Package org.drip.oms.benchmark

Class VWAP

java.lang.Object
org.drip.oms.benchmark.VWAP
public class VWAP
extends java.lang.Object
VWAP implements the Volume-Weighted Average Price VWAP that carries the Metrics associated with Trades in a Session. 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
    VWAP​(java.util.Date sessionStart, java.util.Date sessionEnd)
    VWAP Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addTrade​(double size, double price)
    Add a Trade to the Session
    boolean finish()
    Finish the VWAP Session
    double sessionAverage()
    Retrieve the Session VWAP Average
    java.util.Date sessionEnd()
    Retrieve the End of the Session
    java.util.Date sessionStart()
    Retrieve the Start of the Session
    VWAP Standard()
    Construct a Standard Instance of VWAP
    double transactionMarketValue()
    Retrieve the Session Transaction Market Value
    double transactionVolume()
    Retrieve the Session Transaction Volume

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • VWAP

      public VWAP​(java.util.Date sessionStart, java.util.Date sessionEnd) throws java.lang.Exception
      VWAP Constructor
      Parameters:
      sessionStart - Session Start
      sessionEnd - Session End
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • Standard

      public VWAP Standard()
      Construct a Standard Instance of VWAP
      Returns:
      Standard VWAP Instance

    • sessionStart

      public java.util.Date sessionStart()
      Retrieve the Start of the Session
      Returns:
      Start of the Session

    • sessionEnd

      public java.util.Date sessionEnd()
      Retrieve the End of the Session
      Returns:
      End of the Session

    • transactionVolume

      public double transactionVolume()
      Retrieve the Session Transaction Volume
      Returns:
      The Session Transaction Volume

    • transactionMarketValue

      public double transactionMarketValue()
      Retrieve the Session Transaction Market Value
      Returns:
      The Session Transaction Market Value

    • addTrade

      public boolean addTrade​(double size, double price)
      Add a Trade to the Session
      Parameters:
      size - Size
      price - Price
      Returns:
      TRUE - The Trade has been successfully added

    • finish

      public boolean finish()
      Finish the VWAP Session
      Returns:
      TRUE - The Session is Finished

    • sessionAverage

      public double sessionAverage()
      Retrieve the Session VWAP Average
      Returns:
      The Session VWAP Average