University of Cape Town
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posted on 2021-02-21, 11:45 authored by Ivan JericevichIvan Jericevich, Dharmesh Sing, Tim GebbieTim Gebbie
CoinTossX is a an open-source, high-frequency, low latency, high throughput matching engine for simulating the JSE (or any market that has well established rules and test cases). The software was developed with Java and open-source libraries and is designed to maximize throughput, minimize latency, and accommodate rapid development of additional functionality. It can be configured for multiple clients, stocks and trading sessions (continuous trading, opening auction, closing auction, intraday auction and volatility auction). The software has been configured to replicate the rules and processes of the JSE. It will allow traders, organizations and academic institutions to test market structure, fragility and dynamics without financial loss. The software will provide a platform to study price formations in stock exchanges and the interplay between regulators, market structure and dynamics.



Statistical Sciences Department, Statistical Finance Group