Package org.drip.oms.benchmark

Class FixedPricePegScheme

java.lang.Object
org.drip.oms.benchmark.FixedPricePegScheme
All Implemented Interfaces:
PegScheme
public class FixedPricePegScheme
extends java.lang.Object
implements PegScheme
FixedPricePegScheme implements Fixed Peg Price 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
    FixedPricePegScheme​(double threshold)
    FixedPricePegScheme Constructor

  • Method Summary

    Modifier and Type Method Description
    double limitPrice​(CrossVenueMontageDigest crossVenueMontageDigest)
    Generate the Threshold Limit Price using the CrossVenueMontageDigest Market Data
    double threshold()
    Retrieve the Fixed Threshold Price

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • FixedPricePegScheme

      public FixedPricePegScheme​(double threshold) throws java.lang.Exception
      FixedPricePegScheme Constructor
      Parameters:
      threshold - Fixed Threshold Price
      Throws:
      java.lang.Exception - Thrown if Threshold is Invalid

  • Method Details

    • threshold

      public double threshold()
      Retrieve the Fixed Threshold Price
      Returns:
      Fixed Threshold Price

    • 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
      Specified by:
      limitPrice in interface PegScheme
      Parameters:
      crossVenueMontageDigest - CrossVenueMontageDigest Market Data
      Returns:
      The Generated Threshold Price
      Throws:
      java.lang.Exception - Thrown if the Threshold Limit Price cannot be generated