Package org.drip.oms.benchmark

Class MidPricePegScheme

java.lang.Object
org.drip.oms.benchmark.MidPricePegScheme
All Implemented Interfaces:
PegScheme
public class MidPricePegScheme
extends java.lang.Object
implements PegScheme
MidPricePegScheme implements Mid-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
    MidPricePegScheme​(java.lang.String ticker)
    MidPricePegScheme Constructor

  • Method Summary

    Modifier and Type Method Description
    double limitPrice​(CrossVenueMontageDigest crossVenueMontageDigest)
    Generate the Threshold Limit Price using the CrossVenueMontageDigest Market Data
    java.lang.String ticker()
    Retrieve the Ticker

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MidPricePegScheme

      public MidPricePegScheme​(java.lang.String ticker) throws java.lang.Exception
      MidPricePegScheme Constructor
      Parameters:
      ticker - Ticker
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • ticker

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

    • 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