Package org.drip.oms.depth

Class CrossVenueMontageDigest

java.lang.Object
org.drip.oms.depth.CrossVenueMontageDigest
public class CrossVenueMontageDigest
extends java.lang.Object
CrossVenueMontageDigest contains the Digest of cross-Venue Montage Calculation. The References are:

  • Chen, J. (2021): Time in Force: Definition, Types, and Examples https://www.investopedia.com/terms/t/timeinforce.asp
  • Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets Quantitative Finance 17 (1) 21-39
  • 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
  • Wikipedia (2023): Central Limit Order Book https://en.wikipedia.org/wiki/Central_limit_order_book


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    CrossVenueMontageDigest​(java.util.Map<java.lang.String,​MontageL1Manager> tickerL1ManagerMap)
    CrossVenueMontageDigest Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean containsTicker​(java.lang.String ticker)
    Indicate if the Specified Ticker is available in the Montage
    MontageL1Manager retrieveTickerMontageL1Manager​(java.lang.String ticker)
    Retrieve the L1 Montage Manager Map for specified Ticker
    java.util.Map<java.lang.String,​MontageL1Manager> tickerL1ManagerMap()
    Retrieve the Ticker to L1 Montage Manager Map
    java.util.Set<java.lang.String> tickerSet()
    Retrieve the Set of Montage Tickers

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CrossVenueMontageDigest

      public CrossVenueMontageDigest​(java.util.Map<java.lang.String,​MontageL1Manager> tickerL1ManagerMap) throws java.lang.Exception
      CrossVenueMontageDigest Constructor
      Parameters:
      tickerL1ManagerMap - Ticker to L1 Montage Manager Map
      Throws:
      java.lang.Exception - Thrown if Inputs are Invalid

  • Method Details

    • tickerL1ManagerMap

      public java.util.Map<java.lang.String,​MontageL1Manager> tickerL1ManagerMap()
      Retrieve the Ticker to L1 Montage Manager Map
      Returns:
      The Ticker to L1 Montage Manager Map

    • tickerSet

      public java.util.Set<java.lang.String> tickerSet()
      Retrieve the Set of Montage Tickers
      Returns:
      Set of Montage Tickers

    • containsTicker

      public boolean containsTicker​(java.lang.String ticker)
      Indicate if the Specified Ticker is available in the Montage
      Parameters:
      ticker - Ticker
      Returns:
      TRUE - The Specified Ticker is available in the Montage

    • retrieveTickerMontageL1Manager

      public MontageL1Manager retrieveTickerMontageL1Manager​(java.lang.String ticker)
      Retrieve the L1 Montage Manager Map for specified Ticker
      Parameters:
      ticker - Ticker
      Returns:
      L1 Montage Manager Map for specified Ticker