lobby is a fully functioning simulation of a limit-order-book financial exchange, developed for modeling. The aim is to allow exploration of automated trading strategies that deal with "Level 2" market data.
It is written for Python 2.7-3+, is single-threaded and operates a standard price-time-priority. It supports both market and limit orders, as well as add, cancel and update functionality. The model is based on few simplifying assumptions, chief of which is zero latency: if a trader issues a new quote, that gets processed by the exchange, all other traders can react to it before any other quote is issued.
lobby is forked from PyLOB and all changes are also licensed as MIT. Updated to install with pip and work with Python 3.
lobby uses only the standard library and can be installed from PyPi:
pip install lobby