com.apama.md.adapter
Event SpreaderParams


Parameters to govern the behaviour of the Spreader/Skewer.
Member Summary
 stringid

Id that uniquely identifies this set of parameters.
 stringskewDirection

Skew direction. Can be one of "BID", "ASK" or "OFF".
 floatspreadPercentage

Percentage spread to be applied to the prices. Must be between 0.0 and 100.0.
 floatspreadPercentNormalVolatility

Percentage spread to be applied to the prices at "NORMAL" volatility level.
 floatspreadPercentModerateVolatility

Percentage spread to be applied to the prices at "MODERATE" volatility level.
 floatspreadPercentHighVolatility

Percentage spread to be applied to the prices at "HIGH" volatility level.
 integerspreadMinQtyLimit

Minimum quantity of liquidity required for bid and ask for production of a valid price. If the minimum liquidity is not achieved a zero value BBA is produced. Cannot be negative or greater than spreadingMaxQtyLimit.
 integerspreadMaxQtyLimit

Maximum quantity of liquidity to be used for a valid price. Cannot be negative.
 floatskewPercentage

Percentage skew to be applied to prices. Must be between 0.0 and 100.0.
 floatskewPercentNormalVolatility

Percentage skew to be applied to prices at "NORMAL" volatility level.
 floatskewPercentModerateVolatility

Percentage skew to be applied to prices at "MODERATE" volatility level.
 floatskewPercentHighVolatility

Percentage skew to be applied to prices at "HIGH" volatility level.
 stringpubMode

The produced spreads are either based on the best prices (TOP_OF_BOOK) or the vwap for a give volume (VWAP).
 integervwapVol

Volume to be used in calculating the voluje weight price (VWAP) if that mode is selected. Must not be negative. Must be greater than zero when pricing in VWAP mode.
 integerspreadAdjuster

Spread adjuster, used to modify spread percentage.
 integerskewAdjuster

Skew adjuster, used to modify skew percentage.
 floatminBBASpread

Minimum spread that can be applied to the prices.
 integerdecimalPlaces

Decimal places used for rounding prices.
 booleanpublishPrices

Flag to determine publishing of prices.
 booleanacceptOrders

Flag for acceptance of client orders for the instrument.
 
Member Detail

acceptOrders

boolean acceptOrders
Flag for acceptance of client orders for the instrument.

decimalPlaces

integer decimalPlaces
Decimal places used for rounding prices.

id

string id
Id that uniquely identifies this set of parameters.

minBBASpread

float minBBASpread
Minimum spread that can be applied to the prices.

publishPrices

boolean publishPrices
Flag to determine publishing of prices.

pubMode

string pubMode
The produced spreads are either based on the best prices (TOP_OF_BOOK) or the vwap for a give volume (VWAP).

skewAdjuster

integer skewAdjuster
Skew adjuster, used to modify skew percentage.

skewDirection

string skewDirection
Skew direction. Can be one of "BID", "ASK" or "OFF".

skewPercentage

float skewPercentage
Percentage skew to be applied to prices. Must be between 0.0 and 100.0.

skewPercentHighVolatility

float skewPercentHighVolatility
Percentage skew to be applied to prices at "HIGH" volatility level.

skewPercentModerateVolatility

float skewPercentModerateVolatility
Percentage skew to be applied to prices at "MODERATE" volatility level.

skewPercentNormalVolatility

float skewPercentNormalVolatility
Percentage skew to be applied to prices at "NORMAL" volatility level.

spreadAdjuster

integer spreadAdjuster
Spread adjuster, used to modify spread percentage.

spreadMaxQtyLimit

integer spreadMaxQtyLimit
Maximum quantity of liquidity to be used for a valid price. Cannot be negative.

spreadMinQtyLimit

integer spreadMinQtyLimit
Minimum quantity of liquidity required for bid and ask for production of a valid price. If the minimum liquidity is not achieved a zero value BBA is produced. Cannot be negative or greater than spreadingMaxQtyLimit.

spreadPercentage

float spreadPercentage
Percentage spread to be applied to the prices. Must be between 0.0 and 100.0.

spreadPercentHighVolatility

float spreadPercentHighVolatility
Percentage spread to be applied to the prices at "HIGH" volatility level.

spreadPercentModerateVolatility

float spreadPercentModerateVolatility
Percentage spread to be applied to the prices at "MODERATE" volatility level.

spreadPercentNormalVolatility

float spreadPercentNormalVolatility
Percentage spread to be applied to the prices at "NORMAL" volatility level.

vwapVol

integer vwapVol
Volume to be used in calculating the voluje weight price (VWAP) if that mode is selected. Must not be negative. Must be greater than zero when pricing in VWAP mode.