Package org.drip.oms.unthresholded

Class MarketOrderFOK

java.lang.Object

org.drip.oms.transaction.Order

org.drip.oms.unthresholded.MarketOrder

org.drip.oms.unthresholded.MarketOrderFOK

public class MarketOrderFOK
extends MarketOrder

MarketOrderFOK holds the Details of a Fill-Or-Kill (FOK) 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
MarketOrderFOK(OrderIssuer issuer, java.lang.String ticker, java.lang.String id, java.util.Date creationTime, Side side, double size, TimeInForce timeInForce)	Fill-Or-Kill (FOK) Market Order Constructor

Method Summary

Modifier and Type	Method	Description
static MarketOrderFOK	Standard(OrderIssuer issuer, java.lang.String ticker, Side side, double size, TimeInForce timeInForce)	Construct a Standard Instance of Buy Fill-Or-Kill (FOK) Market Order
static MarketOrderFOK	StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce)	Construct a Standard Instance of Buy Fill-Or-Kill (FOK) Market Order
static MarketOrderFOK	StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce)	Construct a Standard Instance of Sell Fill-Or-Kill (FOK) 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, fillOrKill, fillWholeSettings, FromPOV, 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

MarketOrderFOK

public MarketOrderFOK(OrderIssuer issuer,
java.lang.String ticker,
java.lang.String id,
java.util.Date creationTime,
Side side,
double size,
TimeInForce timeInForce)
               throws java.lang.Exception

Fill-Or-Kill (FOK) 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

Throws:

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

Method Details

Standard

public static final MarketOrderFOK Standard(OrderIssuer issuer,
java.lang.String ticker,
Side side,
double size,
TimeInForce timeInForce)

Construct a Standard Instance of Buy Fill-Or-Kill (FOK) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

side - Order Side

size - Order Size

timeInForce - Time-in-Force Settings

Returns:

Instance of Buy Fill-Or-Kill (FOK) Market Order

StandardBuy

public static final MarketOrderFOK StandardBuy(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce)

Construct a Standard Instance of Buy Fill-Or-Kill (FOK) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

Returns:

Standard Instance of Buy Fill-Or-Kill (FOK) Market Order

StandardSell

public static final MarketOrderFOK StandardSell(OrderIssuer issuer,
java.lang.String ticker,
double size,
TimeInForce timeInForce)

Construct a Standard Instance of Sell Fill-Or-Kill (FOK) Market Order

Parameters:

issuer - Order Issuer

ticker - Security Identifier/Ticker

size - Order Size

timeInForce - Time-in-Force Settings

Returns:

Standard Instance of Sell Fill-Or-Kill (FOK) Market Order