Package org.drip.oms.exchange

Class CrossVenueMontageProcessor

java.lang.Object
org.drip.oms.exchange.CrossVenueMontageProcessor
public class CrossVenueMontageProcessor
extends java.lang.Object
CrossVenueMontageProcessor compiles and processes cross-Venue Montage Functionality. 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
    CrossVenueMontageProcessor​(java.util.List<Venue> venueList)
    Empty CrossVenueMontageProcessor Constructor

  • Method Summary

    Modifier and Type Method Description
    java.util.Set<java.lang.String> askTickerSet()
    Retrieve the Ask Ticker Set
    java.util.Set<java.lang.String> bidTickerSet()
    Retrieve the Bid Ticker Set
    java.util.Map<java.lang.String,​Venue> l1Container()
    Retrieve the Venue L1 Container
    CrossVenueMontageDigest munge()  

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • CrossVenueMontageProcessor

      public CrossVenueMontageProcessor​(java.util.List<Venue> venueList) throws java.lang.Exception
      Empty CrossVenueMontageProcessor Constructor
      Throws:
      java.lang.Exception

  • Method Details

    • l1Container

      public java.util.Map<java.lang.String,​Venue> l1Container()
      Retrieve the Venue L1 Container
      Returns:
      The Venue L1 Container

    • bidTickerSet

      public java.util.Set<java.lang.String> bidTickerSet()
      Retrieve the Bid Ticker Set
      Returns:
      The Bid Ticker Set

    • askTickerSet

      public java.util.Set<java.lang.String> askTickerSet()
      Retrieve the Ask Ticker Set
      Returns:
      The Ask Ticker Set

    • munge

      public CrossVenueMontageDigest munge()