Uses of Class
com.quantfinlib.orderbook.OrderBook

Packages that use OrderBook
Package
Description
com.quantfinlib.orderbook
Limit order book modeling, in two deliberate lanes: OrderBook is the research-grade model (price-time-priority matching with cancels, partial fills, queue-position queries and order-to-trade counters — readable TreeMap/object internals); HftOrderBook is the venue-grade core (dense integer-tick price ladder with occupancy bitmaps, pooled intrusive order nodes, primitive open-addressing id map, zero allocation — ~204 ns/op, 10M+ fills/sec measured by HftBookBenchmark).

  • Uses of OrderBook in com.quantfinlib.orderbook

    Methods in com.quantfinlib.orderbook with parameters of type OrderBook
    Modifier and Type
    Method
    Description
    static long
    BookAnalytics.depthWithinBps(OrderBook book, Side side, double bps)
    Resting quantity on a side priced within bps of the mid.
    static double
    BookAnalytics.imbalance(OrderBook book, int levels)
    Depth imbalance in [-1, 1] over the top levels: +1 = all bid.
    static double
    BookAnalytics.microprice(OrderBook book)
    Size-weighted microprice: I*ask + (1-I)*bid with I = bidSize / (bidSize + askSize) — a better short-horizon fair value than the mid when the book is imbalanced.
    static double
    BookAnalytics.spreadBps(OrderBook book)
     
    static BookAnalytics.SweepResult
    BookAnalytics.sweep(OrderBook book, Side takerSide, long quantity)
    Simulates (without mutating the book) sweeping quantity with a marketable order on takerSide: returns achievable fill, VWAP fill price, and impact versus the pre-sweep mid.