marketsim

Marketsim

Marketsim is a library to aid in simulation of a market. It allows you to create a market, add stocks to your market, submit limit orders to the market, and then keep track of the execution of trades that occur if they can be facilitated by the prices and quantities set in the limit orders. The bid/ask spread for the stock will be updated according to the outstanding orders on the order book.

(This is a work in progress and only supports limit orders at the moment)

Installation

The easiest way to install marketsim is to run go get github.com/dob/marketsim.

Usage

To use marketsim, you first have to instantiate a market and add at least one stock to it.

import ms "github.com/dob/marketsim"

var market *ms.Market = ms.NewMarket()

// Add a stock or two.
// Lets add a symbols called AMZN and TSLA starting with the default price
market.Stocks[ms.StockSymbol("AMZN")] = &ms.Stock{ms.StockSymbol("AMZN"), "Amazon", ms.StartingPrice}
market.Stocks[ms.StockSymbol("TSLA")] = &ms.Stock{ms.StockSymbol("TSLA"), "Tesla", ms.StartingPrice}

Marketsim currently supports limit orders. Lets submit a few 100 share limit orders for AMZN.

buyOrder := &ms.Order{"AMZN", ms.BuyOrderType, ms.LimitOrderType, 100, 645.20, ms.OrderStatusOpen}
sellOrder := &ms.Order{"AMZN", ms.SellOrderType, ms.LimitOrderType, 100, 646.10, ms.OrderStatusOpen}

market.ReceiveOrder(buyOrder)
market.ReceiveOrder(sellOrder)

Now we should have two orders on the OrderBook. You can check the price of the orders with

price := market.GetPriceForSymbol("AMZN")

fmt.Printf("Bid price: %v, Ask price: %v", price.Bid, price.Offer)

You can also print the market object directly which will print a nice tabled output of all prices on the market. fmt.println(market)

If an order comes in that crosses the spread, the market will process the order, update the order book, and prices accordingly.

crossSpreadOrder := ms.Order{"AMZN", ms.SellOrderType,
ms.LimitOrderType, 50, 645.20, ms.OrderStatusOpen}
market.ReceiveOrder(crossSpreadOrder)

// This order will cross the spread to the first submited sell order, and 50 shares will be taken off the OrderBook

Examples

Simple example

The first example reproduces the walkthrough in this readme. It's a simple demonstration of creating a market, adding some stocks, and submitting a couple orders.

cd cmd/marketsim/examples go build ./examples

Simple Example

Nasdaq with 100,000 random orders

The second example is more complex. It instantiates all the stocks on the Nasdaq, and begins generating orders randomly at first, and then within 5% of the current price range. Orders are processed as they enter the book. At the end it prints the entire market.

cd cmd/marketsim/examples go build ./examples -example=full

Full Nasdaq Simulation

To-Do

1. Support market orders and more sensible defaults.
2. Better error reporting