Class CrossRateEngine

java.lang.Object

com.quantfinlib.fx.CrossRateEngine

public final class CrossRateEngine
extends Object

Streaming cross-rate derivation on the HFT tick path: maintains synthetic crosses (EURJPY from EURUSD × USDJPY, EURGBP from EURUSD ÷ GBPUSD) live from their leg ticks, with zero allocation per tick.

Two compositions cover every triangulation:

• CrossRateEngine.Op.MULTIPLY — legs share the middle currency on opposite sides: A/B × B/C = A/C (EURUSD × USDJPY = EURJPY);
• CrossRateEngine.Op.DIVIDE — legs share the quote currency: A/C ÷ B/C = A/B (EURUSD ÷ GBPUSD = EURGBP).

Threading. Cross updates are delivered synchronously on the bus consumer thread through a caller-supplied TickListener — they are deliberately not re-published onto the bus, whose ring is single-producer (the feed thread); publishing from the consumer thread would break that contract. Chain downstream logic (streaming indicators, a quoter) off the listener exactly as off a native symbol. The cross symbol is still registered on the bus so it owns a dense id, usable with SymbolRegistry lookups and the order gateway.

Setup (addCross(java.lang.String, java.lang.String, java.lang.String, com.quantfinlib.fx.CrossRateEngine.Op, com.quantfinlib.marketdata.TickListener)) allocates; the per-tick path touches only primitive arrays captured at setup. Static one-shot math (mid from two leg quotes) lives in pricing.TriangularArbitrage; this class is its streaming counterpart.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static enum	CrossRateEngine.Op	How the two leg prices compose into the cross.

Constructor Summary

Constructors

Constructor	Description
CrossRateEngine(HftMarketDataBus bus)

Method Summary

Modifier and Type	Method	Description
int	addCross(String legA, String legB, String crossSymbol, CrossRateEngine.Op op, TickListener listener)	Registers a synthetic cross.
List<String>	crossSymbols()	Symbols of all registered crosses, in registration order.

Methods inherited from class java.lang.Object

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

Constructor Details

CrossRateEngine

public CrossRateEngine(HftMarketDataBus bus)

Method Details

addCross

public int addCross(String legA,
 String legB,
 String crossSymbol,
 CrossRateEngine.Op op,
 TickListener listener)

Registers a synthetic cross. Both legs and the cross symbol are registered on the bus; the returned dense id identifies the cross in listener callbacks. Call before bus.start().

Parameters:

listener - receives the derived cross tick (cross id, price, the triggering leg's size, the triggering leg's timestamp) on the bus consumer thread — must not block

crossSymbols

public List<String> crossSymbols()

Symbols of all registered crosses, in registration order.