Uses of Package
com.quantfinlib.orderbook

Packages that use com.quantfinlib.orderbook
Package
Description
com.quantfinlib.backtest
Bar-based backtesting.
com.quantfinlib.backtest.tick
Event-driven tick-level backtesting — the level below bars, where queue position decides whether a passive order actually trades: TickBacktester replays QFLT tick files through a TickStrategy with microstructure-aware fills (market orders pay half the spread; limit orders fill on trade-through or earn fills print-by-print against a simulated queue; optional tick-size grid for real-world prices; no fills against the triggering print).
com.quantfinlib.execution
Execution strategy support: SmartOrderRouter (fee-adjusted multi-venue splitting, dark-first option), its zero-allocation hot-lane sibling HftSor, and the full-checklist AdaptiveSor (expected-cost routing over displayed + hidden liquidity, fees/rebates, latency, fill probability and a reliability veto, with contingent dark probes) learning from VenueScorecard (streaming per-venue fill rate, measured latency, realized dark fills), TwapScheduler / VwapScheduler (schedule design with anti-gaming jitter and exact largest-remainder allocation), PovTracker (streaming percentage-of-volume participation), ImplementationShortfallScheduler (Almgren-Chriss-optimal slicing), WmrFixingScheduler (benchmark-window TWAP replication), BenchmarkExecutor (the DYNAMIC benchmark algo: one stateful executor tracking VWAP / TWAP / Arrival / Implementation Shortfall / Closing / Opening / Participation, re-deciding each interval from live spread, depth, volatility, volume curve, alpha and liquidity — cross-asset), LiquiditySeekingAlgo (the opportunistic archetype: burst when the spread is under its time-of-day forecast in a calm regime, guaranteed by a completion floor over the final stretch), PortfolioExecutor (multi-symbol portfolio-level scheduling over per-symbol BenchmarkExecutor children: leg-balance band for two-sided transitions, per-interval notional budget allocated risk-weighted — overlays only ever damp a child's own due, so per-symbol benchmark integrity holds), IcebergOrder (display/reload state machine), DarkPoolSimulator (midpoint cross with minimum-execution-quantity), MidPegTracker (peg repricing with thresholds) and VenueBenchmark (fill rate, effective spread, markout per venue).
com.quantfinlib.fix
Zero-dependency FIX 4.4 engine.
com.quantfinlib.marketdata
Market data transport, two lanes:
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).
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).
com.quantfinlib.regulatory
Benchmark and regulatory metrics: FixAnalyzer (WM/Reuters-style fix calculation and "banging the close" screening), BestExecutionAnalyzer (MiFID II-style slippage, latency-to-fill and per-venue reporting) and MarketQualityMetrics (quoted/effective/realized spread, price impact, order-to-trade ratio).
com.quantfinlib.risk
Risk: measurement, decomposition, credit/limits, and model validation.
com.quantfinlib.sbe
SBE-style binary wire codecs and channel adapters — the professional-grade alternative to the text edges (JSON WebSocket in, FIX tag-value out): TradeFlyweight, OrderFlyweight and QuoteFlyweight encode/decode at fixed buffer offsets with zero allocation, zero parsing and zero copying; BinaryMarketDataClient feeds the HftMarketDataBus from a binary stream and BinaryOrderPublisher/BinaryOrderReceiver carry gateway orders over a binary channel.
com.quantfinlib.trading
Order entry, two lanes (mirroring marketdata):