Dice Question Streamline Icon: https://streamlinehq.com

Extend the Simulator and Propagator to Include Limit and Cancellation Orders for Full Order Book Modeling

Develop simulations and a generalized propagator that incorporate limit orders and cancellations in addition to market orders, thereby modeling the full limit order book and its impact on price formation.

Information Square Streamline Icon: https://streamlinehq.com

Background

The current framework focuses on market orders and metaorders, abstracting away from granular order book dynamics. While this captures several meso-scale phenomena, full microstructure realism requires accounting for limit orders and cancellations.

The authors identify the extension to include all order types as an open direction to enable full order book modeling within their propagator-based simulator.

References

Of course, several open questions remain. We propose here several directions for future research: Extending the simulations and the generalized propagator to include all order types, such as limit and cancellation orders, in order to model the full order book.

— The Subtle Interplay between Square-root Impact, Order Imbalance & Volatility II: An Artificial Market Generator (2509.05065 - Maitrier et al., 5 Sep 2025) in Conclusion