Package org.drip.oms.fill

Implementation of Order Fulfillment Schemes
Author:
Lakshmi Krishnamurthy
  • Interface Summary
    Interface Description
    OrderExecutionProvider
    VWAP implements the Volume-Weighted Average Price VWAP that carries the Metrics associated with Trades in a Session.
  • Class Summary
    Class Description
    NestedFulfillmentScheme
    NestedFulfillmentScheme implements an Order Fulfillment Scheme by generating Nested Child Orders.
    OrderFulfillment
    OrderFulfillment holds the Details of a Filled Order.