ch.algotrader.service.algo

Class VWAPOrderService

java.lang.Object

ch.algotrader.service.algo.AbstractAlgoOrderExecService<T,S>

ch.algotrader.service.algo.AdaptiveOrderService<VWAPOrder,VWAPOrderStateVO>

ch.algotrader.service.algo.VWAPOrderService

All Implemented Interfaces:

AlgoOrderChangePropagator, AlgoOrderExecService<VWAPOrder>, GenericOrderService<VWAPOrder>

public class VWAPOrderService
extends AdaptiveOrderService<VWAPOrder,VWAPOrderStateVO>

Field Summary

Fields

Modifier and Type	Field and Description
protected ThreadPoolTaskScheduler	orderScheduler

Fields inherited from class ch.algotrader.service.algo.AdaptiveOrderService

applicationContext, simpleOrderService

Fields inherited from class ch.algotrader.service.algo.AbstractAlgoOrderExecService

engine, marketDataCacheService, orderExecutionService, orderLookupService

Constructor Summary

Constructors

Constructor and Description
VWAPOrderService(OrderExecutionService orderExecutionService, SimpleOrderService simpleOrderService, OrderLookupService orderLookupService, MarketDataCacheService marketDataCacheService, MarketDataService marketDataService, Engine engine, EventDispatcher eventDispatcher, ThreadPoolTaskScheduler orderScheduler)

Method Summary

Modifier and Type	Method and Description
protected VWAPOrderStateVO	createAlgoOrderState(VWAPOrder algoOrder)
java.lang.Class<VWAPOrder>	getAlgoOrderType() Returns the algo order type associated with this AlgoOrderExecService.
protected ThreadPoolTaskScheduler	getOrderScheduler()
void	handleChildFill(VWAPOrder algoOrder, java.util.Optional<VWAPOrderStateVO> orderState, Fill fill)
protected void	handleModifyOrder(VWAPOrder algoOrder, VWAPOrderStateVO algoOrderState)
void	handleOrderStatus(VWAPOrder algoOrder, java.util.Optional<VWAPOrderStateVO> algoOrderState, OrderStatus orderStatus)
void	preSendOrder(VWAPOrder algoOrder) Operations to be done, before a order is sent.
protected void	processOrder(VWAPOrder algoOrder, VWAPOrderStateVO algoOrderState)
protected void	validateStartAndEndTime(VWAPOrder order, java.time.ZonedDateTime dateTime)

Methods inherited from class ch.algotrader.service.algo.AdaptiveOrderService

createRetryOrder, decreaseOffset, getLimit, getQuantity, handleCancelOrder, handleChildOrderStatus, handleSendOrder, increaseOffset, processOrderCallback, setApplicationContext

Methods inherited from class ch.algotrader.service.algo.AbstractAlgoOrderExecService

cancelOrder, createAlgoOrderStatusOnChildStatus, createAlgoOrderStatusOnFill, createNewAlgoOrderStatus, getAlgoOrderState, getNextOrderId, modifyOrder, onChildFill, onChildOrderStatus, propagateOrderState, removeAlgoOrderState, sendAlgoOrder, sendOrder, validateExchanges, validateOrder, validateSideAndQuantity

Methods inherited from class java.lang.Object

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

Field Detail

orderScheduler

protected final ThreadPoolTaskScheduler orderScheduler

Constructor Detail

VWAPOrderService

public VWAPOrderService(OrderExecutionService orderExecutionService,
                        SimpleOrderService simpleOrderService,
                        OrderLookupService orderLookupService,
                        MarketDataCacheService marketDataCacheService,
                        MarketDataService marketDataService,
                        Engine engine,
                        EventDispatcher eventDispatcher,
                        ThreadPoolTaskScheduler orderScheduler)

Method Detail

preSendOrder

public void preSendOrder(VWAPOrder algoOrder)

Description copied from class: AbstractAlgoOrderExecService

Operations to be done, before a order is sent. (Typically SOR, but not things validation or completing order-objects with missing data)

Specified by:

preSendOrder in interface AlgoOrderExecService<VWAPOrder>

Specified by:

preSendOrder in class AbstractAlgoOrderExecService<VWAPOrder,VWAPOrderStateVO>

Parameters:

algoOrder - the order to perform the operation on

getAlgoOrderType

public java.lang.Class<VWAPOrder> getAlgoOrderType()

Description copied from interface: AlgoOrderExecService

Returns the algo order type associated with this AlgoOrderExecService.

getOrderScheduler

protected ThreadPoolTaskScheduler getOrderScheduler()

Specified by:

getOrderScheduler in class AdaptiveOrderService<VWAPOrder,VWAPOrderStateVO>

createAlgoOrderState

protected VWAPOrderStateVO createAlgoOrderState(VWAPOrder algoOrder)
                                         throws OrderValidationException

Specified by:

createAlgoOrderState in class AbstractAlgoOrderExecService<VWAPOrder,VWAPOrderStateVO>

Throws:

OrderValidationException

validateStartAndEndTime

protected void validateStartAndEndTime(VWAPOrder order,
                                       java.time.ZonedDateTime dateTime)
                                throws OrderValidationException

Overrides:

validateStartAndEndTime in class AdaptiveOrderService<VWAPOrder,VWAPOrderStateVO>

Throws:

OrderValidationException

handleModifyOrder

protected void handleModifyOrder(VWAPOrder algoOrder,
                                 VWAPOrderStateVO algoOrderState)

Specified by:

handleModifyOrder in class AbstractAlgoOrderExecService<VWAPOrder,VWAPOrderStateVO>

processOrder

protected final void processOrder(VWAPOrder algoOrder,
                                  VWAPOrderStateVO algoOrderState)

Specified by:

processOrder in class AdaptiveOrderService<VWAPOrder,VWAPOrderStateVO>

handleChildFill

public void handleChildFill(VWAPOrder algoOrder,
                            java.util.Optional<VWAPOrderStateVO> orderState,
                            Fill fill)

Overrides:

handleChildFill in class AbstractAlgoOrderExecService<VWAPOrder,VWAPOrderStateVO>

handleOrderStatus

public void handleOrderStatus(VWAPOrder algoOrder,
                              java.util.Optional<VWAPOrderStateVO> algoOrderState,
                              OrderStatus orderStatus)

Overrides:

handleOrderStatus in class AbstractAlgoOrderExecService<VWAPOrder,VWAPOrderStateVO>