Uses of Record Class
com.quantfinlib.execution.BenchmarkExecutor.MarketState

Packages that use BenchmarkExecutor.MarketState

Package

Description

com.quantfinlib.execution

Execution strategy support: SmartOrderRouter (fee-adjusted multi-venue splitting, dark-first option), its zero-allocation hot-lane sibling HftSor, and the full-checklist AdaptiveSor (expected-cost routing over displayed + hidden liquidity, fees/rebates, latency, fill probability and a reliability veto, with contingent dark probes) learning from VenueScorecard (streaming per-venue fill rate, measured latency, realized dark fills), TwapScheduler / VwapScheduler (schedule design with anti-gaming jitter and exact largest-remainder allocation), PovTracker (streaming percentage-of-volume participation), ImplementationShortfallScheduler (Almgren-Chriss-optimal slicing), WmrFixingScheduler (benchmark-window TWAP replication), BenchmarkExecutor (the DYNAMIC benchmark algo: one stateful executor tracking VWAP / TWAP / Arrival / Implementation Shortfall / Closing / Opening / Participation, re-deciding each interval from live spread, depth, volatility, volume curve, alpha and liquidity — cross-asset), LiquiditySeekingAlgo (the opportunistic archetype: burst when the spread is under its time-of-day forecast in a calm regime, guaranteed by a completion floor over the final stretch), PortfolioExecutor (multi-symbol portfolio-level scheduling over per-symbol BenchmarkExecutor children: leg-balance band for two-sided transitions, per-interval notional budget allocated risk-weighted — overlays only ever damp a child's own due, so per-symbol benchmark integrity holds), IcebergOrder (display/reload state machine), DarkPoolSimulator (midpoint cross with minimum-execution-quantity), MidPegTracker (peg repricing with thresholds) and VenueBenchmark (fill rate, effective spread, markout per venue).

Uses of BenchmarkExecutor.MarketState in com.quantfinlib.execution

Methods in com.quantfinlib.execution that return BenchmarkExecutor.MarketState

Modifier and Type	Method	Description
static BenchmarkExecutor.MarketState	BenchmarkExecutor.MarketState.neutral(double mid, double scheduleFraction)	A neutral state: no spread/vol/alpha/impact, unlimited depth, VWAP=TWAP.

Methods in com.quantfinlib.execution with parameters of type BenchmarkExecutor.MarketState

Modifier and Type	Method	Description
void	PortfolioExecutor.decide(double scheduleFraction, BenchmarkExecutor.MarketState[] states, long[] dueOut)	One portfolio interval: asks every child for its own due quantity, then applies the leg-balance band and the capacity allocation.
long	BenchmarkExecutor.dueQuantity(double scheduleFraction, BenchmarkExecutor.MarketState m)	Shares to send now, given the current market and how far through the schedule we are.
long	LiquiditySeekingAlgo.dueQuantity(double scheduleFraction, BenchmarkExecutor.MarketState m, double forecastSpread)	Shares to send now.
double	BenchmarkExecutor.scheduleDrift(double scheduleFraction, BenchmarkExecutor.MarketState m)	Schedule drift: executed fraction minus the benchmark's target fraction at scheduleFraction.