Package org.drip.oms.transaction

Class OrderQuantityTracker

java.lang.Object
org.drip.oms.transaction.OrderQuantityTracker
public class OrderQuantityTracker
extends java.lang.Object
OrderQuantityTracker tracks the Components of an Order Quantity. 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

  • Constructor Summary

    Constructors
    Constructor Description
    OrderQuantityTracker​(double original)
    OrderQuantityTracker Constructor

  • Method Summary

    Modifier and Type Method Description
    double cumulative()
    Retrieve the Cumulatively Executed Order Quantity
    double current()
    Retrieve the Current Order Quantity
    boolean filled()
    Indicate if the Order has been Filled
    double lastShares()
    Retrieve the Last Executed Shares Count
    double leaves()
    Retrieve the Order Leaves Quantity
    double original()
    Retrieve the Original Order Quantity
    boolean updateCurrent​(double current)
    Update the Current Order Quantity
    boolean updateLastShares​(double lastShares)
    Update the Last Executed Shares Count

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • OrderQuantityTracker

      public OrderQuantityTracker​(double original) throws java.lang.Exception
      OrderQuantityTracker Constructor
      Parameters:
      original - Original Order Quantity
      Throws:
      java.lang.Exception - Thrown if the Order Quantity is Invalid

  • Method Details

    • original

      public double original()
      Retrieve the Original Order Quantity
      Returns:
      Original Order Quantity

    • current

      public double current()
      Retrieve the Current Order Quantity
      Returns:
      Current Order Quantity

    • cumulative

      public double cumulative()
      Retrieve the Cumulatively Executed Order Quantity
      Returns:
      Cumulatively Executed Order Quantity

    • leaves

      public double leaves()
      Retrieve the Order Leaves Quantity
      Returns:
      Order Leaves Quantity

    • lastShares

      public double lastShares()
      Retrieve the Last Executed Shares Count
      Returns:
      Last Executed Shares Count

    • updateCurrent

      public boolean updateCurrent​(double current)
      Update the Current Order Quantity
      Parameters:
      current - Current Order Quantity
      Returns:
      TRUE - Current Order Quantity successfully Updated

    • updateLastShares

      public boolean updateLastShares​(double lastShares)
      Update the Last Executed Shares Count
      Parameters:
      lastShares - Last Executed Shares Count
      Returns:
      TRUE - Last Executed Shares Count successfully Updated

    • filled

      public boolean filled()
      Indicate if the Order has been Filled
      Returns:
      TRUE - Order has been Filled