Uses of Package
com.quantfinlib.marketdata
Packages that use com.quantfinlib.marketdata
Package
Description
Data in, out, and preparation — the bridge between real-world files/feeds
and the analytics stack:
CsvBarLoader (RFC-4180-tolerant CSV bars),
HttpBarFetcher (CSV over HTTP),
TickFileWriter/TickFileReader
(QFLT binary tick format with as-fast-as-possible or paced replay),
TickCapture (record the live bus for
deterministic replay), SeriesAligner
(timestamp intersection / union+forward-fill for ragged multi-asset data)
CorporateActions (split/dividend
back-adjustment) and PointInTimeUniverse
(as-of membership + delisting/merger terminal events — the engine half of
survivorship-bias-free backtesting, consumed by the universe-aware
PortfolioBacktester overload and StockScreener.membersAsOf)
with UniverseCsvLoader as its documented CSV
interchange format for user-supplied membership/lifecycle data.Live market data over WebSocket (pure JDK
java.net.http):
WebSocketFeed publishes parsed trades into the
HftMarketDataBus with automatic reconnection, and
BinanceTradeParser is the reference
FeedParser (one small class per additional
exchange).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).Market data transport, two lanes:
SBE-style binary wire codecs and channel adapters — the professional-grade
alternative to the text edges (JSON WebSocket in, FIX tag-value out):
TradeFlyweight,
OrderFlyweight and
QuoteFlyweight encode/decode at fixed buffer
offsets with zero allocation, zero parsing and zero copying;
BinaryMarketDataClient feeds the
HftMarketDataBus from a binary stream and
BinaryOrderPublisher/BinaryOrderReceiver
carry gateway orders over a binary channel.Order entry, two lanes (mirroring
marketdata):-
Classes in com.quantfinlib.marketdata used by com.quantfinlib.dataClassDescriptionUltra-low-latency market data bus.All-primitive tick callback for the HFT hot path: no event object, no boxing, no allocation.
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Classes in com.quantfinlib.marketdata used by com.quantfinlib.feed
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Classes in com.quantfinlib.marketdata used by com.quantfinlib.fxClassDescriptionUltra-low-latency market data bus.All-primitive tick callback for the HFT hot path: no event object, no boxing, no allocation.
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Classes in com.quantfinlib.marketdata used by com.quantfinlib.marketdataClassDescriptionMutable flyweight over one message in a caller-owned buffer.A tick / trade print.Callback for market data events.Fired after the NBBO (price or inside size) changes.All-primitive tick callback for the HFT hot path: no event object, no boxing, no allocation.
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Classes in com.quantfinlib.marketdata used by com.quantfinlib.sbe
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Classes in com.quantfinlib.marketdata used by com.quantfinlib.tradingClassDescriptionUltra-low-latency market data bus.All-primitive tick callback for the HFT hot path: no event object, no boxing, no allocation.