Uses of Package
org.drip.oms.depth
| Package | Description |
|---|---|
| org.drip.oms.depth |
L1/L2/L3 Deep Books
|
| org.drip.oms.exchange |
Implementation of Venue Order Handling
|
| org.drip.oms.fill |
Implementation of Order Fulfillment Schemes
|
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Classes in org.drip.oms.depth used by org.drip.oms.depth Class Description MontageL1Entry MontageL1Entry holds the Venue-specific Top-of-the Book L1 for a given Ticker.MontageL1SizeLayer MontageL1SizeLayer holds the Per-ticker Posted Blocks for a given Venue and a Price, ordered by Size.OrderBlockL2 OrderBlockL2 maintains a Deep Price Book for a Venue.UBBOBlock UBBOBlock retains the Aggregated Top-of-the-Book and its Contributors. -
Classes in org.drip.oms.depth used by org.drip.oms.exchange Class Description MontageL1Entry MontageL1Entry holds the Venue-specific Top-of-the Book L1 for a given Ticker.MontageL1Manager MontageL1Manager manages the Top-of-the Book L1 Montage across Venues for a single Ticker.PriceBook PriceBook maintains the Ordered Price Book Entry for a Ticker/Venue. -
Classes in org.drip.oms.depth used by org.drip.oms.fill Class Description PriceTick Order holds the Details of an Order.