Package org.drip.oms.benchmark

Interface PegScheme

All Known Implementing Classes:

AggressiveMarketMakingPegScheme, CrossingMarketMakingPegScheme, FixedPricePegScheme, MarketMakingPegScheme, MidPricePegScheme

public interface PegScheme

PegScheme exposes the Peg Price Generation 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

Method Summary

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

Method Details

limitPrice

double limitPrice(CrossVenueMontageDigest crossVenueMontageDigest)
           throws java.lang.Exception

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