An agent-based model with interacting low frequency liquidity takers inter-mediated by high-frequency liquidity providers acting collectively as market makers can be used to provide realistic simulated price impact curves. This is possible when agent-based model interactions occur asynchronously via order matching using a matching engine in event time to replace sequential calendar time market clearing. Here the matching engine infrastructure has been modified to provide a continuous feed of order confirmations and updates as message streams in order to conform more closely to live trading environments. The resulting trade and quote message data from the simulations are then aggregated, calibrated and visualised. Various stylised facts are presented along with event visualisations and price impact curves. We argue that additional realism in modelling can be achieved with a small set of agent parameters and simple interaction rules once interactions are reactive, asynchronous and in event time. We argue that the reactive nature of market agents may be a fundamental property of financial markets and when accounted for can allow for parsimonious modelling without recourse to additional sources of noise.

翻译：一种由高频流动资金提供者作为市场制造者集体调解的以代理人为基础的互动低频流动性摄取者互动模式,可以用来提供现实的模拟价格影响曲线。当以代理人为基础的模式互动通过在时间上使用匹配引擎进行顺序匹配以取代连续的日历时间市场清理时,这种互动就有可能不同步地出现。在这里,对匹配的引擎基础设施进行了修改,作为信息流不断提供订单确认和更新的反馈,以便更密切地与活性贸易环境保持一致。随后,对模拟产生的交易和引用信息数据进行汇总、校准和可视化。各种典型事实与事件可视化和价格影响曲线一起出现。我们争辩说,一旦互动是反应性的、不连续的和随时发生的,就能够用一套小型的代理参数和简单的互动规则实现更多的模拟现实主义。我们说,市场代理商的被动性可能是金融市场的基本属性,而且一旦计算出来,就可以在不使用其他噪音来源的情况下进行迷惑式模拟。