Package org.drip.oms.transaction
Class TimeInForce
java.lang.Object
org.drip.oms.transaction.TimeInForce
public class TimeInForce
extends java.lang.Object
TimeInForce holds the Setting for Time-in-Force (TIF) Parameters. 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
- 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
- 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 intTIF_DAYTIF Type DAYstatic intTIF_EXTENDEDTIF Type EXTENDEDstatic intTIF_IMMEDIATETIF Type IMMEDIATEstatic intTIF_ON_MARKET_CLOSETIF Type ON MARKET CLOSEstatic intTIF_ON_MARKET_OPENTIF Type ON MARKET OPEN -
Constructor Summary
Constructors Constructor Description TimeInForce(java.lang.String code, int tifType, java.time.ZonedDateTime setupZonedDateTime, int durationDays)TimeInForce Constructor -
Method Summary
Modifier and Type Method Description java.lang.Stringcode()Retrieve the TIF Codestatic TimeInForceCreateDay()Create a DAY Version of TIFstatic TimeInForceCreateDayTillCanceled()Create a DTC Version of TIFstatic TimeInForceCreateGoodTillCanceled(int durationDays)Create a GTC Version of TIFstatic TimeInForceCreateImmediate()Create an Immediate Version of TIFstatic TimeInForceCreateMarketClose()Create a Market Close Version of TIFstatic TimeInForceCreateMarketOpen()Create a Market Open Version of TIFintdurationDays()Retrieve the Duration Tenor in DaysbooleanhasLapsed(java.time.ZonedDateTime currentZonedDateTime)Indicate if the Input Time represents a TIF Lapsejava.time.ZonedDateTimesetupZonedDateTime()Retrieve the Setup InstantinttifType()Retrieve the TIF Typejava.lang.StringtoString()Generate String version of the state without Paddingjava.lang.StringtoString(java.lang.String pad)Generate String version of the state with Padding appliedstatic java.lang.StringToString(int tifType)String Form of Time-In-Force TypeMethods inherited from class java.lang.Object
equals, getClass, hashCode, notify, notifyAll, wait, wait, wait
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Field Details
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TIF_DAY
public static final int TIF_DAYTIF Type DAY- See Also:
- Constant Field Values
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TIF_EXTENDED
public static final int TIF_EXTENDEDTIF Type EXTENDED- See Also:
- Constant Field Values
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TIF_IMMEDIATE
public static final int TIF_IMMEDIATETIF Type IMMEDIATE- See Also:
- Constant Field Values
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TIF_ON_MARKET_OPEN
public static final int TIF_ON_MARKET_OPENTIF Type ON MARKET OPEN- See Also:
- Constant Field Values
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TIF_ON_MARKET_CLOSE
public static final int TIF_ON_MARKET_CLOSETIF Type ON MARKET CLOSE- See Also:
- Constant Field Values
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Constructor Details
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TimeInForce
public TimeInForce(java.lang.String code, int tifType, java.time.ZonedDateTime setupZonedDateTime, int durationDays) throws java.lang.ExceptionTimeInForce Constructor- Parameters:
code- TIF CodetifType- TIF TypesetupZonedDateTime- Setup InstantdurationDays- Duration Tenor in Days- Throws:
java.lang.Exception- Thrown if TimeInForce cannot be constructed
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Method Details
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CreateImmediate
Create an Immediate Version of TIF- Returns:
- Immediate Version of TIF
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CreateDay
Create a DAY Version of TIF- Returns:
- DAY Version of TIF
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CreateDayTillCanceled
Create a DTC Version of TIF- Returns:
- DTC Version of TIF
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CreateGoodTillCanceled
Create a GTC Version of TIF- Parameters:
durationDays- Duration Tenor in Days- Returns:
- GTC Version of TIF
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CreateMarketOpen
Create a Market Open Version of TIF- Returns:
- Market Open Version of TIF
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CreateMarketClose
Create a Market Close Version of TIF- Returns:
- Market Close Version of TIF
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ToString
public static final java.lang.String ToString(int tifType)String Form of Time-In-Force Type- Parameters:
tifType- Time-In-Force Type- Returns:
- String Form
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code
public java.lang.String code()Retrieve the TIF Code- Returns:
- The TIF Code
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tifType
public int tifType()Retrieve the TIF Type- Returns:
- The TIF Type
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setupZonedDateTime
public java.time.ZonedDateTime setupZonedDateTime()Retrieve the Setup Instant- Returns:
- The Setup Instant
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durationDays
public int durationDays()Retrieve the Duration Tenor in Days- Returns:
- The Duration Tenor in Days
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hasLapsed
public boolean hasLapsed(java.time.ZonedDateTime currentZonedDateTime)Indicate if the Input Time represents a TIF Lapse- Parameters:
currentZonedDateTime- Input Time- Returns:
- TRUE - Input Time represents a TIF Lapse
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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
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toString
public java.lang.String toString()Generate String version of the state without Padding- Overrides:
toStringin classjava.lang.Object- Returns:
- String version of the state without Padding
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