Order Book Simulator

PHASE 4

Price-time priority matching engine with manual and Poisson flow modes.

Planned capabilities

›Matching engine with limit, market and cancel orders, FIFO queues at each price level and partial fills.
›Manual mode: submit orders by hand and watch the book and event log update.
›Flow mode: Poisson arrivals for limits, markets and cancels with adjustable intensities and size distributions.
›Live depth ladder, cumulative depth chart, mid-price, spread and top-of-book imbalance series.
›Trade tape plus analytics: realised and effective spread, size histogram and price-impact scatter.
›CSV export of the complete event and trade history.

Data readiness

datasets available in the workspace.

Status

This module is scaffolded and wired into the workspace. It will be built out in phase 4, using the shared math library and the datasets you generate or upload.