Class LiquiditySeekingAlgo

java.lang.Object
com.quantfinlib.execution.LiquiditySeekingAlgo
public final class LiquiditySeekingAlgo extends Object
The opportunistic execution archetype, counterpart to BenchmarkExecutor's schedule-driven family. A schedule algo asks "am I behind the curve?"; a liquidity seeker asks "is the market cheap right now?" and trades in bursts when it is: spread tighter than its time-of-day forecast, calm volatility regime, low estimated impact. Between opportunities it sits still. That is why it needs the one discipline every seek-style algo ships with: a completion floor that ramps in over the final stretch of the horizon, so patience can never become a missed parent.

Inputs reuse the BenchmarkExecutor.MarketState units contract (normalized vol regime, impact in bps, take-now depth) plus the spread forecast from microstructure.SpreadForecaster — cheapness is always relative to what the spread usually is at this hour, not to an absolute number (2 pips is cheap at the London open and expensive at midnight):

long due = seek.dueQuantity(f, marketState, spreadForecaster.forecast(bucket, now));

Decision per interval: score the moment (spread at-or-under forecast, vol regime below the calm threshold, impact below the cap), and if all hold, take an aggressive clip (maxDepthFraction × displayedDepth). If not, send only the completion floor: 0 until forceCompleteFrom, then the remaining quantity spread linearly over what is left of the horizon (at f = 1 the floor is the remainder). NaN inputs degrade safely: an unknown forecast means the moment cannot be judged cheap (no opportunistic burst), but the floor still guarantees completion. Zero allocation per decision, single parent, single writer.

Sent-but-unfilled children count against the remainder: report them with onChildSent(long) and their unfilled remainders with onChildDone(long), so a burst that rests is not repeated while it works.

  • Constructor Details

    • LiquiditySeekingAlgo

      public LiquiditySeekingAlgo(long parentQty, LiquiditySeekingAlgo.Config config)

    • LiquiditySeekingAlgo

      public LiquiditySeekingAlgo(long parentQty)

  • Method Details

    • dueQuantity

      public long dueQuantity(double scheduleFraction, BenchmarkExecutor.MarketState m, double forecastSpread)
      Shares to send now. An opportunistic burst when the moment is cheap (see class doc); otherwise the completion floor. Always capped at the remainder.
      Parameters:
      scheduleFraction - elapsed fraction of the horizon in [0, 1]
      m - the live market snapshot (BenchmarkExecutor.MarketState units contract)
      forecastSpread - the expected spread for this time of day (SpreadForecaster.forecast); NaN = cheapness unknowable, floor only

    • onFill

      public void onFill(long qty)
      Our own child fill; reduces the open quantity by the same amount.

    • onChildSent

      public void onChildSent(long qty)
      A child of qty was sent and is working.

    • onChildDone

      public void onChildDone(long unfilledQty)
      A child ended with unfilledQty never executed.

    • openQuantity

      public long openQuantity()
      Sent child quantity not yet filled or reported done.

    • executed

      public long executed()

    • remaining

      public long remaining()

    • done

      public boolean done()