Package org.drip.oms.switchable
Class StopOrderATO
java.lang.Object
org.drip.oms.transaction.Order
org.drip.oms.switchable.StopOrder
org.drip.oms.switchable.StopOrderATO
public class StopOrderATO extends StopOrder
StopOrderATO holds the Details of a At-The-Open (ATO) 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 = Rd Order Specification, Handling, and Management
- Package = Implementation of Switchable Stop Order
- Author:
- Lakshmi Krishnamurthy
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Constructor Summary
Constructors Constructor Description StopOrderATO(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-Open (ATO) Stop Order Constructor -
Method Summary
Modifier and Type Method Description static StopOrderATO
Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)
Create a Standard Instance of At-The-Open (ATO) Stop Orderstatic StopOrderATO
StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)
Create a Standard Instance of Buy At-The-Open (ATO) Stop Orderstatic StopOrderATO
StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)
Create a Standard Instance of Sell At-The-Open (ATO) Stop OrderMethods 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
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Constructor Details
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StopOrderATO
public StopOrderATO(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.ExceptionAt-The-Open (ATO) Stop Order Constructor- Parameters:
issuer
- Order Issuerticker
- Security Identifier/Tickerid
- Order IDcreationTime
- Creation Timeside
- Order Sidesize
- Order SizefillWholeSettings
- Order Fill-Whole SettingsdisplaySettings
- Order Display SettingsswitchPrice
- Switch-to-Market Price- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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Standard
public static final StopOrderATO Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)Create a Standard Instance of At-The-Open (ATO) Stop Order- Parameters:
issuer
- Order Issuerticker
- Security Identifier/Tickerside
- Order Sidesize
- Order SizefillWholeSettings
- Order Fill-Whole SettingsdisplaySettings
- Order Display SettingsswitchPrice
- Switch-to-Market Price- Returns:
- Standard Instance of At-The-Open (ATO) Stop Order
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StandardBuy
public static final StopOrderATO StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)Create a Standard Instance of Buy At-The-Open (ATO) Stop Order- Parameters:
issuer
- Order Issuerticker
- Security Identifier/Tickersize
- Order SizefillWholeSettings
- Order Fill-Whole SettingsdisplaySettings
- Order Display SettingsswitchPrice
- Switch-to-Market Price- Returns:
- Standard Instance of Buy At-The-Open (ATO) Stop Order
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StandardSell
public static final StopOrderATO StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)Create a Standard Instance of Sell At-The-Open (ATO) Stop Order- Parameters:
issuer
- Order Issuerticker
- Security Identifier/Tickersize
- Order SizefillWholeSettings
- Order Fill-Whole SettingsdisplaySettings
- Order Display SettingsswitchPrice
- Switch-to-Market Price- Returns:
- Standard Instance of Sell At-The-Open (ATO) Stop Order
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