Uses of Class
com.quantfinlib.microstructure.Auction

Packages that use Auction

Package

Description

com.quantfinlib.microstructure

Market microstructure analytics: MarketImpactModel (square-root law + Almgren-Chriss temporary/permanent decomposition), AlmgrenChriss (closed-form optimal execution trajectories on the cost/risk frontier), QueueModel (fill probability from queue position and latency advantage), TransactionCostAnalyzer (implementation shortfall, slippage vs VWAP, effective spread per fill), TickSizeSchedule (banded price grids) and Auction (call uncross).

Uses of Auction in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return Auction

Modifier and Type	Method	Description
Auction	Auction.addBuy(double limitPrice, long quantity)	Adds a buy limit order to the call book.
Auction	Auction.addMarketBuy(long quantity)	Adds a market-on-auction buy (eligible at any clearing price).
Auction	Auction.addMarketSell(long quantity)	Adds a market-on-auction sell.
Auction	Auction.addSell(double limitPrice, long quantity)	Adds a sell limit order to the call book.