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 int
TIF_DAY
TIF Type DAYstatic int
TIF_EXTENDED
TIF Type EXTENDEDstatic int
TIF_IMMEDIATE
TIF Type IMMEDIATEstatic int
TIF_ON_MARKET_CLOSE
TIF Type ON MARKET CLOSEstatic int
TIF_ON_MARKET_OPEN
TIF 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.String
code()
Retrieve the TIF Codestatic TimeInForce
CreateDay()
Create a DAY Version of TIFstatic TimeInForce
CreateDayTillCanceled()
Create a DTC Version of TIFstatic TimeInForce
CreateGoodTillCanceled(int durationDays)
Create a GTC Version of TIFstatic TimeInForce
CreateImmediate()
Create an Immediate Version of TIFstatic TimeInForce
CreateMarketClose()
Create a Market Close Version of TIFstatic TimeInForce
CreateMarketOpen()
Create a Market Open Version of TIFint
durationDays()
Retrieve the Duration Tenor in Daysboolean
hasLapsed(java.time.ZonedDateTime currentZonedDateTime)
Indicate if the Input Time represents a TIF Lapsejava.time.ZonedDateTime
setupZonedDateTime()
Retrieve the Setup Instantint
tifType()
Retrieve the TIF Typejava.lang.String
toString()
Generate String version of the state without Paddingjava.lang.String
toString(java.lang.String pad)
Generate String version of the state with Padding appliedstatic java.lang.String
ToString(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:
toString
in classjava.lang.Object
- Returns:
- String version of the state without Padding
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