Class PovTracker

java.lang.Object
com.quantfinlib.execution.PovTracker
public final class PovTracker extends Object
POV (percentage-of-volume) execution tracker: the streaming counterpart of the precomputed TwapScheduler/VwapScheduler schedules. POV cannot be prescheduled — it chases realized market volume — so this class maintains the participation ledger live: feed it market prints and own fills, and it answers "how many shares am I allowed to send right now" (dueQuantity()).

The target is executed ≈ participation × marketVolume, where marketVolume excludes our own fills (participation is measured against other people's trading, else the algo chases itself: p/(1+p) instead of p). Child sizes are clamped to [minSlice, maxSlice] — the minimum suppresses dribble orders, the maximum caps signaling risk.

Primitives only, zero allocation, single-writer.

  • Constructor Details

    • PovTracker

      public PovTracker(long parentQty, double participation, long minSlice, long maxSlice)
      Parameters:
      parentQty - total shares to execute
      participation - target participation rate in (0, 1], e.g. 0.1 = 10%
      minSlice - smallest child worth sending (0 = no minimum)
      maxSlice - largest child ever sent (caps information leakage)

  • Method Details

    • onMarketVolume

      public void onMarketVolume(long qty)
      A market trade print that was NOT our fill.

    • onExecuted

      public void onExecuted(long qty)
      Our own child fill (do not also feed it to onMarketVolume(long)).

    • dueQuantity

      public long dueQuantity()
      Shares to send now to restore the target participation: the behind- schedule quantity, clamped to the slice bounds and the parent remainder. Returns 0 while within minSlice of schedule (or when done) — poll it on every print, act when it's positive.

    • realizedParticipation

      public double realizedParticipation()
      Realized participation so far vs other-flow volume (NaN before any print).

    • executed

      public long executed()

    • remaining

      public long remaining()

    • marketVolume

      public long marketVolume()

    • done

      public boolean done()