create_order_book: create_order_book

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

Description

Create an order book based on a continuous, stochastic, double auction.

Usage

create_order_book(
  start_price,
  price_limit,
  price_band,
  tick_size,
  market_sell,
  market_buy,
  bid_order_ratio,
  ask_order_ratio,
  cancel_bid,
  cancel_ask,
  n_events
)

Arguments

start_price	The starting price of the simulation.
price_limit	The maximum value the simulated price can attain.
price_band	The size of the interval around the current price within which new orders/prices will be generated.
tick_size	The minimum allowable price change.
market_sell	The arrival rate of market sell orders.
market_buy	The arrival rate of market buy orders.
bid_order_ratio	The ratio of limit bid orders to market bid orders.
ask_order_ratio	The ratio of limit ask orders to market ask orders.
cancel_bid	The cancel rate of limit bid orders.
cancel_ask	The cancel rate of limit ask orders.
n_events	The total number of trades to simulate.

Details

Given a starting price, orders (limit and market) are generated at random times using a Poisson distribution. Prices are generated within an interval around the current trading price.

Market orders are filled immediately. If insufficient market depth is available, a market maker will intervene. The market maker charges 5% above/below the current price if it has to intervene.

Limit orders are submitted, and some are cancelled randomly. The ratio of limit orders to market orders in controlled by bid_order_ratio and ask_order_ratio.

A minimum tick size can be specified. Order sizes are randomly generated - the sizes are multiples of a number specified in the config file.

The models assumes that the best bid is lower than the best ask: p_b < p_a. If no orders are present in the book, the next bid, b, will be uniformly chosen in (p - price_bandtick_size) <= b <= p, and the next ask will be placed in p <= a <= (p + price_bandtick_size),

Value

A list containing the full order book, the remaining bid and ask books and the generated price series.

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