  This paper describes the design, implementation, and successful use of the
Bristol Stock Exchange (BSE), a novel minimal simulation of a centralised
financial market, based on a Limit Order Book (LOB) such as is common in major
stock exchanges. Construction of BSE was motivated by the fact that most of the
world's major financial markets have automated, with trading activity that
previously was the responsibility of human traders now being performed by
high-speed autonomous automated trading systems. Research aimed at
understanding the dynamics of this new style of financial market is hampered by
the fact that no operational real-world exchange is ever likely to allow
experimental probing of that market while it is open and running live, forcing
researchers to work primarily from time-series of past trading data. Similarly,
university-level education of the engineers who can create next-generation
automated trading systems requires that they have hands-on learning experience
in a sufficiently realistic teaching environment. BSE as described here
addresses both those needs: it has been successfully used for teaching and
research in a leading UK university since 2012, and the BSE program code is
freely available as open-source on GitHuB.
