Package org.drip.oms.fill

Class OrderFulfillment

java.lang.Object
org.drip.oms.fill.OrderFulfillment
public class OrderFulfillment
extends java.lang.Object
OrderFulfillment holds the Details of a Filled Order. 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

  • Constructor Summary

    Constructors
    Constructor Description
    OrderFulfillment​(java.util.Date executedTime, double executedSize, double executedPrice)
    OrderFulfillment Constructor

  • Method Summary

    Modifier and Type Method Description
    double executedPrice()
    Retrieve the Executed Price
    double executedSize()
    Retrieve the Executed Size
    java.util.Date executedTime()
    Retrieve the Executed Time

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OrderFulfillment

      public OrderFulfillment​(java.util.Date executedTime, double executedSize, double executedPrice) throws java.lang.Exception
      OrderFulfillment Constructor
      Parameters:
      executedTime - Execution Time
      executedSize - Executed Size
      executedPrice - Executed Price
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • executedTime

      public java.util.Date executedTime()
      Retrieve the Executed Time
      Returns:
      The Executed Time

    • executedSize

      public double executedSize()
      Retrieve the Executed Size
      Returns:
      The Executed Size

    • executedPrice

      public double executedPrice()
      Retrieve the Executed Price
      Returns:
      The Executed Price