Package org.drip.oms.fill

Interface OrderExecutionProvider

public interface OrderExecutionProvider
VWAP implements the Volume-Weighted Average Price VWAP that carries the 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
  • 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


Author:
Lakshmi Krishnamurthy

  • Method Summary

    Modifier and Type Method Description
    OrderFulfillment attemptFill​(Order order)
    Attempt Complete Fulfillment of the Specified Order
    boolean isOrderMarketable​(Order order)
    See if the Order can be fully satisfied
    PriceTick priceTick​(java.lang.String securityIdentifier)
    Retrieve the PriceTick given the Security Identifier

  • Method Details

    • priceTick

      PriceTick priceTick​(java.lang.String securityIdentifier)
      Retrieve the PriceTick given the Security Identifier
      Parameters:
      securityIdentifier - The Security Identifier
      Returns:
      The PriceTick

    • isOrderMarketable

      boolean isOrderMarketable​(Order order)
      See if the Order can be fully satisfied
      Parameters:
      order - The Order
      Returns:
      TRUE - The Order can be fully satisfied

    • attemptFill

      OrderFulfillment attemptFill​(Order order)
      Attempt Complete Fulfillment of the Specified Order
      Parameters:
      order - Input Order
      Returns:
      Specifications of the Fulfillment