Package org.drip.oms.switchable

Class StopOrder

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.switchable.StopOrder

Direct Known Subclasses:

StopOrderAON, StopOrderATC, StopOrderATO, StopOrderDAY, StopOrderDTC, StopOrderFOK, StopOrderGTC, StopOrderIOC

public class StopOrder
extends Order

StopOrder holds the Details of a Stop 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

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = R^d Order Specification, Handling, and Management
• Package = Implementation of Switchable Stop Order

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
StopOrder(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Stop Order Constructor

Method Summary

Modifier and Type	Method	Description
static StopOrder	Buy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Construct an Instance of Buy Stop Order
Order	generateChildOrder(double filledSize)	Generate a Child Order of the same Type
boolean	isConditional()	Indicate if the Order is Conditional
static StopOrder	Sell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Construct an Instance of Sell Stop Order
static StopOrder	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Construct a Standard Instance of Stop Order
double	switchPrice()	Retrieve the Switch-to-Market Price
MarketOrder	switchToMarket(CrossVenueMontageDigest crossVenueMontageDigest)	Switch to Market Order based on the side and the L1 Montage

Methods inherited from class org.drip.oms.transaction.Order

allOrNone, amendSize, completionTime, creationTime, displayAmount, displaySettings, fillOrKill, fillWholeSettings, fulfill, id, isOutstanding, issuer, setComplete, setState, side, size, state, ticker, timeInForce, type, updateTime

Methods inherited from class java.lang.Object

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

Constructor Details

StopOrder

public StopOrder(OrderIssuer issuer,
java.lang.String ticker,
java.lang.String id,
java.util.Date creationTime,
Side side,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings,
double switchPrice)
          throws java.lang.Exception

Stop Order Constructor

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

id - Order ID

creationTime - Creation Time

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final StopOrder Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings,
double switchPrice)

Construct a Standard Instance of Stop Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Standard Instance of Stop Order

Buy

public static final StopOrder Buy(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings,
double switchPrice)

Construct an Instance of Buy Stop Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Instance of Buy Stop Order

Sell

public static final StopOrder Sell(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings,
double switchPrice)

Construct an Instance of Sell Stop Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Instance of Sell Stop Order

switchPrice

public double switchPrice()

Retrieve the Switch-to-Market Price

Returns:

The Switch-to-Market Price

switchToMarket

public MarketOrder switchToMarket(CrossVenueMontageDigest crossVenueMontageDigest)

Switch to Market Order based on the side and the L1 Montage

Parameters:

crossVenueMontageDigest - The L1 Cross Venue Montage Digest

Returns:

The Switched to Market Order (or NULL if not switch happens)

isConditional

public boolean isConditional()

Description copied from class: Order

Indicate if the Order is Conditional

Specified by:

isConditional in class Order

Returns:

TRUE - Order is Conditional

generateChildOrder

public Order generateChildOrder(double filledSize)

Description copied from class: Order

Generate a Child Order of the same Type

Specified by:

generateChildOrder in class Order

Parameters:

filledSize - Filled Size

Returns:

Child Order of the same Type