Package org.drip.oms.exchange

Class TradesWindow

java.lang.Object
org.drip.oms.exchange.TradesWindow
public class TradesWindow
extends java.lang.Object
TradesWindow implements Metrics associated with Trades in a Session. 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
  • Jacob, B. (2024): 7 Execution Algorithms You Should Know About…. https://www.linkedin.com/pulse/7-execution-algorithms-you-should-know-benjamin-jacob-vl7pf/
  • Vassilis, P. (2005): 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


Author:
Lakshmi Krishnamurthy

  • Constructor Summary

    Constructors
    Constructor Description
    TradesWindow()  

  • Method Summary

    Modifier and Type Method Description
    boolean addTrade​(Trade trade)
    Add a Trade to the Session
    java.util.Date sessionEnd()
    Retrieve the End of the Session
    boolean sessionFinish()
    Finish the Session
    java.util.Date sessionStart()
    Retrieve the Start of the Session
    java.util.List<Trade> sessionTradeList()
    Retrieve the List of Session Trades
    double sessionTradeMarketValue()
    Retrieve the Session Transaction Market Value
    double sessionTradeVolume()
    Retrieve the Session Trade Volume
    double twap()
    Retrieve the Session TWAP Average
    double vwap()
    Retrieve the Session VWAP Average

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • TradesWindow

      public TradesWindow()

  • Method Details

    • sessionStart

      public java.util.Date sessionStart()
      Retrieve the Start of the Session
      Returns:
      Start of the Session

    • sessionEnd

      public java.util.Date sessionEnd()
      Retrieve the End of the Session
      Returns:
      End of the Session

    • sessionTradeList

      public java.util.List<Trade> sessionTradeList()
      Retrieve the List of Session Trades
      Returns:
      List of Session Trades

    • sessionTradeVolume

      public double sessionTradeVolume()
      Retrieve the Session Trade Volume
      Returns:
      The Session Trade Volume

    • sessionTradeMarketValue

      public double sessionTradeMarketValue()
      Retrieve the Session Transaction Market Value
      Returns:
      The Session Transaction Market Value

    • addTrade

      public boolean addTrade​(Trade trade)
      Add a Trade to the Session
      Parameters:
      trade - Trade
      Returns:
      TRUE - The Trade has been successfully added

    • sessionFinish

      public boolean sessionFinish()
      Finish the Session
      Returns:
      TRUE - The Session is Finished

    • vwap

      public double vwap()
      Retrieve the Session VWAP Average
      Returns:
      The Session VWAP Average

    • twap

      public double twap()
      Retrieve the Session TWAP Average
      Returns:
      The Session TWAP Average