ABIDES: Towards High-Fidelity Multi-Agent Market Simulation

David Byrd, Maria Hybinette, Tucker Hybinette Balch · 2020 · ACM SIGSIM Conference on Principles of Advanced Discrete Simulation

IntermediateHFTMethod

Open-source agent-based exchange simulator with nanosecond messaging. Useful for testing strategies where your own impact matters.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT
Data needed: L3/MBO (order-level) Set what data you have
Themes: Order book models Backtesting
Assets: Equities
Market: Global

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Modelling and simulating the order book

← Hawkes Processes in Finance

Cite

@inproceedings{byrd2020abides,
  author = {Byrd, David and Hybinette, Maria and Balch, Tucker Hybinette},
  title = {{ABIDES: Towards High-Fidelity Multi-Agent Market Simulation}},
  booktitle = {ACM SIGSIM Conference on Principles of Advanced Discrete Simulation},
  year = {2020},
  doi = {10.1145/3384441.3395986}
}

Byrd, D., Hybinette, M., & Balch, T. H. (2020). ABIDES: Towards High-Fidelity Multi-Agent Market Simulation. ACM SIGSIM Conference on Principles of Advanced Discrete Simulation. https://doi.org/10.1145/3384441.3395986