Record Class ExecutionAlgoBacktester.Result

java.lang.Object
java.lang.Record
com.quantfinlib.backtest.ExecutionAlgoBacktester.Result
Record Components:
executed - shares filled
completed - the whole parent filled within the session
avgFillPrice - cost-inclusive average fill price
arrivalPrice - the decision price (first bar's open)
sessionVwap - volume-weighted average close of the session
shortfallBps - implementation shortfall vs arrival, in bps, signed so that POSITIVE = cost (both sides)
vwapSlippageBps - average fill vs session VWAP, in bps, POSITIVE = worse than VWAP (both sides)
Enclosing class:
ExecutionAlgoBacktester
public static record ExecutionAlgoBacktester.Result(long executed, boolean completed, double avgFillPrice, double arrivalPrice, double sessionVwap, double shortfallBps, double vwapSlippageBps) extends Record
The TCA-style verdict for one parent worked over one session.

  • Constructor Details

    • Result

      public Result(long executed, boolean completed, double avgFillPrice, double arrivalPrice, double sessionVwap, double shortfallBps, double vwapSlippageBps)
      Creates an instance of a Result record class.
      Parameters:
      executed - the value for the executed record component
      completed - the value for the completed record component
      avgFillPrice - the value for the avgFillPrice record component
      arrivalPrice - the value for the arrivalPrice record component
      sessionVwap - the value for the sessionVwap record component
      shortfallBps - the value for the shortfallBps record component
      vwapSlippageBps - the value for the vwapSlippageBps 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. All components in this record class 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.

    • executed

      public long executed()
      Returns the value of the executed record component.
      Returns:
      the value of the executed record component

    • completed

      public boolean completed()
      Returns the value of the completed record component.
      Returns:
      the value of the completed record component

    • avgFillPrice

      public double avgFillPrice()
      Returns the value of the avgFillPrice record component.
      Returns:
      the value of the avgFillPrice record component

    • arrivalPrice

      public double arrivalPrice()
      Returns the value of the arrivalPrice record component.
      Returns:
      the value of the arrivalPrice record component

    • sessionVwap

      public double sessionVwap()
      Returns the value of the sessionVwap record component.
      Returns:
      the value of the sessionVwap record component

    • shortfallBps

      public double shortfallBps()
      Returns the value of the shortfallBps record component.
      Returns:
      the value of the shortfallBps record component

    • vwapSlippageBps

      public double vwapSlippageBps()
      Returns the value of the vwapSlippageBps record component.
      Returns:
      the value of the vwapSlippageBps record component