Package org.drip.oms.switchable

Class StopOrderATC

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.switchable.StopOrder

org.drip.oms.switchable.StopOrderATC

public class StopOrderATC
extends StopOrder

StopOrderATC holds the Details of an At-The-Close (ATC) 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
StopOrderATC(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	At-The-Close (ATC) Stop Order Constructor

Method Summary

Modifier and Type	Method	Description
static StopOrderATC	Buy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of Buy At-The-Close (ATC) Limit Order
static StopOrderATC	Sell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of Sell At-The-Close (ATC) Limit Order
static StopOrderATC	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of At-The-Close (ATC) Stop Order

Methods inherited from class org.drip.oms.switchable.StopOrder

Buy, generateChildOrder, isConditional, Sell, Standard, switchPrice, switchToMarket

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

StopOrderATC

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

At-The-Close (ATC) Stop Order Constructor

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

id - Order ID

creationTime - Creation Time

side - Order Side

size - Order Size

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 StopOrderATC Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings,
double switchPrice)

Create a Standard Instance of At-The-Close (ATC) Stop Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Standard Instance of At-The-Close (ATC) Stop Order

Buy

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

Create a Standard Instance of Buy At-The-Close (ATC) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Standard Instance of Buy At-The-Close (ATC) Limit Order

Sell

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

Create a Standard Instance of Sell At-The-Close (ATC) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

switchPrice - Switch-to-Market Price

Returns:

Standard Instance of Sell At-The-Close (ATC) Limit Order