a tool to create systems / networks with financial market contexts

installation:

this is tested with python 3.5 - 3.6 - 3.7.

postgres database must be installed. follow this link for instructions.

next, create a virtual environment

python3 -m venv simulations_venv

and activate it

source ~/simulations_venv/bin/activate

given postgres is succesfully installed, start a shell switch to postgres user

sudo su - postgres

start postgres shell

psql

create an user, database and grant permissions to user

CREATE DATABASE fimsim;
CREATE USER simulation_user WITH PASSWORD 'somepassword';
GRANT ALL PRIVILEGES ON DATABASE simulations TO simulation_user;

and exit

\q
exit

define and set some environmental variables for application to use while talking to the database.

export DBUSER=simulation_user
export DBPASSWORD=somepassword

download and clone this repo

git clone https://github.com/hademircii/financial_market_simulator.git

cd into the directory you just downloaded.

cd financial_market_simulator

download and update submodules

git submodule init
git submodule update

cd into high_frequency_trading directory and do a similar operation.

cd high_frequency_trading
git submodule init
git submodule update

and go back to the root directory.

cd ..

install dependencies

pip install -r requirements.txt

from the root directory start an interactive python session

python 

and create the relevant tables in the db.

from db import db_commands
db_commands.create_tables()

matching engines

start two more shells and cd into the exchange_server directory in the repo you just downloaded. follow the instructions here to run an matching engine instance, run two matching engines in separate shells on ports 9001 and 9002 with the CDA format (if you need different ports, make sure to edit settings.py in the root directory accordingly).

usage:

python run_web_api.py

this will wake up the simulator engine.

session-wide static parameters are defined in file parameters.yaml edit it accordingly.

dynamic parameters (agent's sensitivities, technology subscription) is configured by editing agent_state_configs.csv.

now, go to a browser of your choice and visit http://localhost:5000/v1/simulate (or http://localhost:5000/v1/simulate?debug=True to toggle debug mode). you will get a response message which includes a session id and parameters, note down this session code since output files will be tagged with this identifier. this will trigger a simulation session, which after completion will dump two files in the exports directory.

there is a jupyter notebook front-end that pairs with the simulator. This gives you a nice interface to interact with and configure the simulator, visualize and inspect session results.

if you would like to use this tool;

cd app
jupyter notebook

and go to http://localhost:8888, and check out the 'simulator_HOWTO' file.