Package com.quantfinlib.regulatory
@NullMarked
package com.quantfinlib.regulatory
Benchmark-fix and regulatory execution metrics. The main classes:
FixAnalyzer (WM/Reuters-style fix
calculation and "banging the close" screening),
BestExecutionAnalyzer (MiFID II-style
slippage, latency-to-fill and per-venue reporting) and
MarketQualityMetrics
(quoted/effective/realized spread, price impact, order-to-trade ratio).-
ClassDescriptionExecution-quality analytics of the kind a MiFID II best-execution review starts from: slippage versus arrival mid (simple average per order and quantity-weighted), latency-to-fill distribution, fraction executed at or better than arrival, and per-venue slippage.Best-execution summary.One parent order outcome.Perold (1988) implementation shortfall of one order, in currency:WM/R-style 4pm fix analysis: computes a fix rate from samples inside the fixing window and screens a participant's flow for the classic "banging the close" signature — a large share of window volume, a price run-up aligned with the participant's net flow into the fix, and reversion afterwards.Market quality indices used in execution-quality and venue-quality reporting: quoted / effective / realized spread, price impact, and order-to-trade ratio.