Market Strategy Engine: F# – Market Matching
In the last posting I provide some basic code for market matching (Order Book), and agent order submitting. One idea going round in my head is to use StreamInsight within my market to help with the OrderBook – obviously really 
I should then be able to have multiple agents submitting orders (Market Depth) to a market, with the market matching and returning trades to agents as appropriate. The would nearly tie into the originals of the Market Strategy Engine (MSE) Proof Of Concept (POC) which is where the whole StreamInsight late night coding started
History of the MSE POC:
- Version 1: Headless MSE leveraging StreamInsight run off CSV files
- Version 2: Headless MSE with an array of adapters heavily leveraging Rx
- Version 3: Version 2 with a WPF Prism UI
- Version 4: F# Market and Agent POC
Advertisement
