Uses of Record Class
com.quantfinlib.microstructure.TransactionCostAnalyzer.TcaReport

Packages that use TransactionCostAnalyzer.TcaReport

Package	Description
com.quantfinlib.backtest	Bar-based backtesting.
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 TransactionCostAnalyzer.TcaReport in com.quantfinlib.backtest

Methods in com.quantfinlib.backtest that return TransactionCostAnalyzer.TcaReport

Modifier and Type	Method	Description
TransactionCostAnalyzer.TcaReport	ExecutionAwareResult.tca(ParentOrder parent)	Transaction cost analysis for one parent order: arrival mid = close at the signal bar, market VWAP = volume-weighted close over the fill interval, per-fill mid = close of the fill bar.

Uses of TransactionCostAnalyzer.TcaReport in com.quantfinlib.microstructure

Methods in com.quantfinlib.microstructure that return TransactionCostAnalyzer.TcaReport

Modifier and Type	Method	Description
static TransactionCostAnalyzer.TcaReport	TransactionCostAnalyzer.analyze(List<Execution> fills, double arrivalMid, double marketVwap, double[] midAtFill)