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seen Aug 10 '12 at 15:07

Aug
6
comment Limit order book size
I understand it's to simulate the exchange's matching engine, but the end result of the matching is trades being spit out by the engine. Won't you need to look at them to calibrate your version of the lob to the actual one?
Aug
6
comment Limit order book size
this might be a naive question but what is the reason behind writing a lob when you are never able to match trades with quotes with 100% certainty and so can't replicate reality?
Jul
11
awarded  Teacher
Jul
5
answered Matlab toolbox for IQFeeds