I am finishing the implementation of a limit order book for modeling NASDAQ. The order book works off of the ITCH feed. My question is what techniques are typically used for testing order books. I am considering two methods primarily.
- Build a canned set of messages to test the functionality and test possible edge cases.
- Push large amounts of data through it and see if anything breaks.
I am also curious if there are any thoughts on validating the state of the book at any moment in time. I was thinking of using the L1 feed to at least validate that the top of book quotes are the correct prices and sizes.
Note: Please don't suggest things like unit testing. I am specifically interested in techniques specific to order books.