I've implemented a simple trading system that gets orders with FIX, manage them in limit order books, calculate relative prices and, execute order book, runs multiple sessions (auctions and normal) by variety of order types. now I want to test it with an accountable data

my need is to have a time series of order & their last status or execution reports.

any one can help? Thanks in advance


I am also looking for the same kind of information in order to evaluate mechanisms for double auction. So far, I found the following two sources:

  • The TORQ database - a database of all data related to a random sample of 144 companies from NYSE, for the dates 1990-11-01 to 1991-01-31. In contrast to other databases, it includes not only prices but also buy and sell orders. Unfortunately it is in old DOS format, so you'll need a tool such as DosBox to handle it.

  • SIRCA has a database of Australian Equities Tick History since 1991. It contains "Every bid and ask order, every trade, including the volume of each order and executed trade...". Unfortunately, it is open only to members (I am not sure how you can become a member).


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