Uses of Class
com.quantfinlib.execution.BenchmarkExecutor

Packages that use BenchmarkExecutor

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 in com.quantfinlib.execution

Methods in com.quantfinlib.execution that return BenchmarkExecutor

Modifier and Type	Method	Description
BenchmarkExecutor	PortfolioExecutor.child(int handle)	The child executor behind a handle — for progress/drift reads and for feeding onMarketVolume to VWAP/POV children.
static BenchmarkExecutor	BenchmarkExecutor.of(Side side, long parentQty, BenchmarkExecutor.Benchmark benchmark)	Sensible defaults: alpha urgency 1 (a full-scale normalized alpha of ±1 doubles/halves the pace — smooth, never rail-pinned), child capped at 25% of displayed depth.
static BenchmarkExecutor	BenchmarkExecutor.pov(Side side, long parentQty, double participationRate)	POV convenience.

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

Modifier and Type	Method	Description
int	PortfolioExecutor.add(BenchmarkExecutor child)	Registers a child parent order; returns its handle for decide/onFill.