PriceTick

java.lang.Object

org.drip.oms.depth.PriceTick

public class PriceTick
extends java.lang.Object

Order holds the Details of an Order. The References are:

Berkowitz, S. A., D. E. Logue, and E. A. J. Noser (1988): The Total Cost of Transactions on the NYSE Journal of Finance 43 (1) 97-112
Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets Quantitative Finance 17 (1) 21-39
Vassilis, P. (2005a): A Realistic Model of Market Liquidity and Depth Journal of Futures Markets 25 (5) 443-464
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

Module = Product Core Module
Library = Transaction Cost Analytics
Project = R^d Order Specification, Handling, and Management
Package = L1, L2, L3 Deep Books

Author:: Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type Field Description

static int DOWNTICK
Price Down-tick

static int NOTICK
Price No-tick

static int UPTICK
Price Up-tick
Constructor Summary

Constructors

Constructor Description

PriceTick(int tickDirection, double nbboBid, double nbboAsk)
PriceTick Constructor

Method Summary

Modifier and Type	Method	Description
`double`	`nbboAsk()`	Retrieve the NBBO Ask
`double`	`nbboBid()`	Retrieve the NBBO Bid
`double`	`nbboMid()`	Retrieve the NBBO Mid
`int`	`tickDirection()`	Retrieve the Tick Direction

Methods inherited from class java.lang.Object

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

Field Details
- NOTICK
  
  public static final int NOTICK
  
  Price No-tick
  
  See Also:
  
  Constant Field Values
- UPTICK
  
  public static final int UPTICK
  
  Price Up-tick
  
  See Also:
  
  Constant Field Values
- DOWNTICK
  
  public static final int DOWNTICK
  
  Price Down-tick
  
  See Also:
  
  Constant Field Values
Constructor Details
- PriceTick
  
  public PriceTick(int tickDirection, double nbboBid, double nbboAsk) throws java.lang.Exception
  
  PriceTick Constructor
  
  Parameters:
  
  tickDirection - Tick Direction
  
  nbboBid - NBBO Bid
  
  nbboAsk - NBBO Ask
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- tickDirection
  
  public int tickDirection()
  
  Retrieve the Tick Direction
  
  Returns:
  
  The Tick Direction
- nbboBid
  
  public double nbboBid()
  
  Retrieve the NBBO Bid
  
  Returns:
  
  The NBBO Bid
- nbboAsk
  
  public double nbboAsk()
  
  Retrieve the NBBO Ask
  
  Returns:
  
  The NBBO Ask
- nbboMid
  
  public double nbboMid()
  
  Retrieve the NBBO Mid
  
  Returns:
  
  The NBBO Mid