Skip to content

An Open-Source Limit-Order-Book Exchange for Teaching and Research

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Standard

An Open-Source Limit-Order-Book Exchange for Teaching and Research. / Cliff, Dave.

2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018): Proceedings of a meeting held 18-21 November 2018, Bangalore, India. ed. / Suresh Sundaram. Institute of Electrical and Electronics Engineers (IEEE), 2019. p. 1853-1860 8628760.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Harvard

Cliff, D 2019, An Open-Source Limit-Order-Book Exchange for Teaching and Research. in S Sundaram (ed.), 2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018): Proceedings of a meeting held 18-21 November 2018, Bangalore, India., 8628760, Institute of Electrical and Electronics Engineers (IEEE), pp. 1853-1860, 8th IEEE Symposium Series on Computational Intelligence, SSCI 2018, Bangalore, India, 18/11/18. https://doi.org/10.1109/SSCI.2018.8628760

APA

Cliff, D. (2019). An Open-Source Limit-Order-Book Exchange for Teaching and Research. In S. Sundaram (Ed.), 2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018): Proceedings of a meeting held 18-21 November 2018, Bangalore, India (pp. 1853-1860). [8628760] Institute of Electrical and Electronics Engineers (IEEE). https://doi.org/10.1109/SSCI.2018.8628760

Vancouver

Cliff D. An Open-Source Limit-Order-Book Exchange for Teaching and Research. In Sundaram S, editor, 2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018): Proceedings of a meeting held 18-21 November 2018, Bangalore, India. Institute of Electrical and Electronics Engineers (IEEE). 2019. p. 1853-1860. 8628760 https://doi.org/10.1109/SSCI.2018.8628760

Author

Cliff, Dave. / An Open-Source Limit-Order-Book Exchange for Teaching and Research. 2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018): Proceedings of a meeting held 18-21 November 2018, Bangalore, India. editor / Suresh Sundaram. Institute of Electrical and Electronics Engineers (IEEE), 2019. pp. 1853-1860

Bibtex

@inproceedings{36ad48a7c3e14810b9fa86940594973f,
title = "An Open-Source Limit-Order-Book Exchange for Teaching and Research",
abstract = "Many of the world’s major financial markets are electronic, in the sense that all communication among traders and internal record-keeping at exchanges is entirely mediated and executed by digital computer systems and associated communications networks; and many such markets are also highly automated, in the sense that they are heavily populated by automatic algorithmic trading system which have largely replaced human traders at the point of execution in many spot markets. This has created significant demand for people skilled in writing and managing algorithmic trading systems. To provide a complete education and training in this field it is highly desirable to allow students/trainees to study the operation of their own algorithmic trading systems running live on a real financial exchange, interacting dynamically with other automated traders. This paper describes the Bristol Stock Exchange (BSE), a simulator designed and developed to meet that need. BSE provides a full implementation of the Limit Order Book (LOB) at the heart of modern financial exchanges, and includes reference implementations of several well-known leading algorithmic trading systems. BSE allows users to submit a variety of order-types including market, limit, fill-or-kill, time-to-live, immediate-or-cancel, iceberg; orders for specific actions at market-open and market-close; and linked pairs of contingent orders. BSE can be configured to allow empirical studies of issues in order routing between multiple exchanges and the performance of cross-market arbitrage trading algorithms. BSE also has provision for varying the exchange’s fee structure, including implementing maker-taker and taker-maker pricing models, The Python source-code for BSE, which has been under ongoing development and extension since 2012, along with extensive documentation, is freely available on the GitHub online public repository, and can be used as a public-domain platform for teaching and research.",
keywords = "Algorithmic Trading, Financial Engineering, Financial Markets, Limit Order Book, Market Simulator, Simulation for education training, Trading Technology",
author = "Dave Cliff",
year = "2019",
month = "1",
day = "31",
doi = "10.1109/SSCI.2018.8628760",
language = "English",
isbn = "9781538692776",
pages = "1853--1860",
editor = "Suresh Sundaram",
booktitle = "2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018)",
publisher = "Institute of Electrical and Electronics Engineers (IEEE)",
address = "United States",

