Fast Simulation

I was wondering, what is fast simulation? Obviously the name speaks for itself, but what are the main differences, and what do you see as a typical use case for this?


  • The fast simulation is a more stripped down, streamlined simulator engine that removes much of the complexity of our full simulator to hopefully not be so overwhelming for new users.

    You as the user only have 1 event callback to worry about which is at the top of each minute in on_minute_bar, vs in the full simulation you also have trade, timer, nbbo price change, imbalance feed events, and the event streams for order ack, fill, reject's and cancel's.

    The order algorithm's are also simplified to a smaller subset of market, limit, market on open, limit on open, market on close and limit on close orders.

    We like to use the fast simulation to quickly test trading algorithms that aren't as latency sensitive. You can use it along with the multiday option or in the standard intra-day model.

  • Makes sense - thanks!

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