Data and Replication Supplement for Double Auction Markets with Snipers

We provide filtered raw and analyzed data and configuration files for our continuous double
auction market simulations described in “Profitability, Efficiency and Inequality in Double
Auction Markets with Snipers” (2019, Journal of Economic Behavior and Organization).

We also provide additional details and supplementary
data for launching new research efforts. We refer the reader to the research article for an
understanding of the parameter design, goals, analysis, and results. The dataset is subdivided into a tree of folders in a
2x2x21 design for 84 treatments in total. The treatments variables include: (i) robot population
ordering, either “primary or “reverse”; (ii) two market parameter schedules of values and costs:
equal-expected-profit “market 1” and unequal-expected-profit “market 2”; (iii) 21 robot
populations identified by the number of Sniper Bots on each side of the market. Each treatment
folder contains a simulator configuration file and the output of 10,000 periods of market
data. The output files include all acceptable buy and sell orders, all trades, end-of-period
individual profits for each agent, and end-of-period market metrics such as efficiency-of-allocation, Gini coefficient, and price statistics (e.g., open, high, low, close). The resulting dataset requires about 8GB disk space unzipped.

The market simulator software generating this data is a private product under development by Paul Brewer at
Economic and Financial Technology Consulting LLC. Paid and free open-source versions are
available. The free open source version is released on GitHub and DockerHub under drpaulbrewer/single-market-robot-simulator and
as single-market-robot-simulator on npm.