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Backtest Market Making (Read 37118 times)
ManInMoon
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Backtest Market Making
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
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Algo Designer
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Re: Backtest Market Making
Reply #1 - 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.
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