Class VwapScheduler

java.lang.Object

com.quantfinlib.execution.VwapScheduler

public final class VwapScheduler
extends Object

VWAP schedule design: allocates child slices proportionally to an expected intraday volume profile (e.g. from com.quantfinlib.ml.IntradayLiquidityForecaster), so participation tracks the market's own volume curve.

Method Summary

Modifier and Type	Method	Description
static long[]	allocateProportionally(long total, double[] weights)	Largest-remainder proportional allocation: integer quantities that sum exactly to total, proportional to weights.
static List<Slice>	schedule(long totalQty, double[] volumeProfile, long durationMillis)	Splits a parent order across the volume profile.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Details

schedule

public static List<Slice> schedule(long totalQty,
 double[] volumeProfile,
 long durationMillis)

Splits a parent order across the volume profile.

Parameters:

totalQty - parent order quantity

volumeProfile - expected volume per bucket (any positive scale)

durationMillis - total execution window; slice i starts at i * duration / buckets

allocateProportionally

public static long[] allocateProportionally(long total,
 double[] weights)

Largest-remainder proportional allocation: integer quantities that sum exactly to total, proportional to weights.