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naz
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Standard ways of simulating orderbooksorder books

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naz
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  • 10

Standard ways of simulating orderbooks

What are some standard simple ways of simulating an order book? I have found this paper, but it is missing the implementation details. And more importantly, it appears that it ignores the size of the limit orders when it "sweeps" the orders.

I am interested in backtesting a strategy where the size of the limit orders that I place into the order book - matter.

Any pointers would be highly appreciated.