Package org.drip.oms.exchange

Class Venue

java.lang.Object
org.drip.oms.exchange.Venue
public class Venue
extends java.lang.Object
Venue implements Functionality corresponding to a Venue. 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
    Venue​(VenueSettings settings)
    Venue Constructor

  • Method Summary

    Modifier and Type Method Description
    MontageL1Entry askMontageL1Entry​(java.lang.String ticker)
    Retrieve the Ask L1 Montage Entry for the specified Ticker
    java.util.Map<java.lang.String,​PriceBook> askTickerPriceBookMap()
    Retrieve the Ask Price Book per Ticker
    java.util.Set<java.lang.String> askTickerSet()
    Retrieve the Ask Ticker Set
    MontageL1Entry bidMontageL1Entry​(java.lang.String ticker)
    Retrieve the Bid L1 Montage Entry for the specified Ticker
    java.util.Map<java.lang.String,​PriceBook> bidTickerPriceBookMap()
    Retrieve the Bid Price Book per Ticker
    java.util.Set<java.lang.String> bidTickerSet()
    Retrieve the Bid Ticker Set
    boolean postAskBlock​(java.lang.String ticker, OrderBlock postedBlock)
    Post a Block to the Venue Ask Book for the Ticker
    boolean postBidBlock​(java.lang.String ticker, OrderBlock postedBlock)
    Post a Block to the Venue Bid Book for the Ticker
    double postFee​(java.lang.String ticker, double price, double size)
    Estimate Liquidity Posting Fee for the specified Ticker at the Venue at the Price/Size.
    VenueSettings settings()
    Retrieve the Venue Settings
    boolean sweepAskBlock​(java.lang.String ticker, OrderBlock sweptBlock, boolean allowPartialSweep)
    Sweep a Block to the Venue Ask Book for the Ticker
    boolean sweepBidBlock​(java.lang.String ticker, OrderBlock sweptBlock, boolean allowPartialSweep)
    Sweep a Block to the Venue Bid Book for the Ticker
    double sweepFee​(java.lang.String ticker, double price, double size)
    Estimate Liquidity Sweeping Fee for the specified Ticker at the Venue at the Price/Size.
    OrderBlock topOfTheAskBook​(java.lang.String ticker)
    Retrieve the Top-of-the-Ask-Book for the specified Ticker
    OrderBlock topOfTheBidBook​(java.lang.String ticker)
    Retrieve the Top-of-the-Bid-Book for the specified Ticker

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Venue

      public Venue​(VenueSettings settings) throws java.lang.Exception
      Venue Constructor
      Parameters:
      settings - Venue Settings
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • settings

      public VenueSettings settings()
      Retrieve the Venue Settings
      Returns:
      The Venue Settings

    • bidTickerPriceBookMap

      public java.util.Map<java.lang.String,​PriceBook> bidTickerPriceBookMap()
      Retrieve the Bid Price Book per Ticker
      Returns:
      Bid Price Book per Ticker

    • askTickerPriceBookMap

      public java.util.Map<java.lang.String,​PriceBook> askTickerPriceBookMap()
      Retrieve the Ask Price Book per Ticker
      Returns:
      Ask Price Book per Ticker

    • postFee

      public double postFee​(java.lang.String ticker, double price, double size) throws java.lang.Exception
      Estimate Liquidity Posting Fee for the specified Ticker at the Venue at the Price/Size.
      Parameters:
      ticker - Ticker
      price - Price
      size - Size
      Returns:
      Fee for Liquidity Posting
      Throws:
      java.lang.Exception - Thrown if the Liquidity Posting Fee cannot be calculated

    • sweepFee

      public double sweepFee​(java.lang.String ticker, double price, double size) throws java.lang.Exception
      Estimate Liquidity Sweeping Fee for the specified Ticker at the Venue at the Price/Size.
      Parameters:
      ticker - Ticker
      price - Price
      size - Size
      Returns:
      Fee for Liquidity Sweeping
      Throws:
      java.lang.Exception - Thrown if the Liquidity Sweeping Fee cannot be calculated

    • postBidBlock

      public boolean postBidBlock​(java.lang.String ticker, OrderBlock postedBlock)
      Post a Block to the Venue Bid Book for the Ticker
      Parameters:
      ticker - The Ticker
      postedBlock - The Posted Block
      Returns:
      TRUE - The Block posted to the Venue Bid Book for the Ticker

    • postAskBlock

      public boolean postAskBlock​(java.lang.String ticker, OrderBlock postedBlock)
      Post a Block to the Venue Ask Book for the Ticker
      Parameters:
      ticker - The Ticker
      postedBlock - The Posted Block
      Returns:
      TRUE - The Block posted to the Venue Ask Book for the Ticker

    • sweepBidBlock

      public boolean sweepBidBlock​(java.lang.String ticker, OrderBlock sweptBlock, boolean allowPartialSweep)
      Sweep a Block to the Venue Bid Book for the Ticker
      Parameters:
      ticker - The Ticker
      sweptBlock - The Swept Block
      allowPartialSweep - TRUE - Partial Sweep is allowed
      Returns:
      TRUE - The Block Swept to the Venue Bid Book for the Ticker

    • sweepAskBlock

      public boolean sweepAskBlock​(java.lang.String ticker, OrderBlock sweptBlock, boolean allowPartialSweep)
      Sweep a Block to the Venue Ask Book for the Ticker
      Parameters:
      ticker - The Ticker
      sweptBlock - The Swept Block
      allowPartialSweep - TRUE - Partial Sweep is allowed
      Returns:
      TRUE - The Block Swept to the Venue Ask Book for the Ticker

    • topOfTheBidBook

      public OrderBlock topOfTheBidBook​(java.lang.String ticker)
      Retrieve the Top-of-the-Bid-Book for the specified Ticker
      Parameters:
      ticker - Ticker
      Returns:
      The Top-of-the-Bid-Book

    • topOfTheAskBook

      public OrderBlock topOfTheAskBook​(java.lang.String ticker)
      Retrieve the Top-of-the-Ask-Book for the specified Ticker
      Parameters:
      ticker - Ticker
      Returns:
      The Top-of-the-Ask-Book

    • bidMontageL1Entry

      public MontageL1Entry bidMontageL1Entry​(java.lang.String ticker)
      Retrieve the Bid L1 Montage Entry for the specified Ticker
      Parameters:
      ticker - Ticker
      Returns:
      The Bid L1 Montage Entry

    • askMontageL1Entry

      public MontageL1Entry askMontageL1Entry​(java.lang.String ticker)
      Retrieve the Ask L1 Montage Entry for the specified Ticker
      Parameters:
      ticker - Ticker
      Returns:
      The Ask L1 Montage Entry

    • 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