CrossingMarketMakingPegScheme

java.lang.Object

org.drip.oms.benchmark.MarketMakingPegScheme

org.drip.oms.benchmark.CrossingMarketMakingPegScheme

All Implemented Interfaces:: PegScheme

public class CrossingMarketMakingPegScheme
extends MarketMakingPegScheme

CrossingMarketMakingPegScheme implements the Crosser 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

Module = Product Core Module
Library = Transaction Cost Analytics
Project = R^d Order Specification, Handling, and Management
Package = Benchmark/Tie/Peg Price Thresholds

Author:: Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor Description

CrossingMarketMakingPegScheme(java.lang.String ticker, Side side)
CrossingMarketMakingPegScheme Constructor
Method Summary

Modifier and Type Method Description

double limitPrice(CrossVenueMontageDigest crossVenueMontageDigest)
Generate the Threshold Limit Price using the CrossVenueMontageDigest Market Data

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
- CrossingMarketMakingPegScheme
  
  public CrossingMarketMakingPegScheme(java.lang.String ticker, Side side) throws java.lang.Exception
  
  CrossingMarketMakingPegScheme Constructor
  
  Parameters:
  
  ticker - Ticker
  
  side - Side
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- 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