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 = R^d Order Specification, Handling, and Management
Package = Order Specification and Session Metrics

Author:: Lakshmi Krishnamurthy

Field Summary

Fields

Modifier and Type Field Description

static int ALL_OR_NONE
All or None

static 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 Instance
`static OrderFillWholeSettings`	`FillOrKill()`	Generate a Standard Fill-and-kill OrderFillWholeSettings Instance
`int`	`fulfillScheme()`	Retrieve the Fulfillment Scheme
`int`	`fulfillTryLimit()`	Retrieve the Fulfillment Try Limit

Methods inherited from class java.lang.Object

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

Field Details
- FILL_OR_KILL
  
  public static final int FILL_OR_KILL
  
  Fill or Kill
  
  See Also:
  
  Constant Field Values
- ALL_OR_NONE
  
  public static final int ALL_OR_NONE
  
  All or None
  
  See Also:
  
  Constant Field Values
Constructor Details
- OrderFillWholeSettings
  
  public OrderFillWholeSettings(int fulfillScheme, int fulfillTryLimit) throws java.lang.Exception
  
  OrderFillWholeSettings Constructor
  
  Parameters:
  
  fulfillScheme - Fulfillment Scheme
  
  fulfillTryLimit - Fulfillment Try Limit
  
  Throws:
  
  java.lang.Exception - Thrown if the Inputs are Invalid
Method Details
- FillOrKill
  
  public static final OrderFillWholeSettings FillOrKill()
  
  Generate a Standard Fill-and-kill OrderFillWholeSettings Instance
  
  Returns:
  
  Standard Fill-and-kill OrderFillWholeSettings Instance
- AllOrNone
  
  public static final OrderFillWholeSettings AllOrNone(int fulfillTryLimit)
  
  Construct a All-or-none OrderFillWholeSettings Instance
  
  Parameters:
  
  fulfillTryLimit - Fulfillment Try Limit
  
  Returns:
  
  All-or-none OrderFillWholeSettings Instance
- fulfillScheme
  
  public int fulfillScheme()
  
  Retrieve the Fulfillment Scheme
  
  Returns:
  
  The Fulfillment Scheme
- fulfillTryLimit
  
  public int fulfillTryLimit()
  
  Retrieve the Fulfillment Try Limit
  
  Returns:
  
  The Fulfillment Try Limit