Package org.drip.execution.strategy

Class OrderSpecification

java.lang.Object
org.drip.execution.strategy.OrderSpecification
public class OrderSpecification
extends java.lang.Object
OrderSpecification contains the Parameters that constitute an Order, namely the Size and the Execution Time. The References are:

  • Almgren, R., and N. Chriss (1999): Value under Liquidation Risk 12 (12)
  • Almgren, R., and N. Chriss (2000): Optimal Execution of Portfolio Transactions Journal of Risk 3 (2) 5-39
  • Bertsimas, D., and A. W. Lo (1998): Optimal Control of Execution Costs Journal of Financial Markets 1 1-50
  • Chan, L. K. C., and J. Lakonishak (1995): The Behavior of Stock Prices around Institutional Trades Journal of Finance 50 1147-1174
  • Keim, D. B., and A. Madhavan (1997): Transaction Costs and Investment Style: An Inter-exchange Analysis of Institutional Equity Trades Journal of Financial Economics 46 265-292


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    OrderSpecification​(double dblSize, double dblMaxExecutionTime)
    OrderSpecification Constructor

  • Method Summary

    Modifier and Type Method Description
    double maxExecutionTime()
    Retrieve the Maximum Allowed Execution Time
    double size()
    Retrieve the Order Size

    Methods inherited from class java.lang.Object

    equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

  • Constructor Details

    • OrderSpecification

      public OrderSpecification​(double dblSize, double dblMaxExecutionTime) throws java.lang.Exception
      OrderSpecification Constructor
      Parameters:
      dblSize - The Size of the Order
      dblMaxExecutionTime - The Maximum Allowed Execution Time of the Order
      Throws:
      java.lang.Exception - Thrown if the inputs are Invalid

  • Method Details

    • maxExecutionTime

      public double maxExecutionTime()
      Retrieve the Maximum Allowed Execution Time
      Returns:
      The Maximum Allowed Execution Time

    • size

      public double size()
      Retrieve the Order Size
      Returns:
      The Order Size