Uses of Class
com.quantfinlib.execution.BenchmarkExecutor
Packages that use BenchmarkExecutor
Package
Description
Order routing, execution algorithms and the venue models they learn
from.
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Uses of BenchmarkExecutor in com.quantfinlib.execution
Methods in com.quantfinlib.execution that return BenchmarkExecutorModifier and TypeMethodDescriptionPortfolioExecutor.child(int handle) The child executor behind a handle — for progress/drift reads and for feedingonMarketVolumeto VWAP/POV children.static BenchmarkExecutorBenchmarkExecutor.of(Side side, long parentQty, BenchmarkExecutor.Benchmark benchmark) Sensible defaults: alpha urgency 1 (a full-scale normalized alpha of ±1 doubles/halves the pace, smoothly and never rail-pinned), child capped at 25% of displayed depth.static BenchmarkExecutorPOV convenience.BenchmarkExecutor.withChildBounds(long min, long max) Child-size bounds: belowminnothing is sent (except to finish the parent), abovemaxthe child is capped.BenchmarkExecutor.withCompletionRamp(double start) Schedule fraction in [0, 1) from which the depth cap is relaxed linearly towards the full remainder at the horizon (default 0.9).BenchmarkExecutor.withShortfallUrgency(double kappaT) UrgencykTof the IMPLEMENTATION_SHORTFALL trajectory (Almgren-Chriss kappa times horizon, kappa = sqrt(lambda sigma^2 / eta)); must be finite and positive.Methods in com.quantfinlib.execution with parameters of type BenchmarkExecutorModifier and TypeMethodDescriptionintPortfolioExecutor.add(BenchmarkExecutor child) Registers a child parent order; returns its handle for decide/onFill.