Monday, February 12, 2018

What techniques are used for testing order book implementations?


I am finishing the implementation of a limit order book for modeling NASDAQ. The order book works off of the ITCH feed. My question is what techniques are typically used for testing order books. I am considering two methods primarily.



  1. Build a canned set of messages to test the functionality and test possible edge cases.

  2. Push large amounts of data through it and see if anything breaks.


I am also curious if there are any thoughts on validating the state of the book at any moment in time. I was thinking of using the L1 feed to at least validate that the top of book quotes are the correct prices and sizes.


Note: Please don't suggest things like unit testing. I am specifically interested in techniques specific to order books.




No comments:

Post a Comment

technique - How credible is wikipedia?

I understand that this question relates more to wikipedia than it does writing but... If I was going to use wikipedia for a source for a res...