Package org.drip.oms.fix4_2

Class AgentOrder

java.lang.Object
org.drip.oms.fix4_2.AgentOrder
All Implemented Interfaces:
AgentVenueListener
public class AgentOrder
extends java.lang.Object
implements AgentVenueListener
AgentOrder holds the Details of a FIX 4.2 Agent 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
    AgentOrder​(Order order, java.util.Date creationRequestTime)
    AgentOrder Constructor

  • Method Summary

    Modifier and Type Method Description
    boolean accept()
    Accept the FIX Order
    java.lang.String clOrdID()
    Retrieve the FIX ClOrdID
    java.util.Date creationRequestTime()
    Retrieve the Order Creation Request Time
    boolean execution​(double lastShares)
    Handle the Order Execution
    static AgentOrder FromAgentRequest​(AgentRequest agentRequest)
    Construct a AgentOrder Instance from the Agent Request
    Order order()
    Retrieve the Underlying Order
    int orderStatus()
    Retrieve the Order Status
    java.lang.String origClOrdID()
    Retrieve the FIX OrigClOrdID
    int precedenceOrdinal()
    Retrieve the Precedence Ordinal
    boolean reject()
    Reject the FIX Order
    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

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • AgentOrder

      public AgentOrder​(Order order, java.util.Date creationRequestTime) throws java.lang.Exception
      AgentOrder Constructor
      Parameters:
      order - Underlying Order
      creationRequestTime - Creation Request Time
      Throws:
      java.lang.Exception - Thrown if the Inputs are Invalid

  • Method Details

    • FromAgentRequest

      public static final AgentOrder FromAgentRequest​(AgentRequest agentRequest)
      Construct a AgentOrder Instance from the Agent Request
      Parameters:
      agentRequest - Agent Request
      Returns:
      FIXOrder Instance

    • order

      public Order order()
      Retrieve the Underlying Order
      Returns:
      Underlying Order

    • precedenceOrdinal

      public int precedenceOrdinal()
      Retrieve the Precedence Ordinal
      Returns:
      The Precedence Ordinal

    • orderStatus

      public int orderStatus()
      Retrieve the Order Status
      Returns:
      The Order Status

    • creationRequestTime

      public java.util.Date creationRequestTime()
      Retrieve the Order Creation Request Time
      Returns:
      The Order Creation Request Time

    • clOrdID

      public java.lang.String clOrdID()
      Retrieve the FIX ClOrdID
      Returns:
      FIX ClOrdID

    • origClOrdID

      public java.lang.String origClOrdID()
      Retrieve the FIX OrigClOrdID
      Returns:
      FIX OrigClOrdID

    • reject

      public boolean reject()
      Reject the FIX Order
      Returns:
      TRUE - FIX Order successfully rejected

    • accept

      public boolean accept()
      Accept the FIX Order
      Returns:
      TRUE - FIX Order successfully accepted

    • execution

      public boolean execution​(double lastShares)
      Handle the Order Execution
      Specified by:
      execution in interface AgentVenueListener
      Parameters:
      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