Package org.drip.oms.depth

Class UBBOBlock

java.lang.Object
org.drip.oms.depth.UBBOBlock
public class UBBOBlock
extends java.lang.Object
UBBOBlock retains the Aggregated Top-of-the-Book and its Contributors. 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
    UBBOBlock()
    Empty UBBOBlock Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean addMontageEntry​(MontageL1Entry montageL1Entry)
    Add a Montage Entry
    double aggregatedSize()
    Retrieve the Aggregated UBBO Size
    java.util.Set<java.lang.String> contributingVenueSet()
    Retrieve the Set of Contributing Venues
    boolean isValid()
    Indicate if the UBBO Block is Valid
    double price()
    Retrieve the UBBO Price

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • UBBOBlock

      public UBBOBlock()
      Empty UBBOBlock Constructor

  • Method Details

    • price

      public double price()
      Retrieve the UBBO Price
      Returns:
      The UBBO Price

    • aggregatedSize

      public double aggregatedSize()
      Retrieve the Aggregated UBBO Size
      Returns:
      The Aggregated UBBO Size

    • contributingVenueSet

      public java.util.Set<java.lang.String> contributingVenueSet()
      Retrieve the Set of Contributing Venues
      Returns:
      Set of Contributing Venues

    • isValid

      public boolean isValid()
      Indicate if the UBBO Block is Valid
      Returns:
      TRUE - The UBBO Block is Valid

    • addMontageEntry

      public boolean addMontageEntry​(MontageL1Entry montageL1Entry)
      Add a Montage Entry
      Parameters:
      montageL1Entry - The Montage Entry
      Returns:
      TRUE - The Montage Entry successfully added