Class LimitOrderAON

java.lang.Object

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


Author:
Lakshmi Krishnamurthy
  • 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