Package org.drip.oms.fill

Class NestedFulfillmentScheme

java.lang.Object

org.drip.oms.fill.NestedFulfillmentScheme

public class NestedFulfillmentScheme
extends java.lang.Object

NestedFulfillmentScheme implements an Order Fulfillment Scheme by generating Nested Child Orders. 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
• Vassilis, P. (2005a): A Realistic Model of Market Liquidity and Depth Journal of Futures Markets 25 (5) 443-464
• 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = R^d Order Specification, Handling, and Management
• Package = Order Fulfillment Scheme Implementations/Results

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
NestedFulfillmentScheme(Order orderNode, NestedFulfillmentScheme parent)	NestedFulfillmentScheme Constructor

Method Summary

Modifier and Type	Method	Description
NestedFulfillmentScheme	child()	Retrieve the Child Order
boolean	fill(OrderExecutionProvider orderExecutionProvider)	Fill the Order Using Child Orders
Order	node()	Retrieve the Order Node
NestedFulfillmentScheme	parent()	Retrieve the Parent Order

Methods inherited from class java.lang.Object

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

Constructor Details

NestedFulfillmentScheme

public NestedFulfillmentScheme(Order orderNode,
NestedFulfillmentScheme parent)
                        throws java.lang.Exception

NestedFulfillmentScheme Constructor

Parameters:

orderNode - Order Node

parent - Parent

Throws:

java.lang.Exception - Thrown if Inputs are Invalid

Method Details

node

public Order node()

Retrieve the Order Node

Returns:

The Order Node

parent

public NestedFulfillmentScheme parent()

Retrieve the Parent Order

Returns:

The Parent Order

child

public NestedFulfillmentScheme child()

Retrieve the Child Order

Returns:

The Child Order

fill

public boolean fill(OrderExecutionProvider orderExecutionProvider)

Fill the Order Using Child Orders

Parameters:

orderExecutionProvider - The Order Execution Provider

Returns:

TRUE - The Order successfully Filled