com.apama.oms
Event OrderFlowParams


An event that encapsulates the order simulation parameter fields.
Since:
CMF 2.0.0
Version:
10.11

Member summary
 floatpriceIncrement

The size of price increments in absolute value not relative to initial price.
 floatinitialPrice

The initial price to start the data generation with.
 integerminOrderSize

The minimum size of orders placed in the market.
 integermaxOrderSize

The maximum size of orders placed in the market.
 floatminOrderTimeGap

Minimum period to pass between order placements.
 floatmaxOrderTimeGap

Maximum period to pass between order placements.
 floatorderCancelPeriod

Time after which if order is still in the market it will be cancelled, also randomly timed attempt will be made to cancel order before this expiration deadline.
 floatcancellationProb

Probability with which order will be cancelled before the expiry time.
 floatorderAmendPeriod

Time by which an amend attempt for an order should be made.
 floatmaxPortionToAmend

Maximum percentage of volume change for an order.
 floatprobOfAmend

Probability with which order will be amended within the amendment period whether or not we want amendments to be simulated.
 booleangenerateAmends

Flag to decide whether order amendments will be generated or not.
 floatpriceRangeSize

Price range for generating new order prices.
 floatorderPriceShift

Absolute value added to prices which should be used if price should be trending.
 floatVWAPUpdateTime

VWAP is used to recentre prices when new trades occur. VWAPUpdateTime is the amount of time to measure VWAP over.
 floatbiasSwap

Buy/sell bias.
 integerinitNumOfOrders

The number of orders you want to submit to initially fill the book quickly set to zero if you do not want any generated.
 booleanrouteOrders

Route new orders if this flag is set to true and otherwise places orders directly onto exchange engine.
 
Member detail

biasSwap

            float biasSwap
        
Buy/sell bias.

cancellationProb

            float cancellationProb
        
Probability with which order will be cancelled before the expiry time.

generateAmends

            boolean generateAmends
        
Flag to decide whether order amendments will be generated or not.

initialPrice

            float initialPrice
        
The initial price to start the data generation with.

initNumOfOrders

            integer initNumOfOrders
        
The number of orders you want to submit to initially fill the book quickly set to zero if you do not want any generated.

maxOrderSize

            integer maxOrderSize
        
The maximum size of orders placed in the market.

maxOrderTimeGap

            float maxOrderTimeGap
        
Maximum period to pass between order placements.

maxPortionToAmend

            float maxPortionToAmend
        
Maximum percentage of volume change for an order.

minOrderSize

            integer minOrderSize
        
The minimum size of orders placed in the market.

minOrderTimeGap

            float minOrderTimeGap
        
Minimum period to pass between order placements.

orderAmendPeriod

            float orderAmendPeriod
        
Time by which an amend attempt for an order should be made.

orderCancelPeriod

            float orderCancelPeriod
        
Time after which if order is still in the market it will be cancelled, also randomly timed attempt will be made to cancel order before this expiration deadline.

orderPriceShift

            float orderPriceShift
        
Absolute value added to prices which should be used if price should be trending.

priceIncrement

            float priceIncrement
        
The size of price increments in absolute value not relative to initial price.

priceRangeSize

            float priceRangeSize
        
Price range for generating new order prices.

probOfAmend

            float probOfAmend
        
Probability with which order will be amended within the amendment period whether or not we want amendments to be simulated.

routeOrders

            boolean routeOrders
        
Route new orders if this flag is set to true and otherwise places orders directly onto exchange engine.

VWAPUpdateTime

            float VWAPUpdateTime
        
VWAP is used to recentre prices when new trades occur. VWAPUpdateTime is the amount of time to measure VWAP over.