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
- Module = Product Core Module
- Library = Transaction Cost Analytics
- Project = Rd Order Specification, Handling, and Management
- Package = Order Fulfillment Scheme Implementations/Results
- Author:
- Lakshmi Krishnamurthy
-
Method Summary
Modifier and Type Method Description OrderFulfillment
attemptFill(Order order)
Attempt Complete Fulfillment of the Specified Orderboolean
isOrderMarketable(Order order)
See if the Order can be fully satisfiedPriceTick
priceTick(java.lang.String securityIdentifier)
Retrieve the PriceTick given the Security Identifier
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Method Details
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priceTick
Retrieve the PriceTick given the Security Identifier- Parameters:
securityIdentifier
- The Security Identifier- Returns:
- The PriceTick
-
isOrderMarketable
See if the Order can be fully satisfied- Parameters:
order
- The Order- Returns:
- TRUE - The Order can be fully satisfied
-
attemptFill
Attempt Complete Fulfillment of the Specified Order- Parameters:
order
- Input Order- Returns:
- Specifications of the Fulfillment
-