Uses of Record Class
com.quantfinlib.execution.BenchmarkExecutor.MarketState

Packages that use BenchmarkExecutor.MarketState

Package	Description
com.quantfinlib.execution	Order routing, execution algorithms and the venue models they learn from.

Uses of BenchmarkExecutor.MarketState in com.quantfinlib.execution

Methods in com.quantfinlib.execution that return BenchmarkExecutor.MarketState

Modifier and Type	Method	Description
static BenchmarkExecutor.MarketState	BenchmarkExecutor.MarketState.neutral(double mid, double scheduleFraction)	A neutral state: no spread/vol/alpha/impact, unlimited depth, VWAP=TWAP.

Methods in com.quantfinlib.execution with parameters of type BenchmarkExecutor.MarketState

Modifier and Type	Method	Description
void	PortfolioExecutor.decide(double scheduleFraction, BenchmarkExecutor.MarketState[] states, long[] dueOut)	One portfolio interval: asks every child for its own due quantity, then applies the leg-balance band and the capacity allocation.
long	BenchmarkExecutor.dueQuantity(double scheduleFraction, BenchmarkExecutor.MarketState m)	Shares to send now, given the current market and how far through the schedule we are.
long	LiquiditySeekingAlgo.dueQuantity(double scheduleFraction, BenchmarkExecutor.MarketState m, double forecastSpread)	Shares to send now.
double	BenchmarkExecutor.scheduleDrift(double scheduleFraction, BenchmarkExecutor.MarketState m)	Schedule drift: executed fraction minus the benchmark's target fraction at scheduleFraction.