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


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
    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 java.lang.Object

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

  • Field Details

  • 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

    • toString

      public java.lang.String toString​(java.lang.String pad)
      Generate String version of the state with Padding applied
      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 java.lang.Object
      Returns:
      String version of the state without Padding