ch.algotrader.entity.trade.algo

Class AdaptiveOrder

java.lang.Object

ch.algotrader.entity.trade.Order

ch.algotrader.entity.trade.OrderImpl

ch.algotrader.entity.trade.algo.AlgoOrder

ch.algotrader.entity.trade.algo.AdaptiveOrder

All Implemented Interfaces:

BaseEntityI, OrderI, java.io.Serializable

Direct Known Subclasses:

TWAPOrder, VWAPOrder

public abstract class AdaptiveOrder
extends AlgoOrder

Author:

Rubén Fanjul

See Also:

Serialized Form

Constructor Summary

Constructors

Constructor and Description
AdaptiveOrder()

Method Summary

Modifier and Type	Method and Description
double	getCancelInterval() calculates a random cancel interval based on sliceLength, cancelTime and timeRand
double	getCancelTime()
int	getDuration()
java.time.LocalTime	getEndLocalTime()
java.util.Date	getEndTime()
java.lang.String	getExtDescription() Gets the extended description of this Order comprised of Order Type specific properties (i.e.
double	getIncrement()
double	getInitialOffset()
double	getMaxOffset()
double	getMaxVolPct()
double	getMinOffset()
java.math.BigDecimal	getMinSliceQty()
double	getOrderInterval(java.util.Date orderTime, java.util.Date lastStatusTime) calculates a random order interval based on sliceLength and timeRand
double	getQtyRand()
int	getSliceLength()
java.time.LocalTime	getStartLocalTime()
java.util.Date	getStartTime()
double	getTimeRand()
void	setCancelTime(double cancelTime)
void	setDuration(int duration)
void	setEndTime(java.util.Date endTime)
void	setIncrement(double increment)
void	setInitialOffset(double initialOffset)
void	setMaxOffset(double maxOffset)
void	setMaxVolPct(double maxVolPct)
void	setMinOffset(double minOffset)
void	setMinSliceQty(java.math.BigDecimal minSliceQty)
void	setQtyRand(double qtyRand)
void	setSliceLength(int sliceLength)
void	setStartTime(java.util.Date startTime)
void	setTimeRand(double timeRand)
void	validate() Returns true if this Order is valid.

Methods inherited from class ch.algotrader.entity.trade.algo.AlgoOrder

isAlgoOrder

Methods inherited from class ch.algotrader.entity.trade.OrderImpl

addProperty, getDescription, getEffectiveExchange, getProperty, getRootIntId, setParentOrder, setQuantity, setQuantity, toString

Methods inherited from class ch.algotrader.entity.trade.Order

accept, addChildOrders, addOrderProperties, convertToVO, equals, getAccount, getChildOrders, getDateTime, getExchange, getExtId, getId, getIntId, getOrderProperties, getParentIntId, getParentOrder, getQuantity, getSecurity, getSide, getStrategy, getTif, getTifDateTime, hashCode, initializeAccount, initializeExchange, initializeOrderProperties, initializeSecurity, initializeStrategy, isExchangeOrder, isInitialized, removeChildOrders, removeOrderProperties, setAccount, setChildOrders, setDateTime, setExchange, setExchangeOrder, setExtId, setId, setInitialized, setIntId, setOrderProperties, setParentIntId, setSecurity, setSide, setStrategy, setTif, setTifDateTime

Methods inherited from class java.lang.Object

getClass, notify, notifyAll, wait, wait, wait

Constructor Detail

AdaptiveOrder

public AdaptiveOrder()

Method Detail

getStartTime

public java.util.Date getStartTime()

setStartTime

public void setStartTime(java.util.Date startTime)

getEndTime

public java.util.Date getEndTime()

setEndTime

public void setEndTime(java.util.Date endTime)

getDuration

public int getDuration()

setDuration

public void setDuration(int duration)

getMinSliceQty

public java.math.BigDecimal getMinSliceQty()

setMinSliceQty

public void setMinSliceQty(java.math.BigDecimal minSliceQty)

getMaxVolPct

public double getMaxVolPct()

setMaxVolPct

public void setMaxVolPct(double maxVolPct)

getSliceLength

public int getSliceLength()

setSliceLength

public void setSliceLength(int sliceLength)

getCancelTime

public double getCancelTime()

setCancelTime

public void setCancelTime(double cancelTime)

getTimeRand

public double getTimeRand()

setTimeRand

public void setTimeRand(double timeRand)

getQtyRand

public double getQtyRand()

setQtyRand

public void setQtyRand(double qtyRand)

getIncrement

public double getIncrement()

setIncrement

public void setIncrement(double increment)

getInitialOffset

public double getInitialOffset()

setInitialOffset

public void setInitialOffset(double initialOffset)

getMinOffset

public double getMinOffset()

setMinOffset

public void setMinOffset(double minOffset)

getMaxOffset

public double getMaxOffset()

setMaxOffset

public void setMaxOffset(double maxOffset)

getStartLocalTime

public java.time.LocalTime getStartLocalTime()

getEndLocalTime

public java.time.LocalTime getEndLocalTime()

getCancelInterval

public double getCancelInterval()

calculates a random cancel interval based on sliceLength, cancelTime and timeRand

getOrderInterval

public double getOrderInterval(java.util.Date orderTime,
                               java.util.Date lastStatusTime)

calculates a random order interval based on sliceLength and timeRand

getExtDescription

public java.lang.String getExtDescription()

Description copied from class: Order

Gets the extended description of this Order comprised of Order Type specific properties (i.e. limit for LimitOrder)

Specified by:

getExtDescription in class Order

Returns:

java.lang.String

validate

public void validate()
              throws OrderValidationException

Description copied from class: Order

Returns true if this Order is valid. This method can/should be overwritten by subclasses.

Specified by:

validate in class Order

Throws:

OrderValidationException