Package com.quantfinlib.regulatory
package 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).-
ClassDescriptionMiFID 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.One parent order outcome.WM/Reuters-style 4pm fix analysis: computes the fix rate from mid samples inside the fixing window (median, per WM/R methodology) and screens a participant's flow for the classic "banging the close" signature — a large share of window volume, a price run-up aligned with the participant's net flow into the fix, and reversion afterwards.Market quality indices used in execution-quality and venue-quality reporting: quoted / effective / realized spread, price impact, and order-to-trade ratio.