Class TwapScheduler

java.lang.Object

com.quantfinlib.execution.TwapScheduler

public final class TwapScheduler
extends Object

TWAP (time-weighted average price) schedule design: splits a parent order into evenly spaced child slices, optionally with randomized sizes to reduce schedule predictability (anti-gaming). Slice quantities always sum exactly to the parent quantity.

Method Summary

Modifier and Type	Method	Description
static List<Slice>	schedule(long totalQty, long durationMillis, int numSlices)	Equal slices at equal intervals starting at t=0.
static List<Slice>	scheduleRandomized(long totalQty, long durationMillis, int numSlices, double jitterPct, long seed)	Randomized TWAP: slice sizes jittered by up to jitterPct (e.g. 0.3 = ±30%), deterministic for a given seed.

Methods inherited from class java.lang.Object

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

Method Details

schedule

public static List<Slice> schedule(long totalQty,
 long durationMillis,
 int numSlices)

Equal slices at equal intervals starting at t=0.

scheduleRandomized

public static List<Slice> scheduleRandomized(long totalQty,
 long durationMillis,
 int numSlices,
 double jitterPct,
 long seed)

Randomized TWAP: slice sizes jittered by up to jitterPct (e.g. 0.3 = ±30%), deterministic for a given seed.