Package org.drip.oms.benchmark
Benchmark/Tie/Peg Price Thresholds
- Author:
- Lakshmi Krishnamurthy
-
Interface Summary Interface Description PegScheme PegScheme exposes the Peg Price Generation Scheme for Peg Orders. -
Class Summary Class Description AggressiveMarketMakingPegScheme AggressiveMarketMakingPegScheme implements the Aggressively Jumping Market Making Scheme for Peg Orders.CrossingMarketMakingPegScheme CrossingMarketMakingPegScheme implements the Crosser Market Making Scheme for Peg Orders.FixedPricePegScheme FixedPricePegScheme implements Fixed Peg Price Scheme for Peg Orders.MarketMakingPegScheme MarketMakingPegScheme abstracts the core Market Making Scheme for Peg Orders.MidPricePegScheme MidPricePegScheme implements Mid-Peg Price Scheme for Peg Orders.VWAP VWAP implements the Volume-Weighted Average Price VWAP that carries the Metrics associated with Trades in a Session.