I agree with you on back-testing. Trying to model order book dynamics across multiple exchanges accurately is something of a fool's errand (especially in pro-rata markets). Running stuff in sim generally lets you iron out flaws and then you can just plug and play to see if it pays. Heh, I used to just plug and play directly with small size as a test rather than using sim since my firm didn't have a usable sim set-up at the time. Just put extremely limiting risk limits in terms of order sending rates on and then cut it off it loses too much in the experiment and move to the next one (yes, this did make strategy choice pretty path-dependent...).

RE rate limiter: For this dude's implementation I don't think it matters. He's using IB (a retail broker) for his data rather than the direct market feed. IB sends a sample of market data rather than every single book update and I think they do it at a rate slower than ~10ms so he probably won't run into problems. Heh, I remember some fun times figuring out the optimal way to handle getting spammed by the exchange. It is a neat industry, but kind of makes you feel a bit like a societal leech some times (I know, we're risk salesmen making markets more efficient and all...).