Package org.drip.oms.thresholded

Class LimitOrder

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.thresholded.LimitOrder

Direct Known Subclasses:

LimitOrderAON, LimitOrderATC, LimitOrderATO, LimitOrderDAY, LimitOrderDTC, LimitOrderFOK, LimitOrderGTC, LimitOrderIOC

public class LimitOrder
extends Order

LimitOrder holds the Details of a Limit 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 Thresholded Limit Order

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LimitOrder(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Limit Order Constructor

Method Summary

Modifier and Type	Method	Description
static LimitOrder	Buy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Construct an Instance of Buy Limit Order
Order	generateChildOrder(double filledSize)	Generate a Child Order of the same Type
boolean	isConditional()	Indicate if the Order is Conditional
PegScheme	pegScheme()	Retrieve the Pegging Scheme
static LimitOrder	Sell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Construct an Instance of Sell Limit Order
static LimitOrder	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Construct a Standard Instance of Limit Order

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

LimitOrder

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

Limit 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

pegScheme - Peg Price Generation Scheme

Throws:

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

Method Details

Standard

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

Construct a Standard Instance of Limit 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

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of Limit Order

Buy

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

Construct an Instance of Buy Limit 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

pegScheme - Peg Price Generation Scheme

Returns:

Instance of Buy Limit Order

Sell

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

Construct an Instance of Sell Limit 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

pegScheme - Peg Price Generation Scheme

Returns:

Instance of Sell Limit Order

pegScheme

public PegScheme pegScheme()

Retrieve the Pegging Scheme

Returns:

The Pegging Scheme

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