Class CircuitBreakers.MarketWide

java.lang.Object

com.quantfinlib.microstructure.CircuitBreakers.MarketWide

Enclosing class:

CircuitBreakers

public static final class CircuitBreakers.MarketWide
extends Object

Market-wide circuit-breaker day state: feed it the S&P 500 decline from the prior close and the time of day; it applies the once-per-day and not-after-15:25 rules for Levels 1 and 2. Reset it each session.

Field Summary

Fields

Modifier and Type	Field	Description
static final double	LEVEL_1
static final double	LEVEL_2
static final double	LEVEL_3

Constructor Summary

Constructors

Constructor	Description
MarketWide()	Creates an instance; the explicit form of the default constructor.

Method Summary

Modifier and Type	Method	Description
boolean	level1Used()
boolean	level2Used()
boolean	level3Used()
CircuitBreakers.Halt	onDecline(double declineFromPriorClose, int minutesSinceMidnight)	The market-wide halt an index decline triggers, if any.

Methods inherited from class Object

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

Field Details

LEVEL_1

public static final double LEVEL_1

See Also:

• Constant Field Values

LEVEL_2

public static final double LEVEL_2

See Also:

• Constant Field Values

LEVEL_3

public static final double LEVEL_3

See Also:

• Constant Field Values

Constructor Details

MarketWide

public MarketWide()

Creates an instance; the explicit form of the default constructor.

Method Details

onDecline

public CircuitBreakers.Halt onDecline(double declineFromPriorClose,
 int minutesSinceMidnight)

The market-wide halt an index decline triggers, if any.

Parameters:

declineFromPriorClose - e.g. 0.08 = the index is down 8%

minutesSinceMidnight - local exchange time in minutes, e.g. 14:30 = 870 (validated to 0..1440 so a seconds/nanos unit mistake fails loudly instead of suppressing halts)

level1Used

public boolean level1Used()

level2Used

public boolean level2Used()

level3Used

public boolean level3Used()