Class OrderPlacementPolicy

java.lang.Object

com.quantfinlib.execution.OrderPlacementPolicy

public final class OrderPlacementPolicy
extends Object

The post-or-cross decision — the smallest and most repeated choice in execution, made explicit as expected-cost arithmetic instead of habit. Relative to the current mid, for a buy:

  cross now:   pay the half spread                    → h
  post at bid: filled (prob p):  earn h, pay adverse selection a,
               collect the rebate r                    → a − h − r
               unfilled (1−p):   cross later after the
               market drifted d against you            → h + d

  expected post cost = p·(a − h − r) + (1−p)·(h + d)
  POST iff that beats h

The inputs are the honest parts: fillProbability from microstructure.FillProbabilityModel (or your own), the adverse-selection cost a from post-fill markouts (a passive fill happens exactly when the market comes THROUGH you — free money it is not), and the drift d from your alpha (positive = expected to move against a waiting buyer). All in the same per-unit currency. Static, deterministic, research/warm lane; per-share or per-notional units both work as long as they are consistent.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	OrderPlacementPolicy.Placement	The decision plus the arithmetic that made it.
static final record	OrderPlacementPolicy.PostRegion	The fill-probability REGION where posting beats crossing.

Method Summary

Modifier and Type	Method	Description
static OrderPlacementPolicy.Placement	decide(double halfSpread, double fillProbability, double adverseSelection, double adverseDrift, double rebate)
static OrderPlacementPolicy.PostRegion	postRegion(double halfSpread, double adverseSelection, double adverseDrift, double rebate)	The desk's rule for these market conditions: post iff the fill probability lands inside the returned region of [0, 1].

Methods inherited from class java.lang.Object

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

Method Details

decide

public static OrderPlacementPolicy.Placement decide(double halfSpread,
 double fillProbability,
 double adverseSelection,
 double adverseDrift,
 double rebate)

Parameters:

halfSpread - half the touch spread, > 0

fillProbability - P(passive order fills within the horizon), in [0, 1]

adverseSelection - expected cost WHEN passively filled (post-fill markout), ≥ 0

adverseDrift - expected move against the order while waiting unfilled (signed: negative = the market is expected to come to you)

rebate - maker rebate per unit, ≥ 0

postRegion

public static OrderPlacementPolicy.PostRegion postRegion(double halfSpread,
 double adverseSelection,
 double adverseDrift,
 double rebate)

The desk's rule for these market conditions: post iff the fill probability lands inside the returned region of [0, 1].