Class ParentOrder

java.lang.Object

com.quantfinlib.backtest.ParentOrder

public final class ParentOrder
extends Object

One parent order worked by the ExecutionAwareBacktester: the signal that created it, the arrival price (close at signal time — the TCA benchmark), and the child fills with the bar index each filled on. reason is "ENTRY" for entries, or the exit reason (signal / STOP_LOSS / TAKE_PROFIT / END_OF_DATA).

Field Summary

Fields

Modifier and Type	Field	Description
static final String	REASON_ENTRY

Constructor Summary

Constructors

Constructor	Description
ParentOrder(Side side, int signalIndex, double arrivalPrice, String reason, List<Execution> fills, int[] fillBarIndices)	Creates the value; array and collection arguments are copied.

Method Summary

Modifier and Type	Method	Description
double	arrivalPrice()	arrivalPrice.
double	avgFillPrice()
boolean	equals(Object other)
int	fillBarIndices(int i)	Element i of fillBarIndices.
int[]	fillBarIndicesCopy()	A fresh copy of fillBarIndices.
int	fillBarIndicesLength()	Length of fillBarIndices.
int	fillDurationBars()	Bars from first to last fill (0 for unfilled or single-bar parents).
long	filledQty()
List<Execution>	fills()	fills.
int	hashCode()
String	reason()	reason.
Side	side()	side.
int	signalIndex()	signalIndex.
String	toString()

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Field Details

REASON_ENTRY

public static final String REASON_ENTRY

See Also:

• Constant Field Values

Constructor Details

ParentOrder

public ParentOrder(Side side,
 int signalIndex,
 double arrivalPrice,
 String reason,
 List<Execution> fills,
 int[] fillBarIndices)

Creates the value; array and collection arguments are copied.

Method Details

side

public Side side()

side.

signalIndex

public int signalIndex()

signalIndex.

arrivalPrice

public double arrivalPrice()

arrivalPrice.

reason

public String reason()

reason.

fills

public List<Execution> fills()

fills.

fillBarIndices

public int fillBarIndices(int i)

Element i of fillBarIndices.

fillBarIndicesLength

public int fillBarIndicesLength()

Length of fillBarIndices.

fillBarIndicesCopy

public int[] fillBarIndicesCopy()

A fresh copy of fillBarIndices.

filledQty

public long filledQty()

avgFillPrice

public double avgFillPrice()

fillDurationBars

public int fillDurationBars()

Bars from first to last fill (0 for unfilled or single-bar parents).

equals

public boolean equals(Object other)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object