Uses of Package
com.quantfinlib.microstructure
Packages that use com.quantfinlib.microstructure
Package
Description
Bar-based backtesting engines, execution models and performance analytics.
Order routing, execution algorithms and the venue models they learn
from.
Market microstructure analytics: impact, liquidity, order-flow signals
and intraday curves.
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Classes in com.quantfinlib.microstructure used by com.quantfinlib.backtestClassDescriptionA matched trade (fill) for TCA and venue analytics.
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Classes in com.quantfinlib.microstructure used by com.quantfinlib.executionClassDescriptionModel inputs.Streaming EWMA covariance matrix: the multi-asset risk picture that single-symbol volatility cannot see.
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Classes in com.quantfinlib.microstructure used by com.quantfinlib.microstructureClassDescriptionModel inputs.The optimal schedule:
holdings[j]is the position after interval j (holdings[0] = X, holdings[N] = 0);trades[j]is sold in interval j+1.A call auction (open/close/volatility uncross): orders accumulate without trading, then a single clearing price executes the maximum matchable volume — the mechanism behind exchange opens, the close every benchmark-tracking strategy trades, and LULD/volatility-halt reopenings.Auction outcome: clearing price, matched volume, and leftover imbalance.MWCB halt decision.LULD per-symbol state.A matched trade (fill) for TCA and venue analytics.Self-exciting (Hawkes) event intensity — the model behind the trader's observation that "activity breeds activity": one trade raises the probability of the next, so order flow arrives in bursts, not as a steady Poisson drizzle.A maximum-likelihood calibration.Temporary / permanent market impact models for large trades, parameterized by average daily volume (ADV) and daily volatility: Square-root law (empirical standard):impact = Y * sigma_daily * sqrt(Q / ADV). Almgren-Chriss style decomposition: linear temporary impact in participation rate and linear permanent impact in size, with the expected cost of an execution scheduleE[cost] = permanent/2 + temporary. All results in basis points of the arrival price.Fitted process parameters.The unified streaming signal engine: one multi-symbol, hot-lane component that turns raw top-of-book quotes and trade prints into the five signal families a trading decision reads — for equities and FX alike (prices are doubles; equity integer ticks are exact in a double, FX rates feed in directly): Imbalance — order-flow imbalance (Cont-Kukanov-Stoikov, time-decayed), inside queue imbalance and signed trade-flow imbalance, via a per-symbolFlowSignals; Fair value — the size-weighted microprice (FairValueEngine.microprice); Volatility: a streaming EWMA realized-variance rate over irregular tick arrivals.Half-lives (all in nanos) for the decayed estimators, plus the composite weights.Short-term spread prediction.Price-banded tick sizes — the MiFID II / ESMA RTS 11 regime where the minimum price increment depends on the instrument's price (and liquidity band), rather than being one flat number.Accumulates (floor price, tick) bands; floors may arrive in any order.Variance ratio and its z statistic.Intraday volatility seasonality — the third leg of the seasonality trio besideVolumeCurveandSpreadForecaster: volatility is U-shaped through an equity day (wild open, quiet lunch, busy close) and session-humped through an FX day (London open, NY overlap), so "is the market volatile right now?"Dynamic intraday volume prediction — the model that makes a VWAP schedule live instead of historical.