Package org.drip.oms.thresholded

Class LimitOrderAON

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.thresholded.LimitOrder

org.drip.oms.thresholded.LimitOrderAON

public class LimitOrderAON
extends LimitOrder

LimitOrderAON holds the Details of a All-or-None (AON) 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
LimitOrderAON(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, TimeInForce timeInForce, int fulfillTryLimit, DisplaySettings displaySettings, PegScheme pegScheme)	All-or-None (AON) Limit Order Constructor

Method Summary

Modifier and Type	Method	Description
static LimitOrderAON	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, TimeInForce timeInForce, int fulfillTryLimit, DisplaySettings displaySettings, PegScheme pegScheme)	Construct a Standard Instance of All-or-None (AON) Limit Order
static LimitOrderAON	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, int fulfillTryLimit, DisplaySettings displaySettings, PegScheme pegScheme)	Construct a Standard Instance of Buy All-or-None (AON) Limit Order
static LimitOrderAON	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, int fulfillTryLimit, DisplaySettings displaySettings, PegScheme pegScheme)	Construct a Standard Instance of Sell All-or-None (AON) Limit Order

Methods inherited from class org.drip.oms.thresholded.LimitOrder

Buy, generateChildOrder, isConditional, pegScheme, Sell, Standard

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

LimitOrderAON

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

All-or-None (AON) 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

fulfillTryLimit - Fulfill Try Limit

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 LimitOrderAON Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
TimeInForce timeInForce,
int fulfillTryLimit,
DisplaySettings displaySettings,
PegScheme pegScheme)

Construct a Standard Instance of All-or-None (AON) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

fulfillTryLimit - Fulfill Try Limit

displaySettings - Order Display Settings

pegScheme - Peg Price Generation Scheme

Returns:

Instance of All-or-None (AON) Limit Order

StandardBuy

public static final LimitOrderAON StandardBuy(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
int fulfillTryLimit,
DisplaySettings displaySettings,
PegScheme pegScheme)

Construct a Standard Instance of Buy All-or-None (AON) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fulfillTryLimit - Fulfill Try Limit

displaySettings - Order Display Settings

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of Buy All-or-None (AON) Limit Order

StandardSell

public static final LimitOrderAON StandardSell(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
int fulfillTryLimit,
DisplaySettings displaySettings,
PegScheme pegScheme)

Construct a Standard Instance of Sell All-or-None (AON) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fulfillTryLimit - Fulfill Try Limit

displaySettings - Order Display Settings

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of Sell All-or-None (AON) Limit Order