Package org.drip.oms.fix4_2

Class Agent

java.lang.Object
org.drip.oms.fix4_2.Agent
public class Agent
extends java.lang.Object
Agent implements the FIX Agent Handler. 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
    Agent​(VenueHandler venueHandler, DeskHandler deskHandler)
    Construct a FIX Agent Instance

  • Method Summary

    Modifier and Type Method Description
    DeskHandler deskHandler()
    Retrieve the DeskHandler Instance
    boolean execution​(java.lang.String clOrdID, double lastShares)
    Handle the Order Execution
    java.util.Map<java.lang.String,​AgentOrder> fixOrderMap()
    Retrieve the FIX Order Map
    AgentResponse handleClientRequest​(AgentRequest agentRequest)
    Handle the FIX Client Request
    java.lang.String toString()
    Generate String version of the state without Padding
    java.lang.String toString​(java.lang.String pad)
    Generate String version of the state with Padding applied
    VenueHandler venueHandler()
    Retrieve the Venue Handler Instance

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Agent

      public Agent​(VenueHandler venueHandler, DeskHandler deskHandler) throws java.lang.Exception
      Construct a FIX Agent Instance
      Parameters:
      venueHandler - Venue Handler
      deskHandler - Desk Handler
      Throws:
      java.lang.Exception

  • Method Details

    • venueHandler

      public VenueHandler venueHandler()
      Retrieve the Venue Handler Instance
      Returns:
      Venue Handler Instance

    • deskHandler

      public DeskHandler deskHandler()
      Retrieve the DeskHandler Instance
      Returns:
      DeskHandler Instance

    • fixOrderMap

      public java.util.Map<java.lang.String,​AgentOrder> fixOrderMap()
      Retrieve the FIX Order Map
      Returns:
      FIX Order Map

    • handleClientRequest

      public AgentResponse handleClientRequest​(AgentRequest agentRequest)
      Handle the FIX Client Request
      Parameters:
      agentRequest - Agent Request
      Returns:
      Response to the Request

    • execution

      public boolean execution​(java.lang.String clOrdID, double lastShares)
      Handle the Order Execution
      Parameters:
      clOrdID - FIX ClOrdID
      lastShares - Last Executed Shares Count
      Returns:
      TRUE - Order Execution successfully handled

    • toString

      public java.lang.String toString​(java.lang.String pad)
      Generate String version of the state with Padding applied
      Parameters:
      pad - Padding
      Returns:
      String version of the state with Padding applied

    • toString

      public java.lang.String toString()
      Generate String version of the state without Padding
      Overrides:
      toString in class java.lang.Object
      Returns:
      String version of the state without Padding