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I'm looking for a Java fill-engine to perform back-testing.

The fill engine would be fed either tick-data or L2 data (with book) and would fill orders as if it was a real-market account.

Ideally would be able to handle via config file: - latency (to mimic real-world scenarios) - transaction costs

Anyone know if such a project exists?
I've already worked with two similar projects but they were closed and done in-house.

Infinite Recursion
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Frankie
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1 Answers1

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Some googling uncovered this - http://fiximulator.org; and QuickFIX (which this piece of software seems to be based on) has some simulator as well. Both of those probably can be extended for your needs. Also if you want to test against specific platform, using test account (which they usually provide) is a good idea anyway, in addition to any simulators.

Andrey Nudko
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  • thks for your reply. I had already taken a look a QuickFIX but it seams to be something slight different from what I need. FIX is very centered on the message parsing standard where in my case real-life latency doesn't apply. I do need a clock-abstraction but that's it. The fill-engine + tick-parsing would be the core of my needs. Thank you very much for the time taken. – Frankie Nov 30 '11 at 19:00