All Questions
Tagged with orderbook backtesting
2 questions
1
vote
1
answer
1k
views
Backtest: Fast Reconstruction of Order Book using Order Creation/Completion Data in Python
I am looking for a quick way to reconstruct the order book at the time of each new limit order creation.
The data I have is order creation and completion:
OrderID
time_created
time_completed
price
a
...
- 11
1
vote
1
answer
177
views
Exchange order matching system/core for local testing
I am looking for a service that can be deployed locally or connected to it and would emulate the order matching system of exchange (a.k.a matching core).
I remember, that I have seen on GitHub repo, ...
- 221