Record Class BestExecutionAnalyzer.BestExecutionReport

java.lang.Object

java.lang.Record

com.quantfinlib.regulatory.BestExecutionAnalyzer.BestExecutionReport

Record Components:

avgSlippageBps - simple mean over filled orders (NaN when none filled)

quantityWeightedSlippageBps - notional-weighted mean over filled orders (NaN when none filled)

Enclosing class:

BestExecutionAnalyzer

public static record BestExecutionAnalyzer.BestExecutionReport(int totalOrders, double fillRate, double avgSlippageBps, double quantityWeightedSlippageBps, double medianLatencyToFillMillis, double atOrBetterThanArrivalPct, Map<String,Double> avgSlippageBpsByVenue)
extends Record

Best-execution summary.

Constructor Summary

Constructors

Constructor	Description
BestExecutionReport(int totalOrders, double fillRate, double avgSlippageBps, double quantityWeightedSlippageBps, double medianLatencyToFillMillis, double atOrBetterThanArrivalPct, Map<String,Double> avgSlippageBpsByVenue)	Creates an instance of a BestExecutionReport record class.

Method Summary

Modifier and Type	Method	Description
double	atOrBetterThanArrivalPct()	Returns the value of the atOrBetterThanArrivalPct record component.
double	avgSlippageBps()	Returns the value of the avgSlippageBps record component.
Map<String,Double>	avgSlippageBpsByVenue()	Returns the value of the avgSlippageBpsByVenue record component.
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
double	fillRate()	Returns the value of the fillRate record component.
final int	hashCode()	Returns a hash code value for this object.
double	medianLatencyToFillMillis()	Returns the value of the medianLatencyToFillMillis record component.
double	quantityWeightedSlippageBps()	Returns the value of the quantityWeightedSlippageBps record component.
final String	toString()	Returns a string representation of this record class.
int	totalOrders()	Returns the value of the totalOrders record component.

Methods inherited from class Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Constructor Details

BestExecutionReport

public BestExecutionReport(int totalOrders,
 double fillRate,
 double avgSlippageBps,
 double quantityWeightedSlippageBps,
 double medianLatencyToFillMillis,
 double atOrBetterThanArrivalPct,
 Map<String,Double> avgSlippageBpsByVenue)

Creates an instance of a BestExecutionReport record class.

Parameters:

totalOrders - the value for the totalOrders record component

fillRate - the value for the fillRate record component

avgSlippageBps - the value for the avgSlippageBps record component

quantityWeightedSlippageBps - the value for the quantityWeightedSlippageBps record component

medianLatencyToFillMillis - the value for the medianLatencyToFillMillis record component

atOrBetterThanArrivalPct - the value for the atOrBetterThanArrivalPct record component

avgSlippageBpsByVenue - the value for the avgSlippageBpsByVenue record component

Method Details

toString

public final String toString()

Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.

Specified by:

toString in class Record

Returns:

a string representation of this object

hashCode

public final int hashCode()

Returns a hash code value for this object. The value is derived from the hash code of each of the record components.

Specified by:

hashCode in class Record

Returns:

a hash code value for this object

equals

public final boolean equals(Object o)

Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. Reference components are compared with Objects::equals(Object,Object); primitive components are compared with the compare method from their corresponding wrapper classes.

Specified by:

equals in class Record

Parameters:

o - the object with which to compare

Returns:

true if this object is the same as the o argument; false otherwise.

totalOrders

public int totalOrders()

Returns the value of the totalOrders record component.

Returns:

the value of the totalOrders record component

fillRate

public double fillRate()

Returns the value of the fillRate record component.

Returns:

the value of the fillRate record component

avgSlippageBps

public double avgSlippageBps()

Returns the value of the avgSlippageBps record component.

Returns:

the value of the avgSlippageBps record component

quantityWeightedSlippageBps

public double quantityWeightedSlippageBps()

Returns the value of the quantityWeightedSlippageBps record component.

Returns:

the value of the quantityWeightedSlippageBps record component

medianLatencyToFillMillis

public double medianLatencyToFillMillis()

Returns the value of the medianLatencyToFillMillis record component.

Returns:

the value of the medianLatencyToFillMillis record component

atOrBetterThanArrivalPct

public double atOrBetterThanArrivalPct()

Returns the value of the atOrBetterThanArrivalPct record component.

Returns:

the value of the atOrBetterThanArrivalPct record component

avgSlippageBpsByVenue

public Map<String,Double> avgSlippageBpsByVenue()

Returns the value of the avgSlippageBpsByVenue record component.

Returns:

the value of the avgSlippageBpsByVenue record component