Constant Field Values

com.quantfinlib.*

com.quantfinlib.backtest.ParentOrder

Modifier and Type	Constant Field	Value
public static final String	REASON_ENTRY	"ENTRY"

com.quantfinlib.backtest.Trade

Modifier and Type	Constant Field	Value
public static final String	REASON_END_OF_DATA	"END_OF_DATA"
public static final String	REASON_SIGNAL	"SIGNAL"
public static final String	REASON_STOP_LOSS	"STOP_LOSS"
public static final String	REASON_TAKE_PROFIT	"TAKE_PROFIT"

com.quantfinlib.data.PointInTimeUniverse

Modifier and Type	Constant Field	Value
public static final double	DEFAULT_INVOLUNTARY_DELISTING_RETURN	-0.3

com.quantfinlib.execution.BenchmarkExecutor

Modifier and Type	Constant Field	Value
public static final double	SPREAD_SENSITIVITY	100.0

com.quantfinlib.execution.VenueScorecard

Modifier and Type	Constant Field	Value
public static final int	PENDING_RING	4

com.quantfinlib.execution.WmrFixingScheduler

Modifier and Type	Constant Field	Value
public static final long	WINDOW_MILLIS	300000L

com.quantfinlib.fix.ExecutionReport

Modifier and Type	Constant Field	Value
public static final char	EXEC_TYPE_CANCELED	'4'
public static final char	EXEC_TYPE_NEW	'0'
public static final char	EXEC_TYPE_REJECTED	'8'
public static final char	EXEC_TYPE_REPLACED	'5'
public static final char	EXEC_TYPE_TRADE	'F'
public static final char	ORD_STATUS_CANCELED	'4'
public static final char	ORD_STATUS_FILLED	'2'
public static final char	ORD_STATUS_NEW	'0'
public static final char	ORD_STATUS_PARTIALLY_FILLED	'1'
public static final char	ORD_STATUS_REJECTED	'8'
public static final char	ORD_STATUS_REPLACED	'5'

com.quantfinlib.fix.FixMarketDataView

Modifier and Type	Constant Field	Value
public static final byte	ACTION_CHANGE	0x31
public static final byte	ACTION_DELETE	0x32
public static final byte	ACTION_NEW	0x30
public static final byte	ENTRY_BID	0x30
public static final byte	ENTRY_OFFER	0x31

com.quantfinlib.fix.FixMessage

Modifier and Type	Constant Field	Value
public static final int	AVG_PX	6
public static final int	BEGIN_SEQ_NO	7
public static final String	BEGIN_STRING	"FIX.4.4"
public static final int	BEGIN_STRING_TAG	8
public static final int	BODY_LENGTH	9
public static final int	CHECK_SUM	10
public static final int	CL_ORD_ID	11
public static final int	CUM_QTY	14
public static final int	ENCRYPT_METHOD	98
public static final int	END_SEQ_NO	16
public static final int	EXEC_ID	17
public static final int	EXEC_TYPE	150
public static final String	EXECUTION_REPORT	"8"
public static final int	GAP_FILL_FLAG	123
public static final int	HEART_BT_INT	108
public static final String	HEARTBEAT	"0"
public static final int	LAST_PX	31
public static final int	LAST_QTY	32
public static final int	LEAVES_QTY	151
public static final String	LOGON	"A"
public static final String	LOGOUT	"5"
public static final int	MSG_SEQ_NUM	34
public static final int	MSG_TYPE	35
public static final String	NEW_ORDER_SINGLE	"D"
public static final int	NEW_SEQ_NO	36
public static final int	ORD_STATUS	39
public static final int	ORD_TYPE	40
public static final String	ORDER_CANCEL_REPLACE_REQUEST	"G"
public static final String	ORDER_CANCEL_REQUEST	"F"
public static final int	ORDER_ID	37
public static final int	ORDER_QTY	38
public static final int	ORIG_CL_ORD_ID	41
public static final int	ORIG_SENDING_TIME	122
public static final int	PASSWORD	554
public static final int	POSS_DUP_FLAG	43
public static final int	PRICE	44
public static final int	REF_SEQ_NUM	45
public static final String	REJECT	"3"
public static final String	RESEND_REQUEST	"2"
public static final int	RESET_SEQ_NUM_FLAG	141
public static final int	SENDER_COMP_ID	49
public static final int	SENDING_TIME	52
public static final String	SEQUENCE_RESET	"4"
public static final int	SESSION_REJECT_REASON	373
public static final int	SIDE	54
public static final char	SOH	'\u0001'
public static final int	SYMBOL	55
public static final int	TARGET_COMP_ID	56
public static final int	TEST_REQ_ID	112
public static final String	TEST_REQUEST	"1"
public static final int	TEXT	58
public static final int	TIME_IN_FORCE	59
public static final int	TRANSACT_TIME	60
public static final int	USERNAME	553

