Class MidPegTracker

java.lang.Object

com.quantfinlib.execution.MidPegTracker

public final class MidPegTracker
extends Object

Mid-rate pegging model: tracks the target price of a mid-pegged order with an offset and optional limit cap, and decides when the peg has drifted far enough to justify a reprice (each reprice costs queue priority and a message, so small moves are ignored).

Constructor Summary

Constructors

Constructor	Description
MidPegTracker(Side side, double offset, double limitPrice, double repriceThreshold)

Method Summary

Modifier and Type	Method	Description
double	currentPrice()	Current working price (NaN before the first quote).
double	onQuote(double bid, double ask)	Feed a top-of-book update.

Methods inherited from class java.lang.Object

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

Constructor Details

MidPegTracker

public MidPegTracker(Side side,
 double offset,
 double limitPrice,
 double repriceThreshold)

Parameters:

offset - signed offset from the mid (negative = more passive for a buy)

limitPrice - hard cap: never price through this (NaN to disable)

repriceThreshold - minimum absolute peg move before repricing

Method Details

onQuote

public double onQuote(double bid,
 double ask)

Feed a top-of-book update. Returns the new order price when a reprice is warranted, or NaN when the current price should be left alone.

currentPrice

public double currentPrice()

Current working price (NaN before the first quote).