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 = Rd Order Specification, Handling, and Management
- Package = Implementation of Unthresholded Market Variants
- Author:
- Lakshmi Krishnamurthy
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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 Orderstatic MarketOrderFOK
StandardBuy(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce)
Construct a Standard Instance of Buy Fill-Or-Kill (FOK) Market Orderstatic MarketOrderFOK
StandardSell(OrderIssuer issuer, java.lang.String ticker, double size, TimeInForce timeInForce)
Construct a Standard Instance of Sell Fill-Or-Kill (FOK) Market OrderMethods 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
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Constructor Details
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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.ExceptionFill-Or-Kill (FOK) Market Order Constructor- Parameters:
issuer
- Order Issuerticker
- Security Identifier/Tickerid
- Order IDcreationTime
- Creation Timeside
- Order Sidesize
- Order SizetimeInForce
- Time-in-Force Settings- Throws:
java.lang.Exception
- Thrown if the Inputs are Invalid
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Method Details
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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 Issuerticker
- Security Identifier/Tickerside
- Order Sidesize
- Order SizetimeInForce
- Time-in-Force Settings- Returns:
- Instance of Buy Fill-Or-Kill (FOK) Market Order
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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 Issuerticker
- Security Identifier/Tickersize
- Order SizetimeInForce
- Time-in-Force Settings- Returns:
- Standard Instance of Buy Fill-Or-Kill (FOK) Market Order
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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 Issuerticker
- Security Identifier/Tickersize
- Order SizetimeInForce
- Time-in-Force Settings- Returns:
- Standard Instance of Sell Fill-Or-Kill (FOK) Market Order
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