com.apama.algos.twap
Event SlicerUnit


Slicer unit represents all the functionality required for slicing a given quantity based on a given volume curve. The slicer unit draws on the slicerUnit Parameters and can be used within a block for algo scenarios.
Since:
CMF 1.1.4
Version:
9.12
Routes:
com.apama.algos.twap.ADVRequest - 
com.apama.algos.twap.GotADV - 
com.apama.algos.twap.GotVolumeCurve - 
Sends:
com.apama.algos.twap.ADVRequest - 
Listens:
com.apama.algos.twap.ADVResponse - 

Member Summary
 com.apama.algos.twap.SlicerUnitParamsinputParams
 stringslicerID
 integernumberOfSlices
 com.apama.algos.twap.VolumeCurveTWAPVolumeCurve
 sequence<com.apama.algos.twap.TWAPSlice >sliceStorage
 integercurrentSliceIndex
 com.apama.algos.twap.TWAPSlicecurrentSlice
 integercumulativeQtyLagging
 contextdataManagerContext
 booleanparallelised
 floatvolumeAdjustingRatio
 sequence<integer >curveBinTimes
 
Action Summary
 voidgetADVandUpdateTotQty()
 voidgetCurveAndSetSlices()
 floatgetTargetPercentToFill(integer timeElapsed)
 floatgetVolumeAdjustingRatio()
 voidinit(string ID, context dataManagerContext)
 voidsetNextSlice()
 integersetSlicesBasedOnCurve()
 
Member Detail

cumulativeQtyLagging

integer cumulativeQtyLagging

currentSlice

com.apama.algos.twap.TWAPSlice currentSlice

currentSliceIndex

integer currentSliceIndex

curveBinTimes

sequence<integer > curveBinTimes

dataManagerContext

context dataManagerContext

inputParams

com.apama.algos.twap.SlicerUnitParams inputParams

numberOfSlices

integer numberOfSlices

parallelised

boolean parallelised

slicerID

string slicerID

sliceStorage

sequence<com.apama.algos.twap.TWAPSlice > sliceStorage

TWAPVolumeCurve

com.apama.algos.twap.VolumeCurve TWAPVolumeCurve

volumeAdjustingRatio

float volumeAdjustingRatio

Action Detail

getADVandUpdateTotQty

void getADVandUpdateTotQty()
Routes:
com.apama.algos.twap.ADVRequest - 
com.apama.algos.twap.GotADV - 
Sends:
com.apama.algos.twap.ADVRequest - 
Listens:
com.apama.algos.twap.ADVResponse - 

getCurveAndSetSlices

void getCurveAndSetSlices()
Routes:
com.apama.algos.twap.GotVolumeCurve - 

getTargetPercentToFill

float getTargetPercentToFill(integer timeElapsed)
Parameters:
timeElapsed

getVolumeAdjustingRatio

float getVolumeAdjustingRatio()

init

void init(string ID, context dataManagerContext)
Parameters:
ID
dataManagerContext

setNextSlice

void setNextSlice()

setSlicesBasedOnCurve

integer setSlicesBasedOnCurve()