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Trading Strategies >> Research >> Backtest Market Making
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Message started by ManInMoon on 05/06/10 at 10:50:20

Title: Backtest Market Making
Post by ManInMoon on 05/06/10 at 10:50:20

Hi,

Does anybody have good idea as to how to simulate market making strategies for backtesting purposes?

In particular - how to simulate fills?

Moon

Title: Re: Backtest Market Making
Post by Algo Designer on 12/22/10 at 04:27:26

You would need an exchange simulator that can incorporate the external market data input and a few types trading agents representing market participants.