Uses of Class
com.quantfinlib.fx.FxTierBook

Packages that use FxTierBook
Package
Description
com.quantfinlib.fx
FX-specific market machinery — spot conventions through NDFs: CurrencyPair (pip/precision tables, T+1/T+2 spot lags, dual-calendar tenor dates with modified-following and end-end), SwapPointsCurve (quoted forward points → outrights, broken dates linear in days, covered-interest-parity carry), FxSwap (near/far legs, points MTM, roll cost), Ndf (fixing vs settlement lags per restricted currency, USD-settled difference amounts), FxVolSurface (delta-quoted smiles — ATM DNS, RR/BF wings, premium-adjusted delta↔strike solving), FixingRisk (WM/R-window TWAP/VWAP tracking error and participation), and the hot-path pieces: AggregatedBook (zero-alloc multi-venue BBO with venue attribution), CrossRateEngine (streaming synthetic crosses chained on the bus consumer thread), FxTierBook (per-LP size-tier ladders: sweep cost and full-amount quotes), LpScorecard (streaming last-look analytics: reject rate, hold, post-reject markout), LpRouter (expected-all-in routing that prices rejects into the decision) and SyntheticCross (direct-vs-legs execution arithmetic with spread composition).

  • Uses of FxTierBook in com.quantfinlib.fx

    Constructors in com.quantfinlib.fx with parameters of type FxTierBook
    Modifier
    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.