Class DarkPoolSimulator

java.lang.Object

com.quantfinlib.execution.DarkPoolSimulator

public final class DarkPoolSimulator
extends Object

Midpoint-cross dark pool model: hidden resting orders match at the current lit-market midpoint, honoring minimum-execution-quantity constraints (a standard anti-gaming feature). No pre-trade transparency: resting interest is only observable through fills.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	DarkPoolSimulator.Fill

Constructor Summary

Constructors

Constructor	Description
DarkPoolSimulator()

Method Summary

Modifier and Type	Method	Description
void	onQuote(double bid, double ask)	Update the lit reference mid.
long	restingQty(Side side)	Total hidden resting quantity on a side (for simulation introspection only).
List<DarkPoolSimulator.Fill>	submit(Side side, long quantity, long minExecutionQty)	Submits an order: crosses immediately against resting contra interest at the current mid (time priority), then rests the remainder.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

DarkPoolSimulator

public DarkPoolSimulator()

Method Details

onQuote

public void onQuote(double bid,
 double ask)

Update the lit reference mid. A LOCKED or CROSSED reference (bid >= ask) or a non-positive/non-finite side invalidates the mid: a real midpoint pool is prohibited from executing during a locked/crossed NBBO, so crossing pauses until a valid two-sided market returns — resting interest stays resting.

submit

public List<DarkPoolSimulator.Fill> submit(Side side,
 long quantity,
 long minExecutionQty)

Submits an order: crosses immediately against resting contra interest at the current mid (time priority), then rests the remainder. Returns the fills generated (empty if it fully rested).

Minimum-execution-quantity is honored AGGREGATE-first, the common pool semantics: the incoming order's MEQ is checked against the total crossable contra quantity (an order wanting 100 fills against two resting 60s), while each resting order's own MEQ still gates its individual slice.

restingQty

public long restingQty(Side side)

Total hidden resting quantity on a side (for simulation introspection only).