Class SyntheticCross

java.lang.Object
com.quantfinlib.fx.SyntheticCross
public final class SyntheticCross extends Object
Direct-versus-synthetic cross execution arithmetic: an FX cross (EURJPY) can be dealt directly or replicated through its liquid legs (buy EURUSD, buy USDJPY), and the cheaper route changes with every quote — direct cross books are thin outside London hours while the USD legs stay tight. marketdata.CrossRateEngine (low-latency artifact) streams the synthetic rates; this class answers the execution question: what does each route cost after crossing every spread involved, and which should this clip take.

Spread composition is the whole point: a synthetic buy pays the ask on both legs (CrossOp.MULTIPLY: askA × askB) or the ask of one and the bid of the other (CrossOp.DIVIDE: askA ÷ bidB) — two half-spreads against one on the direct route. The synthetic still wins whenever the legs are tight enough, which is exactly what this comparison detects. Static, primitives-only, zero allocation.

  • Method Summary

    Modifier and Type
    Method
    Description
    static double
    buySavings(double directAsk, CrossOp op, double bidA, double askA, double bidB, double askB)
    Savings per unit of buying synthetically instead of directly (positive = the legs are cheaper).
    static boolean
    buySyntheticWins(double directAsk, CrossOp op, double bidA, double askA, double bidB, double askB)
    True when buying through the legs beats the direct ask (NaN-safe: false).
    static double
    sellSavings(double directBid, CrossOp op, double bidA, double askA, double bidB, double askB)
    Mirror: extra proceeds per unit of selling via the legs (positive = legs win).
    static boolean
    sellSyntheticWins(double directBid, CrossOp op, double bidA, double askA, double bidB, double askB)
    True when selling through the legs beats the direct bid (NaN-safe: false).
    static double
    syntheticAsk(CrossOp op, double bidA, double askA, double bidB, double askB)
    All-in synthetic ASK (cost to BUY the cross via the legs).
    static double
    syntheticBid(CrossOp op, double bidA, double askA, double bidB, double askB)
    All-in synthetic BID (proceeds of selling the cross via the legs): the mirror of syntheticAsk(CrossOp, double, double, double, double).

    Methods inherited from class Object

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

  • Method Details

    • syntheticAsk

      public static double syntheticAsk(CrossOp op, double bidA, double askA, double bidB, double askB)
      All-in synthetic ASK (cost to BUY the cross via the legs). Multiply (A/B × B/C = A/C): buy both legs → askA × askB. Divide (A/C ÷ B/C = A/B): buy leg A, sell leg B → askA ÷ bidB.

    • syntheticBid

      public static double syntheticBid(CrossOp op, double bidA, double askA, double bidB, double askB)
      All-in synthetic BID (proceeds of selling the cross via the legs): the mirror of syntheticAsk(CrossOp, double, double, double, double).

    • buySavings

      public static double buySavings(double directAsk, CrossOp op, double bidA, double askA, double bidB, double askB)
      Savings per unit of buying synthetically instead of directly (positive = the legs are cheaper). NaN when either route is unpriced, where "unpriced" means NaN, zero (the Java default and what an empty FxTierBook tier reads as) or negative. An unquoted book can therefore never masquerade as an attractive route, including via the divide-by-zero infinity a raw syntheticBid(CrossOp, double, double, double, double) would produce.

    • sellSavings

      public static double sellSavings(double directBid, CrossOp op, double bidA, double askA, double bidB, double askB)
      Mirror: extra proceeds per unit of selling via the legs (positive = legs win).

    • buySyntheticWins

      public static boolean buySyntheticWins(double directAsk, CrossOp op, double bidA, double askA, double bidB, double askB)
      True when buying through the legs beats the direct ask (NaN-safe: false).

    • sellSyntheticWins

      public static boolean sellSyntheticWins(double directBid, CrossOp op, double bidA, double askA, double bidB, double askB)
      True when selling through the legs beats the direct bid (NaN-safe: false).