Record Class ExecutionAlgoBacktester.Config

java.lang.Object

java.lang.Record

com.quantfinlib.backtest.ExecutionAlgoBacktester.Config

Record Components:

spreadBps - assumed quoted spread in bps of the close (bars carry no quotes) — the spread input the executor damps on

participationCap - per-bar fill cap as a fraction of bar volume, in (0, 1]

costModel - all-in one-way cost per fill (see TradeCostModel)

Enclosing class:

ExecutionAlgoBacktester

public static record ExecutionAlgoBacktester.Config(double spreadBps, double participationCap, TradeCostModel costModel)
extends Record

Constructor Summary

Constructors

Constructor	Description
Config(double spreadBps, double participationCap, TradeCostModel costModel)	Creates an instance of a Config record class.

Method Summary

Modifier and Type	Method	Description
TradeCostModel	costModel()	Returns the value of the costModel record component.
static ExecutionAlgoBacktester.Config	defaults()	5 bps spread, 10% participation, flat 1 bp cost.
final boolean	equals(Object o)	Indicates whether some other object is "equal to" this one.
final int	hashCode()	Returns a hash code value for this object.
double	participationCap()	Returns the value of the participationCap record component.
double	spreadBps()	Returns the value of the spreadBps record component.
final String	toString()	Returns a string representation of this record class.

Methods inherited from class java.lang.Object

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

Constructor Details

Config

public Config(double spreadBps,
 double participationCap,
 TradeCostModel costModel)

Creates an instance of a Config record class.

Parameters:

spreadBps - the value for the spreadBps record component

participationCap - the value for the participationCap record component

costModel - the value for the costModel record component

Method Details

defaults

public static ExecutionAlgoBacktester.Config defaults()

5 bps spread, 10% participation, flat 1 bp cost.

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.

spreadBps

public double spreadBps()

Returns the value of the spreadBps record component.

Returns:

the value of the spreadBps record component

participationCap

public double participationCap()

Returns the value of the participationCap record component.

Returns:

the value of the participationCap record component

costModel

public TradeCostModel costModel()

Returns the value of the costModel record component.

Returns:

the value of the costModel record component