Class WmrFixingScheduler

java.lang.Object

com.quantfinlib.execution.WmrFixingScheduler

public final class WmrFixingScheduler
extends Object

Benchmark-fixing execution schedule, WMR-style: orders benchmarked to a fixing (the WM/Refinitiv 4pm London fix and its cousins) are executed by spreading the parent evenly across the fixing's calculation window, so realized cost tracks the benchmark rather than betting against it — the window is 5 minutes for major pairs, and the benchmark is computed from observations inside it, so TWAP-in-window IS the neutral replication.

Deliberately excluded, with reasons: executing ahead of the window to "get done early" is pre-hedging risk against the client's benchmark (the conduct the 2013-15 FX fix scandals were about), and skewing inside the window is a bet, not benchmark replication. Anyone who wants a bet can use ImplementationShortfallScheduler and own it explicitly.

Research-lane class (allocates the schedule list); the slices it emits are executed by the hot lane.

Field Summary

Fields

Modifier and Type	Field	Description
static final long	WINDOW_MILLIS	The standard WMR calculation window for major pairs.

Method Summary

Modifier and Type	Method	Description
static List<Slice>	schedule(long totalQty, int numSlices)	schedule(long, long, int) with the standard 5-minute window.
static List<Slice>	schedule(long totalQty, long windowMillis, int numSlices)	Even slices across the fixing window.

Methods inherited from class java.lang.Object

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

Field Details

WINDOW_MILLIS

public static final long WINDOW_MILLIS

The standard WMR calculation window for major pairs.

See Also:

• Constant Field Values

Method Details

schedule

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

Even slices across the fixing window. Offsets are relative to the schedule's own start; align slice 0 with the window open (fix time minus half the window).

Parameters:

totalQty - parent quantity (sliced exactly, largest-remainder)

windowMillis - calculation-window length (WINDOW_MILLIS for majors)

numSlices - child count; more slices = closer benchmark tracking, more tickets

schedule

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

schedule(long, long, int) with the standard 5-minute window.