Class IntradayLiquidityForecaster

java.lang.Object
com.quantfinlib.ml.IntradayLiquidityForecaster
public final class IntradayLiquidityForecaster extends Object
Intraday liquidity forecasting: accumulates per-bucket volumes across days into a seasonal profile (e.g. 24 hourly buckets) to predict when liquidity peaks — London open, the London/New York overlap, etc. Feed the profile to VwapScheduler to align execution with expected volume.

  • Constructor Details

    • IntradayLiquidityForecaster

      public IntradayLiquidityForecaster(int buckets)
      Parameters:
      buckets - buckets per day (24 = hourly, 48 = half-hourly)

  • Method Details

    • addDay

      public IntradayLiquidityForecaster addDay(double[] volumesPerBucket)
      Adds one day's observed volume per bucket.

    • forecastVolume

      public double forecastVolume(int bucket)
      Expected volume in a bucket (historical mean).

    • profile

      public double[] profile()
      Normalized profile summing to 1 — directly usable as a VWAP weight curve.

    • peakBucket

      public int peakBucket()
      Bucket with the highest expected liquidity.

    • sessionShare

      public double sessionShare(int fromBucket, int toBucket)
      Share of daily liquidity expected within [fromBucket, toBucket).

    • fxSession

      public static String fxSession(int hourUtc)
      FX session label for an hour of day in UTC.