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ScalABM / settlement

Settlement mechanisms for economic simulation modeling.
Apache License 2.0
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Big dump of old code... #1

Open davidrpugh opened 7 years ago

davidrpugh commented 7 years ago

@maartenscholl I just did a major dump of my old code for simulating settlement mechanisms. Currently the code makes heavy use of the Akka message passing library.

High level design is as follows:

  1. Trading agents (whose behavior will be mostly defined in other libraries) send contracts in the form of orders to some auction mechanism.
  2. The auction mechanism (whose behavior will be mostly defined in the esl-auctions library) applies some matching and price formation logic to transform received orders into contracts called fills which are then sent to settlement mechanisms for further processing.
  3. The settlement mechanism (whose behavior will be defined in this repo) processes the received fills in order to create settled transactions.

Both fills and transactions can be converted to Json and logged out to a file or, eventually, written to a database for further processing and analytics.

Let me know what you think. I will continue to clean up the code for my own use-cases, but I would be keen to help you port your thesis into this framework if you are interested.

davidrpugh commented 7 years ago

@bherd-rb and @ibillett You might want to keep and eye on developments in this repo as they might be relevant for our respective projects.