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Exchange Requirements

API
- Submit order
  - Limit
  - Market
- Cancel order
- Get order book snapshot
- Order book changes stream
- Trades stream
Engine
- Order matching
  - Order matched in sequence of arrival
  - Exchange fees for takers and makers

Exchange Design

Ticker symbol
- Associated book
User data
- Placing orders must be checked against user budget and available stocks

Exchange Optimization Experiments

CPU pinning of the matching engine (Linux)

Simulation Requirements

Multiple traders of multiple types
- Market makers
  - If alone on a ticker, get reference price from Alpaca (NBBO?)
- Manual traders
  - Lots of time between actions
  - Somewhat random actions
    - Must still have underlying patterns
      - E.g. a probability of event (e.g. new event) that exerts pressure on the trader in one direction
- Automated traders
  - Simple mean-reversal strategies