Package org.drip.oms.switchable

Class StopOrderDAY

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.switchable.StopOrder

org.drip.oms.switchable.StopOrderDAY

public class StopOrderDAY
extends StopOrder

StopOrderDAY holds the Details of a DAY 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
StopOrderDAY(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	DAY Stop Order Constructor

Method Summary

Modifier and Type	Method	Description
static StopOrderDAY	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of DAY Limit Order
static StopOrderDAY	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of Buy DAY Limit Order
static StopOrderDAY	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, double switchPrice)	Create a Standard Instance of Sell DAY Limit 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

StopOrderDAY

public StopOrderDAY(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

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

Create a Standard Instance of DAY Limit 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 DAY Limit Order

StandardBuy

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

Create a Standard Instance of Buy DAY 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 DAY Limit Order

StandardSell

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

Create a Standard Instance of Sell DAY 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 DAY Limit Order