SIM Algorithm

Overview

This document describes how to use the SIM trading connector.

Ember ships with two services that can be used to simulate order execution:

• SIMULATOR – A special algorithm that provides realistic order execution. The algorithm uses the QuoteFlow library to maintain the state of the markets and estimate accurate order execution.
• SIM – A special trading connector that can replay some simple execution scenarios, for example a simple fill at limit price, or order reject. See the rest of this document for more information.

Configuration

The following config stanza shows how to enable the SIM trading connector in ember.conf:

connectors {
  SIM: ${sim}
}

See the Ember Configuration Reference guide for more information about the ember.conf configuration file.

Order routing

To send orders to SIM, specify it as an order destination.

SIM supports multiple order execution scenarios. Simple scenarios can be specified using the exchange order field. For more complex scenarios you can use the custom order attribute SimScript(7001).

Supported exchanges

Exchange	Description of SIM behavior
REJECT	Instant reject. SIM immediately rejects the order.
CANCEL	Instant cancel. SIM immediately cancels the order.
FILL	Instant fill. SIM immediately fills entire order. The fill uses the limit price or stop price (when provided), or a dummy price $1234.
CORRECT	Simulator issues a FILL event, immediately followed by a FILL CORRECTION.
BUST	Simulator issues a FILL event, immediately followed by a FILL CANCELLATION (BUST).
ACK,FILL	Similar to FILL, but the Simulator issues an order acknowledgement event prior to fill.
ACK,CANCEL	Similar to CANCEL, but the Simulator issues an order acknowledgement event prior to cancel.
ACK,REJECT	Similar to REJECT, but the Simulator issues an order acknowledgement event prior to reject.
CANCELRJCT	Issues cancel rejects.
CANCELFILL	Exceptional scenario: An order is reported as CANCELLED, followed by a FILL event (abnormal order state transition that may happen on some exchanges, like Eurex).
BLACKHOLE	“Black Hole” – no events are issued for the order.
ACK	Order receives an acknowledgement event and nothing else.
RESTATE	Simulator acknowledges the order, then reports an “order restate event”. Can be used to test stop/stop-limit order trigger behavior.
TFILL	Very similar to FILL, but the fill is reported using the “total quantity/average price” reporting method (used by some exchanges). This can be used to test the OMS functionality (Ember OMS converts such fills to normal incremental fills for algorithms and clients.
SCRIPT	See the next section.

note

Exchange values are case-sensitive, trailing/inner/leading spaces are not allowed.

Scripted order execution

For users who want more flexibility, SIM provides an ability to specify what exact events should be issued for an order. You can also specify how events should be delayed (to simulate order transmission or execution delay).

Exchange	Description of SIM behavior
SCRIPT	Executes an order according to a script specified by custom order request attribute 7001.

Attribute 7001 contains a comma separated events that should be issued for an order (left to right). The following events are supported:

Script event	Description of SIM behavior	Optional parameters
ACK	Order acknowledgement event (OrderPendingNewEvent)	N/A
OPEN	Order is open on exchange (OrderNewEvent)	N/A
CANCEL	Order cancel confirmation event (OrderCancelEvent)	Order cancellation reason. For example: CANCEL:Cancelled by exchange
REJECT	Order rejection event (OrderRejectEvent)	Order rejection reason. For example: REJECT:Market is closed
CANCELRJCT	Order Cancel Reject (OrderCancelRejectEvent)	Order cancellation reject reason. For example: CANCELRJCT:Too early to cancel
FILL	Order fill event (complete or partial)	The first optional argument is fill quantity (by default, the entire order). The second optional argument is a fill price (by default, the limit or stop price of the order is used as the fill price).Third and forth optional parameters may specify commission and commission currency. For example: FILL FILL:50 FILL:100:123.45 FILL:100:123.45:0.25 FILL:100:123.45:0.25:USD
CORRECT	Fill correction event (OrderTradeCorrectionEvent)	Index of fill event to correct (zero-based). Identifies a previous fill event. By default, the first fill event is corrected. For example: CORRECT CORRECT:1 Just like for FILL, the first optional argument is a corrected fill quantity (by default, the entire order). The second optional argument is a corrected fill price (by default, the limit or stop price of the order).
BUST	Fill cancellation event (OrderTradeCancelEvent)	Index of fill event to cancel (zero-based). Identifies a previous fill event. By default, the first fill event is cancelled. For example: BUST BUST:1
RESTATE	Issues an order restate event (OrderRestateEvent). For example, for a triggered stop order.	N/A
DELAY	Delay prior to the next event in the script	Parameter specifies delay duration. If the duration is not specified, a one second delay is used. Intervals can be measured in the following units: “10X” = 10 milliseconds, (X = Milliseconds) “10S” = 10 seconds, (S = Seconds) “10I” = 10 minutes, (I = Minutes) “10H” = 10 hours, (H = Hours) For example: DELAY:10S
DISCONNECT	Simulates an “Exchange Disconnected” event.
CONNECT	Simulates an “Exchange Connected” event.

The following screenshot shows how to submit a SCRIPT order to SIM using Ember Monitor:

Scripting examples

Examples of execution simulation scripts:

REJECT:Bad price	Order reject event with a “bad price” rejection reason
OPEN,FILL	The order completes the fill after the order becomes open on the exchange.
OPEN,FILL:5	Same as above, but the order is filled only for quantity = 5.
FILL:5:123.45	Order is filled without am intermediary OPEN event; fill quantity is 5; fill price is 123.45.
OPEN,FILL:900,CANCEL	Partial fill of size 900, followed by Cancel message (missing fill of 100, assuming that the order size is 1000).
DELAY:1S,ACK,DELAY:5S,FILL	Initial order acknowledgement event is delayed by 1 second after order submission. Fill is delayed 6 seconds (1+5).
OPEN,CANCEL,FILL	Example of abnormal “fill after cancel” order workflow.
OPEN,FILL:33, DELAY:5S, FILL	Empty script results in no events. This is abnormal – typically, all order destination venues are required to provide some kind of feedback events for each order.