Class VenueBenchmark

java.lang.Object

com.quantfinlib.execution.VenueBenchmark

public final class VenueBenchmark
extends Object

Venue benchmarking from execution outcomes: fill rate, latency-to-fill, effective spread paid, and post-trade markout (adverse selection) per venue, ranked by execution quality.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	VenueBenchmark.Sample	One routing outcome.
static final record	VenueBenchmark.VenueStats

Constructor Summary

Constructors

Constructor	Description
VenueBenchmark()

Method Summary

Modifier and Type	Method	Description
VenueBenchmark	add(VenueBenchmark.Sample sample)
List<VenueBenchmark.VenueStats>	rank()	Per-venue statistics, best execution quality first (lowest effective spread net of markout).

Methods inherited from class java.lang.Object

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

Constructor Details

VenueBenchmark

public VenueBenchmark()

Method Details

add

public VenueBenchmark add(VenueBenchmark.Sample sample)

rank

public List<VenueBenchmark.VenueStats> rank()

Per-venue statistics, best execution quality first (lowest effective spread net of markout). Markout is signed so positive = the price moved in our favor after the fill (negative = adverse selection).