Package org.drip.oms.depth

Class MontageL1Entry

java.lang.Object
org.drip.oms.depth.MontageL1Entry
public class MontageL1Entry
extends java.lang.Object
MontageL1Entry holds the Venue-specific Top-of-the Book L1 for a given Ticker. 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
    MontageL1Entry​(java.lang.String venueCode, OrderBlock topOfTheBook)
    MontageL1Entry Constructor

  • Method Summary

    Modifier and Type Method Description
    OrderBlock topOfTheBook()
    Retrieve the Bid Top-of-the-Book
    java.lang.String venueCode()
    Retrieve the Venue Code

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MontageL1Entry

      public MontageL1Entry​(java.lang.String venueCode, OrderBlock topOfTheBook) throws java.lang.Exception
      MontageL1Entry Constructor
      Parameters:
      venueCode - Venue Code
      topOfTheBook - Top of the Book
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • venueCode

      public java.lang.String venueCode()
      Retrieve the Venue Code
      Returns:
      The Venue Code

    • topOfTheBook

      public OrderBlock topOfTheBook()
      Retrieve the Bid Top-of-the-Book
      Returns:
      Bid Top-of-the-Book