4 votes
Accepted

Standard ways of simulating order books

Nowadays (4 years after your question...), the best way to simulate orderbook dynamics is probably to implement the Queue Reactive model, from Huang, Weibing, C-A L, and Mathieu Rosenbaum. "...
lehalle's user avatar
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3 votes
Accepted

Exchange order matching system/core for local testing

I am not aware of any such service but simulating exchange behavior for backtest is very challenging given irregular order arrival and their impact and hidden orders. Even the paper trading service’s ...
quantinho's user avatar
  • 444
3 votes

Order Replacement Trade-off for a Market Maker

they are now plenty of academic resources to address the point of interacting with liquidity via limit orders: Stochastic control is the best way (it's optimal!) but you need a model of liquidity ...
lehalle's user avatar
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2 votes

Market Making Formulation

First of all, there is a more general version of Avellaneda-Stoikov here: Guéant, Olivier, C-A L., and Joaquin Fernandez-Tapia. "Dealing with the inventory risk: a solution to the market making ...
lehalle's user avatar
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1 vote

If a market maker wanted to avoid filling option orders from a specific account, what information could they use?

As you noted, when a market market provides liquidity on a particular exchange or executes orders for a retail broker they would not receive any client information. These fields are relevant when a ...
pyCthon's user avatar
  • 2,101
1 vote

Dealing with the Inventory Risk (Lehalle, Gueant, Tapia): Delta T parameter and actual order duration

you are right, the choice of $\Delta T$ is subtle, and as suggested by Joaquin, it is important to preserve the (relative) independence between the price formation process, that corresponds to the &...
lehalle's user avatar
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1 vote

What is the proportion of aggressive orders vs passive orders executed by different types of traders?

There is a partial answer to this question in Megarbane, Nicolas, Pamela Saliba, C-A L., and Mathieu Rosenbaum. "The behavior of high-frequency traders under different market stress scenarios&...
lehalle's user avatar
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