Class LpRouter

java.lang.Object

com.quantfinlib.fx.LpRouter

public final class LpRouter
extends Object

Last-look-aware LP router: chooses where to send an FX clip by expected all-in price, not displayed price. The FX-specific insight it encodes: a tight quote from an LP that rejects 20% of the time — and whose rejects are followed by adverse markout — is more expensive than a wider firm quote. Expected cost per LP:

  quoted price  ±  rejectRate × max(postRejectMarkout, 0)

(worse for the taker on either side), with LPs above a configurable reject-rate cap vetoed outright. Quotes come from an FxTierBook (full-amount tiers), behavior from an LpScorecard.

Full-amount only, one LP per clip — the FX convention that avoids spraying child orders (each child leaks intent to another counterparty's last-look window). For deliberate multi-LP sweeps, use FxTierBook.sweepPlan(boolean, double, double[]) directly and accept the signaling.

Zero allocation, single writer. The route decision returns the LP index; the prices behind the decision are readable until the next call (lastQuotedPrice, lastExpectedPrice).

Constructor Summary

Constructors

Constructor	Description
LpRouter(FxTierBook book, LpScorecard card, double maxRejectRate)	Wiring requirement: the scorecard's markout penalty only works if card.onMid is fed composite mids on the same clock as onReject — without it markouts never mature, the penalty is silently zero, and routing degrades to displayed-price-plus-veto.
LpRouter(FxTierBook book, LpScorecard card, double maxRejectRate, double holdUrgencyBpsPerMs)	With a hold-time urgency: an LP's last-look hold is FX's latency dimension — while it deliberates, the market drifts against you.

Method Summary

Modifier and Type	Method	Description
double	lastExpectedPrice()	Reject-adjusted price behind the last successful route(boolean, double); NaN otherwise.
double	lastQuotedPrice()	Raw quoted price behind the last successful route(boolean, double); NaN otherwise.
int	route(boolean buy, double size)	Chooses the LP for a full-amount clip.
long	routeCount()
long	vetoCount()	LP-candidate evaluations skipped for exceeding the reject-rate cap.

Methods inherited from class java.lang.Object

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

Constructor Details

LpRouter

public LpRouter(FxTierBook book,
 LpScorecard card,
 double maxRejectRate)

Wiring requirement: the scorecard's markout penalty only works if card.onMid is fed composite mids on the same clock as onReject — without it markouts never mature, the penalty is silently zero, and routing degrades to displayed-price-plus-veto. Watch card.maturedMarkouts() in monitoring: zero while rejects accrue means the hook is missing.

Parameters:

maxRejectRate - LPs whose EWMA reject rate exceeds this are vetoed regardless of price (e.g. 0.25)

LpRouter

public LpRouter(FxTierBook book,
 LpScorecard card,
 double maxRejectRate,
 double holdUrgencyBpsPerMs)

With a hold-time urgency: an LP's last-look hold is FX's latency dimension — while it deliberates, the market drifts against you. A positive holdUrgencyBpsPerMs charges each LP's EWMA hold time against its quote (bps of price per millisecond held), so a slow-holding LP loses ties exactly like a high-latency venue does in execution.AdaptiveSor.

Method Details

route

public int route(boolean buy,
 double size)

Chooses the LP for a full-amount clip. Returns the LP index, or -1 when no eligible LP quotes the size (book too shallow or all vetoed). After a successful call, lastQuotedPrice is the LP's raw tier price and lastExpectedPrice the reject-adjusted price the decision was made on.

lastQuotedPrice

public double lastQuotedPrice()

Raw quoted price behind the last successful route(boolean, double); NaN otherwise.

lastExpectedPrice

public double lastExpectedPrice()

Reject-adjusted price behind the last successful route(boolean, double); NaN otherwise.

routeCount

public long routeCount()

vetoCount

public long vetoCount()

LP-candidate evaluations skipped for exceeding the reject-rate cap.