Package org.drip.oms.benchmark

Class AggressiveMarketMakingPegScheme

java.lang.Object
org.drip.oms.benchmark.MarketMakingPegScheme
org.drip.oms.benchmark.AggressiveMarketMakingPegScheme
All Implemented Interfaces:
PegScheme
public class AggressiveMarketMakingPegScheme
extends MarketMakingPegScheme
AggressiveMarketMakingPegScheme implements the Aggressively Jumping Market Making Scheme for Peg Orders. The References are:

  • Berkowitz, S. A., D. E. Logue, and E. A. J. Noser (1988): The Total Cost of Transactions on the NYSE Journal of Finance 43 (1) 97-112
  • Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets Quantitative Finance 17 (1) 21-39
  • Vassilis, P. (2005a): A Realistic Model of Market Liquidity and Depth Journal of Futures Markets 25 (5) 443-464
  • Vassilis, P. (2005b): Slow and Fast Markets Journal of Economics and Business 57 (6) 576-593
  • Weiss, D. (2006): After the Trade is Made: Processing Securities Transactions Portfolio Publishing London UK


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    AggressiveMarketMakingPegScheme​(java.lang.String ticker, Side side, double stepValue, boolean noCross)
    AggressiveMarketMakingPegScheme Constructor

  • Method Summary

    Modifier and Type Method Description
    double limitPrice​(CrossVenueMontageDigest crossVenueMontageDigest)
    Generate the Threshold Limit Price using the CrossVenueMontageDigest Market Data
    boolean noCross()
    Retrieve the "No Jumping Over" Indicator
    static AggressiveMarketMakingPegScheme Standard​(EntityEquityLabel entityEquityLabel, Side side, boolean noCross)
    Construct a Standard Instance of AggressiveMarketMakingPegScheme
    double stepValue()
    Retrieve the Step Value

    Methods inherited from class org.drip.oms.benchmark.MarketMakingPegScheme

    side, ticker

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AggressiveMarketMakingPegScheme

      public AggressiveMarketMakingPegScheme​(java.lang.String ticker, Side side, double stepValue, boolean noCross) throws java.lang.Exception
      AggressiveMarketMakingPegScheme Constructor
      Parameters:
      ticker - Ticker
      side - Side
      stepValue - Step Value
      noCross - TRUE - The "No Jumping Over" Indicator Set
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public static final AggressiveMarketMakingPegScheme Standard​(EntityEquityLabel entityEquityLabel, Side side, boolean noCross)
      Construct a Standard Instance of AggressiveMarketMakingPegScheme
      Parameters:
      entityEquityLabel - Entity Equity Label
      side - Side
      noCross - TRUE - The "No Jumping Over" Indicator Set
      Returns:
      Standard Instance of AggressiveMarketMakingPegScheme

    • stepValue

      public double stepValue()
      Retrieve the Step Value
      Returns:
      The Step Value

    • noCross

      public boolean noCross()
      Retrieve the "No Jumping Over" Indicator
      Returns:
      TRUE - The "No Jumping Over" Indicator Set

    • limitPrice

      public double limitPrice​(CrossVenueMontageDigest crossVenueMontageDigest) throws java.lang.Exception
      Description copied from interface: PegScheme
      Generate the Threshold Limit Price using the CrossVenueMontageDigest Market Data
      Parameters:
      crossVenueMontageDigest - CrossVenueMontageDigest Market Data
      Returns:
      The Generated Threshold Price
      Throws:
      java.lang.Exception - Thrown if the Threshold Limit Price cannot be generated