Simulated venue

The top-of-book matching model used in backtests.

Model

• The book for each instrument is the latest quote. There is no depth and no queue position.
• Displayed size is consumed: two orders cannot both take the same lots.
• Market orders fill at the touch, capped at the remaining touch size. IOC cancels the remainder; GTC keeps filling at the touch on later quotes. With no quote, a market order is rejected.
• A marketable limit order fills at the touch; a resting limit fills at its limit when a later quote crosses it.
• Reduce-only orders fill only up to the position they reduce.
• Commands arrive after a configurable latency and match against the book at arrival.
• Commission is the notional times a basis-point fee, rounded up.

Stated plainly

This model is simple on purpose so nobody mistakes it for more. Simulated results do not predict live results.