I think you could go one of two ways with this: 1. Consume live market data and use an exchange simulator that always gives you back a fill. 2. Use a true exch

I think you could go one of two ways with this: 1. Consume live market data and use an exchange simulator that always gives you back a fill. 2. Use a true exchange simulator, which you will have to seed with orders to provide liquidity and generate real quotes (with a proper spread and not locked or crossed). With the second approach, you get a more accurate representation of how markets work, but the exercises will have to be more planned out and directed. Just my $0.02.