Package org.drip.oms.unthresholded

Class MarketOrderATC

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.unthresholded.MarketOrder

org.drip.oms.unthresholded.MarketOrderATC

public class MarketOrderATC
extends MarketOrder

MarketOrderATC holds the Details of a At-The-Close (ATC) 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
MarketOrderATC(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	At-The-Close (ATC) Market Order Constructor

Method Summary

Modifier and Type	Method	Description
static MarketOrderATC	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Create a Standard Instance of At-The-Close (ATC) Market Order
static MarketOrderATC	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Create a Standard Instance of Buy At-The-Close (ATC) Market Order
static MarketOrderATC	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, OrderFillWholeSettings fillWholeSettings, DisplaySettings displaySettings)	Create a Standard Instance of Sell At-The-Close (ATC) Market Order

Methods inherited from class org.drip.oms.unthresholded.MarketOrder

generateChildOrder, isConditional, Standard, StandardBuy, StandardSell

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

MarketOrderATC

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

At-The-Close (ATC) Market Order Constructor

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

id - Order ID

creationTime - Creation Time

side - Order Side

size - Order Size

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 MarketOrderATC Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
OrderFillWholeSettings fillWholeSettings,
DisplaySettings displaySettings)

Create a Standard Instance of At-The-Close (ATC) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of At-The-Close (ATC) Market Order

StandardBuy

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

Create a Standard Instance of Buy At-The-Close (ATC) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of Buy At-The-Close (ATC) Market Order

StandardSell

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

Create a Standard Instance of Sell At-The-Close (ATC) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

fillWholeSettings - Order Fill-Whole Settings

displaySettings - Order Display Settings

Returns:

Standard Instance of Sell At-The-Close (ATC) Market Order