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We show how a multi-agent simulator can support two important but distinctmethods for assessing a trading strategy: Market Replay and InteractiveAgent-Based Simulation (IABS). Our solution is important because each methodoffers strengths and weaknesses that expose or conceal flaws in the subjectstrategy. A key weakness of Market Replay is that the simulated market does notsubstantially adapt to or respond to the presence of the experimental strategy.IABS methods provide an artificial market for the experimental strategy using apopulation of background trading agents. Because the background agents attendto market conditions and current price as part of their strategy, the overallmarket is responsive to the presence of the experimental strategy. Even so,IABS methods have their own weaknesses, primarily that it is unclear if themarket environment they provide is realistic. We describe our approach indetail, and illustrate its use in an example application: The evaluation ofmarket impact for various size orders.

How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?