Record Class AdaptiveSor.Config

java.lang.Object
java.lang.Record
com.quantfinlib.execution.AdaptiveSor.Config
Enclosing class:
AdaptiveSor
public static record AdaptiveSor.Config(double missPenaltyBps, double urgencyBpsPerMs, double minFillRate, long defaultDarkProbeShares, double maxDarkFraction) extends Record
Tunable penalties; defaults() is a sane starting point.

  • Constructor Summary

    Constructors
    Constructor
    Description
    Config(double missPenaltyBps, double urgencyBpsPerMs, double minFillRate, long defaultDarkProbeShares, double maxDarkFraction)
    Creates an instance of a Config record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    long
    defaultDarkProbeShares()
    Returns the value of the defaultDarkProbeShares record component.
    static AdaptiveSor.Config
    defaults()
    missPenalty 2 bps (≈ re-cross half a spread), urgency 1 bp/ms of latency, veto below 50% fill rate, 5,000-share default dark probe, dark capped at half the parent.
    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
    maxDarkFraction()
    Returns the value of the maxDarkFraction record component.
    double
    minFillRate()
    Returns the value of the minFillRate record component.
    double
    missPenaltyBps()
    Returns the value of the missPenaltyBps record component.
    final String
    toString()
    Returns a string representation of this record class.
    double
    urgencyBpsPerMs()
    Returns the value of the urgencyBpsPerMs record component.

    Methods inherited from class java.lang.Object

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

  • Constructor Details

    • Config

      public Config(double missPenaltyBps, double urgencyBpsPerMs, double minFillRate, long defaultDarkProbeShares, double maxDarkFraction)
      Creates an instance of a Config record class.
      Parameters:
      missPenaltyBps - the value for the missPenaltyBps record component
      urgencyBpsPerMs - the value for the urgencyBpsPerMs record component
      minFillRate - the value for the minFillRate record component
      defaultDarkProbeShares - the value for the defaultDarkProbeShares record component
      maxDarkFraction - the value for the maxDarkFraction record component

  • Method Details

    • defaults

      public static AdaptiveSor.Config defaults()
      missPenalty 2 bps (≈ re-cross half a spread), urgency 1 bp/ms of latency, veto below 50% fill rate, 5,000-share default dark probe, dark capped at half the parent.

    • 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.

    • missPenaltyBps

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

    • urgencyBpsPerMs

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

    • minFillRate

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

    • defaultDarkProbeShares

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

    • maxDarkFraction

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