com.quantfinlib.fix.NewOrderSingle

Modifier and Type	Constant Field	Value
public static final char	ORD_TYPE_LIMIT	'2'
public static final char	ORD_TYPE_MARKET	'1'
public static final char	TIF_DAY	'0'
public static final char	TIF_IOC	'3'

com.quantfinlib.fx.LpScorecard

Modifier and Type	Constant Field	Value
public static final int	PENDING_RING	4

com.quantfinlib.hedging.CointegrationTest

Modifier and Type	Constant Field	Value
public static final double	CRITICAL_10PCT	-3.04
public static final double	CRITICAL_1PCT	-3.9
public static final double	CRITICAL_5PCT	-3.34

com.quantfinlib.marketdata.ItchCodec

Modifier and Type	Constant Field	Value
public static final byte	ADD	0x41
public static final byte	ADD_MPID	0x46
public static final byte	BUY	0x42
public static final byte	CANCEL	0x58
public static final byte	DELETE	0x44
public static final byte	EXECUTED	0x45
public static final byte	REPLACE	0x55
public static final byte	SELL	0x53
public static final byte	TRADE	0x50

com.quantfinlib.marketdata.Nbbo

Modifier and Type	Constant Field	Value
public static final int	NO_ASK	2147483647
public static final int	NO_BID	-2147483648

com.quantfinlib.microstructure.CircuitBreakers.MarketWide

Modifier and Type	Constant Field	Value
public static final double	LEVEL_1	0.07
public static final double	LEVEL_2	0.13
public static final double	LEVEL_3	0.2

com.quantfinlib.microstructure.SpreadForecaster

Modifier and Type	Constant Field	Value
public static final double	DEVIATION_ALPHA	0.25

com.quantfinlib.microstructure.TradeClassifier

Modifier and Type	Constant Field	Value
public static final int	BUY	1
public static final int	SELL	-1
public static final int	UNKNOWN	0

com.quantfinlib.ml.AnomalyDetector

Modifier and Type	Constant Field	Value
public static final String	PRICE_SPIKE	"PRICE_SPIKE"
public static final String	QUOTE_STUFFING	"QUOTE_STUFFING"

com.quantfinlib.orderbook.HftOrderBook

Modifier and Type	Constant Field	Value
public static final long	REJECT_INVALID	-3L
public static final long	REJECT_OUT_OF_BAND	-2L
public static final long	REJECT_POOL_FULL	-1L
public static final long	REJECT_WOULD_CROSS	-4L

com.quantfinlib.risk.FrtbEs

Modifier and Type	Constant Field	Value
public static final int	LH_10	10
public static final int	LH_120	120
public static final int	LH_20	20
public static final int	LH_40	40
public static final int	LH_60	60

com.quantfinlib.risk.RiskMetrics

Modifier and Type	Constant Field	Value
public static final int	TRADING_DAYS_PER_YEAR	252

com.quantfinlib.sbe.OrderFlyweight

Modifier and Type	Constant Field	Value
public static final int	BLOCK_LENGTH	44
public static final int	MESSAGE_TYPE	2

com.quantfinlib.sbe.QuoteFlyweight

Modifier and Type	Constant Field	Value
public static final int	BLOCK_LENGTH	48
public static final int	MESSAGE_TYPE	3

com.quantfinlib.sbe.TradeFlyweight

Modifier and Type	Constant Field	Value
public static final int	BLOCK_LENGTH	32
public static final int	MESSAGE_TYPE	1

com.quantfinlib.trading.HftRiskGate

Modifier and Type	Constant Field	Value
public static final int	OK	0
public static final int	REJECT_HALTED	5
public static final int	REJECT_KILLED	6
public static final int	REJECT_NOTIONAL	2
public static final int	REJECT_POSITION	3
public static final int	REJECT_PRICE_COLLAR	4
public static final int	REJECT_QUANTITY	1