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PythonMatchingEngine
Github Repo
by Surbeivol
Tags
high frequency tradingmarket simulationmatching engineorder bookspython
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for market microstructure and execution. Specialist prerequisites vary by resource.
Before you read
- Order Books
Read bid, ask, depth and queue-based market state.
- Order Flow and Adverse Selection
Understand why fills and order flow can carry information.
Go further
- Market Impact
Connect trading speed and size to execution cost.
- Implementation Shortfall
Measure execution relative to the decision price.
Explore a related reading path
- Market making and execution
Learn the trading state and execution trade-off before evaluating reinforcement-learning market makers.