Package org.drip.oms.exchange

Interface PricingRebateFunction

public interface PricingRebateFunction
PricingRebateFunction estimates Fee for the specified Price and Size at the given Venue. The References are:

  • Chen, J. (2021): Time in Force: Definition, Types, and Examples https://www.investopedia.com/terms/t/timeinforce.asp
  • Editorial Staff (2016): Inverted Price Venues Grabbing Market Share in US and Canada https://www.tradersmagazine.com/departments/buyside/inverted-price-venues-grabbing-market-share-in-us-and-canada/
  • 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

  • Method Summary

    Modifier and Type Method Description
    boolean isInverted()
    Indicate if the Venue is Inverted
    double makerFee​(java.lang.String ticker, double price, double size)
    Estimate Liquidity Maker Fee for the specified Ticker at the Venue at the Price/Size.
    double takerFee​(java.lang.String ticker, double price, double size)
    Estimate Liquidity Taker Fee for the specified Ticker at the Venue at the Price/Size.

  • Method Details

    • makerFee

      double makerFee​(java.lang.String ticker, double price, double size) throws java.lang.Exception
      Estimate Liquidity Maker Fee for the specified Ticker at the Venue at the Price/Size. Positive number indicates fees paid; negative indicates rebates given.
      Parameters:
      ticker - Ticker
      price - Price
      size - Size
      Returns:
      Fee for Liquidity Maker
      Throws:
      java.lang.Exception - Thrown if the Liquidity Maker Fee cannot be calculated

    • takerFee

      double takerFee​(java.lang.String ticker, double price, double size) throws java.lang.Exception
      Estimate Liquidity Taker Fee for the specified Ticker at the Venue at the Price/Size. Positive number indicates fees paid; negative indicates rebates given.
      Parameters:
      ticker - Ticker
      price - Price
      size - Size
      Returns:
      Fee for Liquidity Taker
      Throws:
      java.lang.Exception - Thrown if the Liquidity Taker Fee cannot be calculated

    • isInverted

      boolean isInverted()
      Indicate if the Venue is Inverted
      Returns:
      TRUE - The Venue is Inverted