SIMULOB - A simulator for order-driven markets

Overview

The project consists in the implementation of a simulator of a Limit Order Book (https://www.investopedia.com/terms/o/order-book.asp). Prices are reported as integers, so you might think of 10^-2 US$ as the unit of accounting: a reported price of 100 amounts to 1US$. The unit of volumes can be assumed to be the number of shares.

Orders arrive to the trading venue following a two-dimensional Hawkes process (https://mathworld.wolfram.com/HawkesProcess.html). The simulation of the two-dimensional Hawkes process is done via Ogata's thinning algorithm.

The user interface is implemented in a way that the user can send orders from the console, hence dynamically affecting the state of the Limit Order Book.

Notes: Construction and compilation utilize Make, and c++17 is set as standard. The GUI utilizes ncurses.

Make

This project uses Make. The Makefile has four targets:

• build compiles the source code and generates an executable

• format applies ClangFormat to style the source code

• debug compiles the source code and generates an executable, including debugging symbols

• clean deletes the build/ directory, including all of the build artifacts

Notice that the file ./CMakeList sets c++17 as standard.

Build instructions

Make sure that ncurses is installed and available. If not installed, a one-line fixer could be sudo apt-get install libncurses5-dev libncursesw5-dev. Make sure that you can compile with the flag -std++17. Recommended compiler is g++ version 8 or later. From the command line, navigate to the current directory, i.e. simulob/. Then, type make build. The executable lob will be created in the directory ./build/.

User commands

When the simulator is running, the user can submit Ask orders, submit Bid orders, interrupt the simulation:

• Submission of Ask orders. The format of the command is a [price level] [size]. For example, type a 100000 50 and press enter to submit an ask limit order for 50 shares at a price not smaller than $1000.00 per share.

• Submission of Bid orders. The format of the command is b [price level] [size]. For example, type b 95000 50 and press enter to submit a bid limit order for 50 shares at a price not larger than $950.00 per share.

• Interrupt simulation. Press F1.