Uses of Class
com.quantfinlib.microstructure.SignalEngine

Packages that use SignalEngine

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 SignalEngine in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure with parameters of type SignalEngine

Modifier and Type	Method	Description
double	OnlineAlphaLearner.predictFrom(SignalEngine engine, int symbolId)	OnlineAlphaLearner.predict(double, double, double, double) pulling the ingredients straight from a SignalEngine.
void	OnlineAlphaLearner.trainFrom(SignalEngine engine, int symbolId, double realizedReturn)	The aligned learning step over a SignalEngine: trains on the ingredients snapshotted at the PREVIOUS call (which predate the interval realizedReturn covers), then snapshots the current ingredients for the next call.