}

RIS - suitable for import to EndNote

TY - GEN

T1 - An Open-Source Limit-Order-Book Exchange for Teaching and Research

AU - Cliff, Dave

PY - 2019/1/31

Y1 - 2019/1/31

N2 - Many of the world’s major financial markets are electronic, in the sense that all communication among traders and internal record-keeping at exchanges is entirely mediated and executed by digital computer systems and associated communications networks; and many such markets are also highly automated, in the sense that they are heavily populated by automatic algorithmic trading system which have largely replaced human traders at the point of execution in many spot markets. This has created significant demand for people skilled in writing and managing algorithmic trading systems. To provide a complete education and training in this field it is highly desirable to allow students/trainees to study the operation of their own algorithmic trading systems running live on a real financial exchange, interacting dynamically with other automated traders. This paper describes the Bristol Stock Exchange (BSE), a simulator designed and developed to meet that need. BSE provides a full implementation of the Limit Order Book (LOB) at the heart of modern financial exchanges, and includes reference implementations of several well-known leading algorithmic trading systems. BSE allows users to submit a variety of order-types including market, limit, fill-or-kill, time-to-live, immediate-or-cancel, iceberg; orders for specific actions at market-open and market-close; and linked pairs of contingent orders. BSE can be configured to allow empirical studies of issues in order routing between multiple exchanges and the performance of cross-market arbitrage trading algorithms. BSE also has provision for varying the exchange’s fee structure, including implementing maker-taker and taker-maker pricing models, The Python source-code for BSE, which has been under ongoing development and extension since 2012, along with extensive documentation, is freely available on the GitHub online public repository, and can be used as a public-domain platform for teaching and research.

AB - Many of the world’s major financial markets are electronic, in the sense that all communication among traders and internal record-keeping at exchanges is entirely mediated and executed by digital computer systems and associated communications networks; and many such markets are also highly automated, in the sense that they are heavily populated by automatic algorithmic trading system which have largely replaced human traders at the point of execution in many spot markets. This has created significant demand for people skilled in writing and managing algorithmic trading systems. To provide a complete education and training in this field it is highly desirable to allow students/trainees to study the operation of their own algorithmic trading systems running live on a real financial exchange, interacting dynamically with other automated traders. This paper describes the Bristol Stock Exchange (BSE), a simulator designed and developed to meet that need. BSE provides a full implementation of the Limit Order Book (LOB) at the heart of modern financial exchanges, and includes reference implementations of several well-known leading algorithmic trading systems. BSE allows users to submit a variety of order-types including market, limit, fill-or-kill, time-to-live, immediate-or-cancel, iceberg; orders for specific actions at market-open and market-close; and linked pairs of contingent orders. BSE can be configured to allow empirical studies of issues in order routing between multiple exchanges and the performance of cross-market arbitrage trading algorithms. BSE also has provision for varying the exchange’s fee structure, including implementing maker-taker and taker-maker pricing models, The Python source-code for BSE, which has been under ongoing development and extension since 2012, along with extensive documentation, is freely available on the GitHub online public repository, and can be used as a public-domain platform for teaching and research.

KW - Algorithmic Trading

KW - Financial Engineering

KW - Financial Markets

KW - Limit Order Book

KW - Market Simulator

KW - Simulation for education training

KW - Trading Technology

UR - http://www.scopus.com/inward/record.url?scp=85062797806&partnerID=8YFLogxK

U2 - 10.1109/SSCI.2018.8628760

DO - 10.1109/SSCI.2018.8628760

M3 - Conference contribution

SN - 9781538692776

SP - 1853

EP - 1860

BT - 2018 IEEE Symposium Series on Computational Intelligence (SSCI 2018)

A2 - Sundaram, Suresh

PB - Institute of Electrical and Electronics Engineers (IEEE)

ER -