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I wonder how long / how hard it'd take to implement a shadow exchange to test new algos and systems... Like, perhaps new code needs to be certified in a full te

• sophacles 17y ago
  I think one of the problems comes from the fact that big players affect the game. So if say, Citi launches a new algorithm that does some new crazy thing, which turns out to trigger random issues or unexpected responses in other algorithms -- such a thing could make lots of people other than citi a pile of money. Are those people really going to want Citi to test it too well? Another, real concern with such a shadow market, where say everyone is running their algorithms (to prevent the above scenario), is that i could test "a buggy version" and find holes and odd behaviors of my competetors for free, since it is all play money.
• bd_at_rivenhill 17y ago
  Most exchanges have their own API for direct access. Although there is some standardization around the FIX protocol, the fastest access is still usually through the direct API, so while you may have a single backend system that processes incoming data and generates orders, you still usually need to code a separate interface for each exchange that you connect to, and the systems provided by the exchanges to help you test your interface tend to be less than robust.