Package org.drip.oms.transaction

Class LimitOrderBlock

java.lang.Object

org.drip.oms.transaction.OrderBlock

org.drip.oms.transaction.LimitOrderBlock

All Implemented Interfaces:

java.lang.Cloneable, java.util.Comparator<LimitOrderBlock>

public class LimitOrderBlock
extends OrderBlock
implements java.util.Comparator<LimitOrderBlock>, java.lang.Cloneable

LimitOrderBlock maintains a Limit Entry Block inside an Order Book. The References are:

• Chen, J. (2021): Time in Force: Definition, Types, and Examples https://www.investopedia.com/terms/t/timeinforce.asp
• Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets Quantitative Finance 17 (1) 21-39
• 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
• Wikipedia (2023): Central Limit Order Book https://en.wikipedia.org/wiki/Central_limit_order_book

• Module = Product Core Module
• Library = Transaction Cost Analytics
• Project = R^d Order Specification, Handling, and Management
• Package = Order Specification and Session Metrics

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
LimitOrderBlock(java.time.ZonedDateTime lastUpdateTime, double price, double size)	LimitOrderBlock Constructor

Method Summary

Modifier and Type	Method	Description
LimitOrderBlock	clone()	Clone this Instance
int	compare(LimitOrderBlock l2Block1, LimitOrderBlock l2Block2)	Compare Two Limit Order Block Instances
static LimitOrderBlock	Now(double price, double size)	Construct a Fresh Instance of the LimitOrderBlock
double	price()	Retrieve the Price
java.lang.String	toString()	Generate String version of the state without Padding
java.lang.String	toString(java.lang.String pad)	Generate String version of the state with Padding applied

Methods inherited from class org.drip.oms.transaction.OrderBlock

augmentSize, lastUpdateTime, Now, resetLastUpdateTime, size

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Methods inherited from interface java.util.Comparator

equals, reversed, thenComparing, thenComparing, thenComparing, thenComparingDouble, thenComparingInt, thenComparingLong

Constructor Details

LimitOrderBlock

public LimitOrderBlock(java.time.ZonedDateTime lastUpdateTime,
double price,
double size)
                throws java.lang.Exception

LimitOrderBlock Constructor

Parameters:

lastUpdateTime - Last Update Time

price - L2 Price

size - L2 Size

Throws:

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

Method Details

Now

public static LimitOrderBlock Now(double price,
double size)

Construct a Fresh Instance of the LimitOrderBlock

Parameters:

price - L2 Price

size - L2 Size

Returns:

Fresh Instance of the LimitOrderBlock

price

public double price()

Retrieve the Price

Returns:

The Price

compare

public int compare(LimitOrderBlock l2Block1,
LimitOrderBlock l2Block2)

Compare Two Limit Order Block Instances

Specified by:

compare in interface java.util.Comparator<LimitOrderBlock>

Parameters:

l2Block1 - First Limit Order Block

l2Block2 - Second Limit Order Block

Returns:

Follows Comparable.compare Semantics

clone

public LimitOrderBlock clone()

Clone this Instance

Overrides:

clone in class OrderBlock

Returns:

Follows Object.clone Semantics

toString

public java.lang.String toString(java.lang.String pad)

Generate String version of the state with Padding applied

Overrides:

toString in class OrderBlock

Parameters:

pad - Padding

Returns:

String version of the state with Padding applied

toString

public java.lang.String toString()

Generate String version of the state without Padding

Overrides:

toString in class OrderBlock

Returns:

String version of the state without Padding