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Exchange simulator (SIM) is the main component of Allied Testing’s Trading Support Services, which support users of automated trading systems. SIM is:
A data-driven ‘replayer’ of detailed, historical trading activity on major stock exchanges &
A ‘simulator’ of market reactions, generating new market activity and counter-flow in response to non-historic, user-generated orders.
SIM helps algo, stat-arb and other systems-based traders test their intraday trading algorithms and strategies. It provides a convenient way of running and re-running strategies, using historical market data.
ompeting roducts
Leading stock exchanges and one or two commercial vendors offer facilities or tools that allow users to test trading algorithms, strategies and systems but under restricted conditions that offer neither a realistic simulation of a liquid market nor the ability to replay and interact with historical trading activity.
Competing products ‘emulate’ the rules of an exchange: they are, in essence, an emulator box containing the mechanical rules of the exchange + an empty order book. Users can test whether their orders will be executed by that exchange, in accordance with its rules.
SIM goes further and simulates the behaviour of a stock’s trading behaviour on an exchange: in addition to an emulator box, it comprises historical flow data, user-generated flows and model generated flows. Users can test both whether their orders will be executed and how they will be executed.
nique eatures
In ‘playback mode’ SIM replicates precisely the historical record of activity on an exchange over a period of time and this can be repeated any number of times, at normal and accelerated speed
In addition, SIM in ‘simulation mode’ produces realistic, simulated counter-flows, in response to user-generated submissions, cancellations and trades
Strategies can be run on SIM either ‘deterministically’ (the same strategy always produces the same results, which is useful for replaying and identifying problems) or stochastically (the same strategy, run multiple times produces a distribution of results)
Models are tuned at the level of individual stock behaviour
Users can replay and interact with historical order books, not just market data snapshots
SIM can use historical exchange transaction files
It can use generic market data (trades and snapshots) to recreate flows and historical order books using a proprietary orderbook reconstruction technique.
SIM offers a variety of interfaces for convenient plug-in to algo-trading environments, including FIX for integration into existing algo-trading frameworks or COM for linking to Rapid application development environments such as Excel and VB. It also provides a number of ways of publishing market data
Users can trade multiple stocks or baskets of stocks, in real time or asap mode
xchanges upported
SIM supports LSE (SETS), EuroNext, Xetra, OMX, Milan, and Madrid exchanges, and allows end users to easily configure it to support arbitrary exchanges. SIM also provides a highly configurable file, which enables users to specify trading phases including accumulation, opening auction, intraday auctions, closing auction, continuous trading, trading at last, etc.; supported order types and validity conditions; and any differences in matching rules in auctions.
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