Designing a Live-Ticker Paper Trading System for Strategy Testing
Summary
The document presents PaperTrader, a simulated account layer for testing strategies against real-time exchange tickers. It aims to fill the gap between historical backtesting and live trading by simulating order placement, matching, fees, asset changes, cancellations, and order history while leaving strategy calls largely compatible with the FMZ exchange interface.
Its architecture pairs an account and order manager with a background matching engine that checks pending orders against live market depth. The engine updates fills and average prices, applies maker or taker fees, manages frozen assets, and archives completed or canceled orders for review. The paper account uses real ticker data, so it can help evaluate order behavior under current conditions, but it is not historical replay or a guarantee of live execution quality. The author describes the implementation as preliminary: spot support is more complete than futures support, and matching logic, floating-point handling, position accounting, and liquidation behavior still require testing.
Key ideas
- A live-ticker simulator can test strategy order behavior between backtesting and live deployment.
- The matching engine compares pending orders with current exchange depth and updates fills.
- The account model simulates fees, frozen balances, cancellations, and order records.
- Replacing the exchange interface can let existing strategy logic run in the simulator.
- Real-time ticker simulation does not establish how a strategy would behave across historical regimes.
- The implementation is preliminary, especially for futures, leverage, and liquidation handling.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.