Class CircuitBreakers.MarketWide

java.lang.Object

com.quantfinlib.microstructure.CircuitBreakers.MarketWide

Enclosing class:

CircuitBreakers

public static final class CircuitBreakers.MarketWide
extends Object

Market-wide circuit-breaker day state: feed it the S&P 500 decline from the prior close and the time of day; it applies the once-per-day and not-after-15:25 rules for Levels 1 and 2. Reset it each session.

Field Summary

Fields

Modifier and Type	Field	Description
static final double	LEVEL_1
static final double	LEVEL_2
static final double	LEVEL_3

Constructor Summary

Constructors

Constructor	Description
MarketWide()

Method Summary

Modifier and Type	Method	Description
boolean	level1Used()
boolean	level2Used()
boolean	level3Used()
CircuitBreakers.Halt	onDecline(double declineFromPriorClose, int minutesSinceMidnight)

Methods inherited from class java.lang.Object

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

Field Details

LEVEL_1

public static final double LEVEL_1

See Also:

• Constant Field Values

LEVEL_2

public static final double LEVEL_2

See Also:

• Constant Field Values

LEVEL_3

public static final double LEVEL_3

See Also:

• Constant Field Values

Constructor Details

MarketWide

public MarketWide()

Method Details

onDecline

public CircuitBreakers.Halt onDecline(double declineFromPriorClose,
 int minutesSinceMidnight)

Parameters:

declineFromPriorClose - e.g. 0.08 = the index is down 8%

minutesSinceMidnight - local exchange time in MINUTES, e.g. 14:30 = 870 (validated to 0..1440 so a seconds/nanos unit mistake fails loudly instead of suppressing halts)

level1Used

public boolean level1Used()

level2Used

public boolean level2Used()

level3Used

public boolean level3Used()