Record Class SignalEngine.Config

java.lang.Object
java.lang.Record
com.quantfinlib.microstructure.SignalEngine.Config
Enclosing class:
SignalEngine
public static record SignalEngine.Config(long flowHalfLifeNanos, long fastHalfLifeNanos, long slowHalfLifeNanos, long volHalfLifeNanos, long liquidityHalfLifeNanos, double wQueueImbalance, double wTradeImbalance, double wOfi, double wMomentum) extends Record
Half-lives (all in nanos) for the decayed estimators, plus the composite weights. defaults() is a reasonable intraday starting point — 500ms flow, 2s/20s momentum, 10s volatility and liquidity, equal composite weights.

  • Constructor Summary

    Constructors
    Constructor
    Description
    Config(long flowHalfLifeNanos, long fastHalfLifeNanos, long slowHalfLifeNanos, long volHalfLifeNanos, long liquidityHalfLifeNanos, double wQueueImbalance, double wTradeImbalance, double wOfi, double wMomentum)
    Creates an instance of a Config record class.

  • Method Summary

    Modifier and Type
    Method
    Description
    static SignalEngine.Config
    defaults()
     
    final boolean
    equals(Object o)
    Indicates whether some other object is "equal to" this one.
    long
    fastHalfLifeNanos()
    Returns the value of the fastHalfLifeNanos record component.
    long
    flowHalfLifeNanos()
    Returns the value of the flowHalfLifeNanos record component.
    final int
    hashCode()
    Returns a hash code value for this object.
    long
    liquidityHalfLifeNanos()
    Returns the value of the liquidityHalfLifeNanos record component.
    long
    slowHalfLifeNanos()
    Returns the value of the slowHalfLifeNanos record component.
    final String
    toString()
    Returns a string representation of this record class.
    long
    volHalfLifeNanos()
    Returns the value of the volHalfLifeNanos record component.
    double
    wMomentum()
    Returns the value of the wMomentum record component.
    double
    wOfi()
    Returns the value of the wOfi record component.
    double
    wQueueImbalance()
    Returns the value of the wQueueImbalance record component.
    double
    wTradeImbalance()
    Returns the value of the wTradeImbalance record component.

    Methods inherited from class java.lang.Object

    clone, finalize, getClass, notify, notifyAll, wait, wait, wait

  • Constructor Details

    • Config

      public Config(long flowHalfLifeNanos, long fastHalfLifeNanos, long slowHalfLifeNanos, long volHalfLifeNanos, long liquidityHalfLifeNanos, double wQueueImbalance, double wTradeImbalance, double wOfi, double wMomentum)
      Creates an instance of a Config record class.
      Parameters:
      flowHalfLifeNanos - the value for the flowHalfLifeNanos record component
      fastHalfLifeNanos - the value for the fastHalfLifeNanos record component
      slowHalfLifeNanos - the value for the slowHalfLifeNanos record component
      volHalfLifeNanos - the value for the volHalfLifeNanos record component
      liquidityHalfLifeNanos - the value for the liquidityHalfLifeNanos record component
      wQueueImbalance - the value for the wQueueImbalance record component
      wTradeImbalance - the value for the wTradeImbalance record component
      wOfi - the value for the wOfi record component
      wMomentum - the value for the wMomentum record component

  • Method Details

    • defaults

      public static SignalEngine.Config defaults()

    • toString

      public final String toString()
      Returns a string representation of this record class. The representation contains the name of the class, followed by the name and value of each of the record components.
      Specified by:
      toString in class Record
      Returns:
      a string representation of this object

    • hashCode

      public final int hashCode()
      Returns a hash code value for this object. The value is derived from the hash code of each of the record components.
      Specified by:
      hashCode in class Record
      Returns:
      a hash code value for this object

    • equals

      public final boolean equals(Object o)
      Indicates whether some other object is "equal to" this one. The objects are equal if the other object is of the same class and if all the record components are equal. All components in this record class are compared with the compare method from their corresponding wrapper classes.
      Specified by:
      equals in class Record
      Parameters:
      o - the object with which to compare
      Returns:
      true if this object is the same as the o argument; false otherwise.

    • flowHalfLifeNanos

      public long flowHalfLifeNanos()
      Returns the value of the flowHalfLifeNanos record component.
      Returns:
      the value of the flowHalfLifeNanos record component

    • fastHalfLifeNanos

      public long fastHalfLifeNanos()
      Returns the value of the fastHalfLifeNanos record component.
      Returns:
      the value of the fastHalfLifeNanos record component

    • slowHalfLifeNanos

      public long slowHalfLifeNanos()
      Returns the value of the slowHalfLifeNanos record component.
      Returns:
      the value of the slowHalfLifeNanos record component

    • volHalfLifeNanos

      public long volHalfLifeNanos()
      Returns the value of the volHalfLifeNanos record component.
      Returns:
      the value of the volHalfLifeNanos record component

    • liquidityHalfLifeNanos

      public long liquidityHalfLifeNanos()
      Returns the value of the liquidityHalfLifeNanos record component.
      Returns:
      the value of the liquidityHalfLifeNanos record component

    • wQueueImbalance

      public double wQueueImbalance()
      Returns the value of the wQueueImbalance record component.
      Returns:
      the value of the wQueueImbalance record component

    • wTradeImbalance

      public double wTradeImbalance()
      Returns the value of the wTradeImbalance record component.
      Returns:
      the value of the wTradeImbalance record component

    • wOfi

      public double wOfi()
      Returns the value of the wOfi record component.
      Returns:
      the value of the wOfi record component

    • wMomentum

      public double wMomentum()
      Returns the value of the wMomentum record component.
      Returns:
      the value of the wMomentum record component