Package org.drip.oms.unthresholded

Class MarketOrder

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.unthresholded.MarketOrder

Direct Known Subclasses:

MarketOrderAON, MarketOrderATC, MarketOrderATO, MarketOrderDAY, MarketOrderDTC, MarketOrderFOK, MarketOrderGTC, MarketOrderIOC

public class MarketOrder
extends Order

MarketOrder holds the Details of a Market 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 = Implementation of Unthresholded Market Variants

Author:

Lakshmi Krishnamurthy

Constructor Summary

Constructors

Constructor	Description
MarketOrder(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Market Order Constructor

Method Summary

Modifier and Type	Method	Description
Order	generateChildOrder(double filledSize)	Generate a Child Order of the same Type
boolean	isConditional()	Indicate if the Order is Conditional
static MarketOrder	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Construct a Standard Instance of Market Order
static MarketOrder	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Construct a Standard Instance of Buy Market Order
static MarketOrder	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Construct a Standard Instance of Sell Market Order

Methods inherited from class org.drip.oms.transaction.Order

allOrNone, amendSize, completionTime, creationTime, displayAmount, displaySettings, fillOrKill, fillWholeSettings, fulfill, id, isOutstanding, issuer, setComplete, setState, side, size, state, ticker, timeInForce, type, updateTime

Methods inherited from class java.lang.Object

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

Constructor Details

MarketOrder

public MarketOrder(OrderIssuer issuer,
java.lang.String ticker,
java.lang.String id,
java.util.Date creationTime,
Side side,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings)
            throws java.lang.Exception

Market Order Constructor

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

id - Order ID

creationTime - Creation Time

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Throws:

java.lang.Exception - Thrown if the Inputs are Invalid

Method Details

Standard

public static final MarketOrder Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings)

Construct a Standard Instance of Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of Market Order

StandardBuy

public static final MarketOrder StandardBuy(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings)

Construct a Standard Instance of Buy Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of Buy Market Order

StandardSell

public static final MarketOrder StandardSell(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings)

Construct a Standard Instance of Sell Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of Sell Market Order

isConditional

public boolean isConditional()

Description copied from class: Order

Indicate if the Order is Conditional

Specified by:

isConditional in class Order

Returns:

TRUE - Order is Conditional

generateChildOrder

public Order generateChildOrder(double filledSize)

Description copied from class: Order

Generate a Child Order of the same Type

Specified by:

generateChildOrder in class Order

Parameters:

filledSize - Filled Size

Returns:

Child Order of the same Type