, where buyers and sellers randomly submit orders.

Market and limit orders are allowed. If market orders are submitted, and sufficient market depth is available, a weighted average price is calculated. If there is insufficient market depth to fill market orders, the market maker intervenes, and offers a price 5% above/below the current best bid/ask.

A more detailed explanation of the model is available in the vignette.

Installation

You can install marketsimulatr from GitHub with:

remotes::install_github("norwegianblueparrot/marketsimulatr")

Configuration

The simulator ships with three configurations (via the config package): default, test, and production. The configs are stored in config.yml. At the moment, the configs only change the number of days’ trading to simulate.

Reproducibility

The code comes bundled with a renv environment. To replicate my development environment, pull the source code from GitHub and run:

renv::restore()

Once you have installed the required packages you can run the code by building the source using:

devtools::load_all()

norwegianblueparrot/marketsimulatr documentation built on Dec. 22, 2021, 3:13 a.m.