Package org.drip.oms.transaction
Class OrderFillWholeSettings
java.lang.Object
org.drip.oms.transaction.OrderFillWholeSettings
public class OrderFillWholeSettings
extends java.lang.Object
OrderFillWholeSettings maintains the Fill-whole Settings of an 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 = Rd Order Specification, Handling, and Management
- Package = Order Specification and Session Metrics
- Author:
- Lakshmi Krishnamurthy
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Field Summary
Fields Modifier and Type Field Description static int
ALL_OR_NONE
All or Nonestatic int
FILL_OR_KILL
Fill or Kill -
Constructor Summary
Constructors Constructor Description OrderFillWholeSettings(int fulfillScheme, int fulfillTryLimit)
OrderFillWholeSettings Constructor -
Method Summary
Modifier and Type Method Description static OrderFillWholeSettings
AllOrNone(int fulfillTryLimit)
Construct a All-or-none OrderFillWholeSettings Instancestatic OrderFillWholeSettings
FillOrKill()
Generate a Standard Fill-and-kill OrderFillWholeSettings Instanceint
fulfillScheme()
Retrieve the Fulfillment Schemeint
fulfillTryLimit()
Retrieve the Fulfillment Try LimitMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
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Field Details
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FILL_OR_KILL
public static final int FILL_OR_KILLFill or Kill- See Also:
- Constant Field Values
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ALL_OR_NONE
public static final int ALL_OR_NONEAll or None- See Also:
- Constant Field Values
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Constructor Details
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OrderFillWholeSettings
public OrderFillWholeSettings(int fulfillScheme, int fulfillTryLimit) throws java.lang.ExceptionOrderFillWholeSettings Constructor- Parameters:
fulfillScheme
- Fulfillment SchemefulfillTryLimit
- Fulfillment Try Limit- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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FillOrKill
Generate a Standard Fill-and-kill OrderFillWholeSettings Instance- Returns:
- Standard Fill-and-kill OrderFillWholeSettings Instance
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AllOrNone
Construct a All-or-none OrderFillWholeSettings Instance- Parameters:
fulfillTryLimit
- Fulfillment Try Limit- Returns:
- All-or-none OrderFillWholeSettings Instance
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fulfillScheme
public int fulfillScheme()Retrieve the Fulfillment Scheme- Returns:
- The Fulfillment Scheme
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fulfillTryLimit
public int fulfillTryLimit()Retrieve the Fulfillment Try Limit- Returns:
- The Fulfillment Try Limit
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