Class BestExecutionAnalyzer

java.lang.Object

com.quantfinlib.regulatory.BestExecutionAnalyzer

public final class BestExecutionAnalyzer
extends Object

MiFID II-style best execution analytics (RTS 27/28 spirit): slippage versus arrival mid, latency-to-fill distribution, fraction executed at or better than arrival, and per-venue slippage breakdown.

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static final record	BestExecutionAnalyzer.BestExecutionReport
static final record	BestExecutionAnalyzer.OrderOutcome	One parent order outcome.

Constructor Summary

Constructors

Constructor	Description
BestExecutionAnalyzer()

Method Summary

Modifier and Type	Method	Description
BestExecutionAnalyzer	add(BestExecutionAnalyzer.OrderOutcome outcome)
BestExecutionAnalyzer.BestExecutionReport	report()

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

BestExecutionAnalyzer

public BestExecutionAnalyzer()

Method Details

add

public BestExecutionAnalyzer add(BestExecutionAnalyzer.OrderOutcome outcome)

report

public BestExecutionAnalyzer.BestExecutionReport report()