Class DayTypeProfiles<T>

java.lang.Object
com.quantfinlib.microstructure.DayTypeProfiles<T>
Type Parameters:
T - the per-day-type profile, typically VolumeCurve, VolatilityCurve or SpreadForecaster
public final class DayTypeProfiles<T> extends Object
Day-type-aware seasonality: not every trading day has the same shape. Options-expiry days trade 2-3x normal volume with a violent close; half days compress the whole U-curve into a morning; FX fixing days (month-end, the 4pm London WM/R window) concentrate flow around the fix. A single averaged profile is wrong on exactly the days that matter most, so this container holds one independently-learned curve per day type — one VolumeCurve, VolatilityCurve, or SpreadForecaster each — and the caller selects today's profile once at session start. 

 // 0=regular, 1=expiry, 2=half day  (the caller owns the taxonomy)
 var volume = new DayTypeProfiles<>(3, () -> new VolumeCurve(78, 0.1));
 VolumeCurve today = volume.profile(calendar.isExpiry(date) ? 1 : 0);
 today.onVolume(bucket, qty);   // learns ONLY the expiry-day shape

The trade-off is honest and unavoidable: a per-type profile learns from only that type's sessions, so rare types (12 expiries a year) converge slowly. Seed a new type from the regular-day profile via the curve's own seeding method when one exists, or accept the slower ramp. All profiles are constructed eagerly up front — selection is allocation-free and hot-path safe; the curves themselves keep their own single-writer contracts.

  • Constructor Details

    • DayTypeProfiles

      public DayTypeProfiles(int dayTypes, Supplier<T> factory)
      Parameters:
      dayTypes - number of day types in the caller's taxonomy, e.g. 3 for regular / expiry / half-day (equities) or regular / month-end-fixing (FX)
      factory - builds one fresh, identically-configured profile per day type

    • DayTypeProfiles

      public DayTypeProfiles(int dayTypes, IntFunction<T> factory)
      Variant whose factory sees the day-type index it is building for.

  • Method Details

    • profile

      public T profile(int dayType)
      The independently-learned profile for dayType.

    • dayTypes

      public int dayTypes()