Deltix ExchangeSimulator specifically addresses the needs of algo developers to test the operation of algos against an exchange: simulating a real-time trading environment and back-testing against historical market data. Architecturally, it resides within ExecutionServer.
ExchangeSimulator includes market data adapters for Level 1, Level 2 and Level 3. Market data modified by simulated orders is published via FIX or Deltix multi-cast API
The simulator maintains an order book for each instrument. Orders sent for simulated execution by the execution strategies are filled according to the volume available in the order book (at the appropriate price levels in the case of a limit order) at sub-millisecond intervals from the time the order is received. The removal of liquidity from the order book by the simulated execution is reflected in the state of the order book.
Individual execution strategies/algos control the sending of orders to the simulation engine. The state of the order book may determine if and when the algo sends an order (e.g. Volume participation strategies). Latencies can be dialed up and down to simulate the actual production environment.
All Deltix products support Equities, Futures, Bonds, ETF, FX, and Synthetics.