Package org.drip.oms.benchmark

Class MarketMakingPegScheme

java.lang.Object
org.drip.oms.benchmark.MarketMakingPegScheme
All Implemented Interfaces:
PegScheme
Direct Known Subclasses:
AggressiveMarketMakingPegScheme, CrossingMarketMakingPegScheme
public abstract class MarketMakingPegScheme
extends java.lang.Object
implements PegScheme
MarketMakingPegScheme abstracts the core 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

  • Method Summary

    Modifier and Type Method Description
    Side side()
    Retrieve the Side
    java.lang.String ticker()
    Retrieve the Ticker

    Methods inherited from class java.lang.Object

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

    Methods inherited from interface org.drip.oms.benchmark.PegScheme

    limitPrice

  • Method Details

    • ticker

      public java.lang.String ticker()
      Retrieve the Ticker
      Returns:
      The Ticker

    • side

      public Side side()
      Retrieve the Side
      Returns:
      The Side