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ScalABM / auctions

A functional API for auction simulations
Apache License 2.0
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Need generic Fill #99

Closed davidrpugh closed 7 years ago

davidrpugh commented 7 years ago

Need to have a generic Fill that is independent of single/multi-unit so that same type of settlement mechanism can process both types of Fill.

davidrpugh commented 7 years ago

Possibly consider basing the refactoring on ITCH (an existing messaging protocol developed by NASDAQ).

davidrpugh commented 7 years ago

For reference here is a list of messaging protocols used by real auctions.