com.activequant.trading.virtual
Class LimitOrderBook

java.lang.Object
  com.activequant.trading.AbstractOrderBook<LimitOrder>
      com.activequant.trading.virtual.LimitOrderBook

All Implemented Interfaces:

IOrderBook<LimitOrder>

public class LimitOrderBook
extends AbstractOrderBook<LimitOrder>

See http://journal.r-project.org/archive/2011-1/RJournal_2011-1_Kane~et~al.pdf see http://dl.dropbox.com/u/3001534/engine.c see http://www.mathworks.com/matlabcentral/fileexchange/28156-limit-order-book-simulation

Author:

ustaudinger

Constructor Summary

LimitOrderBook(VirtualExchange vex, String tradeableInstrumentId)

Method Summary

void	addOrder(LimitOrder order)
void	addOrders(LimitOrder[] orders)
List<LimitOrder>	buySide() Although the orders SHOULD be sorted, there is no guarantee.
void	buySide(List<LimitOrder> buySide)
void	cancelOrder(SingleLegOrder order)
void	match()
List<LimitOrder>	sellSide() Although the orders SHOULD be sorted, there is no guarantee.
void	sellSide(List<LimitOrder> sellSide)
void	updateOrder(LimitOrder newOrder)

Methods inherited from class com.activequant.trading.AbstractOrderBook

attachOrderBookListener, detachOrderBookListener, getMarketState, getTradeableInstrumentId, marketStateChange, orderBookEvent, transaction

Methods inherited from class java.lang.Object

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

Constructor Detail

LimitOrderBook

public LimitOrderBook(VirtualExchange vex,
                      String tradeableInstrumentId)

Method Detail

match

public void match()

addOrders

public void addOrders(LimitOrder[] orders)

addOrder

public void addOrder(LimitOrder order)

cancelOrder

public void cancelOrder(SingleLegOrder order)

updateOrder

public void updateOrder(LimitOrder newOrder)

buySide

public List<LimitOrder> buySide()

Description copied from interface: IOrderBook

Although the orders SHOULD be sorted, there is no guarantee. See specific orderbook implementation details

Returns:

the entire buy side of orders.

buySide

public void buySide(List<LimitOrder> buySide)

sellSide

public List<LimitOrder> sellSide()

Description copied from interface: IOrderBook

Although the orders SHOULD be sorted, there is no guarantee. See specific orderbook implementation details

Returns:

the entire sell side of orders.

sellSide

public void sellSide(List<LimitOrder> sellSide)