Exchange Simulation Environment

Simulate Market with Argo Matching Engine

Developers of trading applications normally require special order management and market data test connection or paper trading environment to utilize forward testing scenarios. Although many exchanges provide market simulation, real life market liquidity is not always present. Diagram above shows how we have used Argo Matching Engine to build a powerful simulation environment for CME. Now our customers who are writing automatic trading strategies with Argo Trading Platform and Argo Trading API can get the necessary mileage before going into production. To assist in realistic testing of automatic trading applications we have added a simulation of different network conditions and timings.

How Market Simulation Works

We have substituted Argo Matching Engine inbound FIX interface with CME iLink complaint module and used CME MDP 3.0 and FIX/FAST 2.0 protocols to publish market data. We have designed a special Argo Matching Engine plug-in module, Order Flow Simulation (OFS). OFS is responsible for converting market data coming from the exchange into buy and sell limit orders that are posted into Argo Matching Engine Order Book. Client orders are matched against OFS contra orders. If trade is made, the corresponding Execution Reports are sent back to the owners’ FIX sessions and OFS module gets notified as well. OFS keeps track of its orders in Matching Engine Order Book and adjusts total quantities on each price level as necessary, submitting new orders and/or canceling existing ones based on new market depth updates coming from the exchange.

Argo Matching Engine can be configured to load several OFS modules to simulate different markets. OFSs that can capture CME, ICE, MOEX, BitMEX are available.

Free One-Hour Design Session!

Please contact Argo SE to find out how you can use Argo Matching Engine to simulate your market.
Allow one of our experienced software engineers to discuss the project requirements with you or your team, and produce a candidate system architecture diagram along with a draft project plan.