Patent Document ID: 9710784
Application ID: 12060109
Patent Flag: 1

Claim One:
1. A system for data driven simulation of order book mechanics, the system comprising: at least one computer processor configured as an event processing engine having an exchange simulator configured to process a received feed of market data and a first series of order requests to produce a second series of order requests by applying probabilistic inferences of past possible actions taken to produce the received feed of market data, wherein the probabilistic inferences are based on i) differences between prices and quantities of a depth event in the received feed of market data at different points in time and ii) stored probability value assumptions; the at least one computer processor also configured as an exchange rules engine that is configured to combine the first and second series of order requests to produce simulated market data and updated order requests, wherein the updated order requests are prioritized according to a priority structure; an output configured to communicate with the event processing engine, for outputting a result based on the simulated market data and the updated order requests; and a rate controller configured to adjust a rate at which the simulated market data and the updated order requests are produced by adjusting a rate at which the event processing engine processes the received feed of market data and the first series of order requests, the rate being set based on a user selection that corresponds to a clock scale used by the event processing engine in processing the received feed of market data and the first series of order requests.