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
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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 MapbooleanaggregatePostedBlock(LimitOrderBlock postedBlock)Aggregate a Posted Block to the Price BookbooleandisaggregateSweptBlock(LimitOrderBlock sweptBlock, boolean allowPartialSweep)Disaggregate a Swept Block to the Price BookLimitOrderBlocktopOfTheBook(boolean bid)Retrieve the Top-of-the-Bookjava.lang.StringtoString()Generate String version of the state without Paddingjava.lang.StringtoString(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
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Constructor Details
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PriceBook
public PriceBook()PriceBook Constructor
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Method Details
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aggregatedPostedBlockMap
Retrieve the Aggregated Posted Block Price Map- Returns:
- The Aggregated Posted Block Price Map
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aggregatePostedBlock
Aggregate a Posted Block to the Price Book- Parameters:
postedBlock- Posted Block- Returns:
- TRUE - The Posted Block successfully aggregated to the Price Book
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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
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topOfTheBook
Retrieve the Top-of-the-Book- Parameters:
bid- TRUE - Top-of-the-Bid-Book- Returns:
- The Top-of-the-Book
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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
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toString
public java.lang.String toString()Generate String version of the state without Padding- Overrides:
toStringin classjava.lang.Object- Returns:
- String version of the state without Padding
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