Package org.drip.oms.depth

Class MontageL1SizeLayer

java.lang.Object
org.drip.oms.depth.MontageL1SizeLayer
public class MontageL1SizeLayer
extends java.lang.Object
MontageL1SizeLayer holds the Per-ticker Posted Blocks for a given Venue and a Price, ordered by Size. 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
    MontageL1SizeLayer()
    MontageL1SizeLayer Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addEntry​(MontageL1Entry montageL1Entry)
    Add the L1 Montage Entry
    double aggregate()
    Retrieve the Aggregated Size of the Montage Layer
    java.util.List<MontageL1Entry> leadingBlockList()
    Retrieve the List of the Leading Blocks of the Montage Layer
    double leadingSize()
    Retrieve the Leading Size of the Montage Layer
    java.util.TreeMap<java.lang.Double,​java.util.List<MontageL1Entry>> orderedEntryListMap()
    Retrieve the Ordered Montage L1 Entry Map
    double price()
    Retrieve the Price of the Montage Layer
    UBBOBlock ubboBlock()
    Retrieve the UBBO Block

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • MontageL1SizeLayer

      public MontageL1SizeLayer()
      MontageL1SizeLayer Constructor

  • Method Details

    • orderedEntryListMap

      public java.util.TreeMap<java.lang.Double,​java.util.List<MontageL1Entry>> orderedEntryListMap()
      Retrieve the Ordered Montage L1 Entry Map
      Returns:
      Ordered Montage L1 Entry Map

    • addEntry

      public boolean addEntry​(MontageL1Entry montageL1Entry)
      Add the L1 Montage Entry
      Parameters:
      montageL1Entry - The L1 Montage Entry
      Returns:
      TRUE - The L1 Montage Entry successfully added

    • price

      public double price() throws java.lang.Exception
      Retrieve the Price of the Montage Layer
      Returns:
      Price of the Montage Layer
      Throws:
      java.lang.Exception - Thrown if the MontageL1SizeLayer is Empty

    • leadingSize

      public double leadingSize() throws java.lang.Exception
      Retrieve the Leading Size of the Montage Layer
      Returns:
      Leading Size of the Montage Layer
      Throws:
      java.lang.Exception - Thrown if the MontageL1SizeLayer is Empty

    • leadingBlockList

      public java.util.List<MontageL1Entry> leadingBlockList()
      Retrieve the List of the Leading Blocks of the Montage Layer
      Returns:
      List of the Leading Blocks of the Montage Layer

    • aggregate

      public double aggregate() throws java.lang.Exception
      Retrieve the Aggregated Size of the Montage Layer
      Returns:
      Aggregated Size of the Montage Layer
      Throws:
      java.lang.Exception - Thrown if the MontageL1SizeLayer is Empty

    • ubboBlock

      public UBBOBlock ubboBlock()
      Retrieve the UBBO Block
      Returns:
      The UBBO Block