Design of a Simulated Order Book (stock market simulation)

This project is the design phase of a simulated order book of stock markets that are run using continuous auction. The simulated order book contains queued limit orders at differerent price levels, each with a time and a quantity and updates itself periodically using market quotes(total sizes of queued orders at each price level, plus trading volume). Each market quote may contain zero or more changes from the previous one and thus do not reveal the actual changes that took place. The goal of the simulation is to make best estimates. The queued orders can be simulated orders(orders generated by observing actual movements in the order book) or virtual orders(orders generated by a trading simulator). The simulated order book should respond to the following events or operations, *addition of orders *cancellation of orders *execution of orders(may include changes in trading price) Each of the above has effects on existing simulated or virtual orders. Virtual orders should be implemented in a way which preserves the total number of shares at each price level if possible. The suggestion is to split the order into 2 parts, each accounted for by decreasing the sizes of orders that are already queued at that price level and the ones that enter the price level(or neighbouring levels) at a later time. These approximations shouldn't lead to the execution of virtual orders that wouldn't have been executed. The ideal person for this task should have the following characteristics, *be available via instant messaging for a period during the night time of Japan(11-15 GMT) *has experience in writing design documentation *has basic knowledge about the stock market and how the order book works If you are experienced in Java programming as well, the subsequent development phase may also be handed over to you in another project. This is preferable to letting two different people handle the two phases. The expected time needed to carry out this task is about 4-6 hours. ## Deliverables Deliverables should contain the following, * brief description of required data structure * spreadsheet (OpenOffice or Excel) illustrating the changes in the simulated order book (down to individual queued orders) in response to external events or operations specified in the specs. Note that expressions should be used where possible, instead of numeric values. see attachment for an example and format * list of cases covered/supported * list of assumptions and approximations All deliverables will be considered "work made for hire" under the copyright laws of the US and other applicable jurisdictions. Buyer will receive exclusive and complete copyrights to all work purchased. ## Platform not applicable