README

A simple market simulation implemented in Perspective, designed to be simple rather than accurate. The simulation proceeds in steps:

1. Insert a batch of random orders in a range around the market's bid/ask spread. For each side of the order book, we can calculate the best open price by querying the orders Table using the "max" or "min" aggregates (respectively).

{
    columns: ["price"],
    group_by: ["security"],
    aggregates: { price: "max" },
    filter: [
        ["side", "==", "buy"],
        ["status", "==", "open"],
    ],
}

1. Clear any matched orders in the Table. To match orders, we fetch all open orders on both sides which are outside of the best price, then update an equal number of both "buy" and "sell" side orders to "closed". The sort field guarantees that orders are closed in best, then oldest, order.

{
    columns: ["id"],
    filter: [
        ["side", "==", "buy"],
        ["status", "==", "open"],
        ["price", ">", price],
    ],
    sort: [
        ["price", "desc"],
        ["timestamp", "asc"],
    ],
}

3. Expire any elapsed orders which are still "open" by fetching orders older than the expiration ID and update thair status' to "expired".

{
    columns: ["id"],
    filter: [
        ["status", "==", "open"],
        ["id", "<", 12345],
    ],
}

4. Sleep for a bit and repeat (1).