stopcascade

This TypeScript application creates a web based simulation of how stop cascades can cause large price movements/wicks.

The simulation contains the following components:

• A time/price priority order book supporting both limit and market orders
• A stop order manager supporting only last price triggered market orders
• A simple market maker that quotes both bid and ask according to a Beta distribution
• Visualiser written in d3.js that displays the simulation in an SVG element and allows interactivity

This code is a demo. It does not have tests, and it is definitely not for use in production.

For more information, please read the associated blog post.

Building / Running

To build:

yarn install
yarn build

To run the simulation:

1. Build the application as above
2. Open the below HTML file in a web browser

./dist/index.html