Package org.drip.oms.depth
Class PriceBook
java.lang.Object
org.drip.oms.depth.PriceBook
public class PriceBook
extends java.lang.Object
PriceBook maintains the Ordered Price Book Entry for a Ticker/Venue. 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
- Module = Product Core Module
- Library = Transaction Cost Analytics
- Project = Rd Order Specification, Handling, and Management
- Package = L1, L2, L3 Deep Books
- Author:
- Lakshmi Krishnamurthy
-
Constructor Summary
Constructors Constructor Description PriceBook()
PriceBook Constructor -
Method Summary
Modifier and Type Method Description java.util.TreeMap<java.lang.Double,LimitOrderBlock>
aggregatedPostedBlockMap()
Retrieve the Aggregated Posted Block Price Mapboolean
aggregatePostedBlock(LimitOrderBlock postedBlock)
Aggregate a Posted Block to the Price Bookboolean
disaggregateSweptBlock(LimitOrderBlock sweptBlock, boolean allowPartialSweep)
Disaggregate a Swept Block to the Price BookLimitOrderBlock
topOfTheBook(boolean bid)
Retrieve the Top-of-the-Bookjava.lang.String
toString()
Generate String version of the state without Paddingjava.lang.String
toString(java.lang.String pad)
Generate String version of the state with Padding appliedMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, wait, wait, wait
-
Constructor Details
-
PriceBook
public PriceBook()PriceBook Constructor
-
-
Method Details
-
aggregatedPostedBlockMap
Retrieve the Aggregated Posted Block Price Map- Returns:
- The Aggregated Posted Block Price Map
-
aggregatePostedBlock
Aggregate a Posted Block to the Price Book- Parameters:
postedBlock
- Posted Block- Returns:
- TRUE - The Posted Block successfully aggregated to the Price Book
-
disaggregateSweptBlock
Disaggregate a Swept Block to the Price Book- Parameters:
sweptBlock
- Swept BlockallowPartialSweep
- TRUE - Partial Sweep is allowed- Returns:
- TRUE - The Swept Block successfully disaggregated to the Price Book
-
topOfTheBook
Retrieve the Top-of-the-Book- Parameters:
bid
- TRUE - Top-of-the-Bid-Book- Returns:
- The Top-of-the-Book
-
toString
public java.lang.String toString(java.lang.String pad)Generate String version of the state with Padding applied- Parameters:
pad
- Padding- Returns:
- String version of the state with Padding applied
-
toString
public java.lang.String toString()Generate String version of the state without Padding- Overrides:
toString
in classjava.lang.Object
- Returns:
- String version of the state without Padding
-