Package org.drip.oms.thresholded

Class LimitOrderATC

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.thresholded.LimitOrder

org.drip.oms.thresholded.LimitOrderATC

public class LimitOrderATC
extends LimitOrder

LimitOrderATC holds the Details of an At-The-Close (ATC) 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
LimitOrderATC(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	At-The-Close (ATC) Limit Order Constructor

Method Summary

Modifier and Type	Method	Description
static LimitOrderATC	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Create a Standard Instance of At-The-Close (ATC) Limit Order
static LimitOrderATC	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Create a Standard Instance of Buy At-The-Close (ATC) Limit Order
static LimitOrderATC	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings, PegScheme pegScheme)	Create a Standard Instance of Sell At-The-Close (ATC) 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

LimitOrderATC

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

At-The-Close (ATC) Limit 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

pegScheme - Peg Price Generation Scheme

Throws:

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

Method Details

Standard

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

Create a Standard Instance of At-The-Close (ATC) 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

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of At-The-Close (ATC) Limit Order

StandardBuy

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

Create a Standard Instance of Buy At-The-Close (ATC) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of Buy At-The-Close (ATC) Limit Order

StandardSell

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

Create a Standard Instance of Sell At-The-Close (ATC) Limit Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

pegScheme - Peg Price Generation Scheme

Returns:

Standard Instance of Sell At-The-Close (ATC) Limit Order