com.apama.algos.vwap
Event VolumeCurve


The volumeCurve holds the details for a curve which is produced based on historical data.

This curve is represented by a sequence of quantities per bucket. Other data included with each curve are its start/end time, identifier (name), and openSize/closeSize.
Since:
CMF 1.1.4
Version:
10.3

Member summary
 wildcard stringname
 wildcard integerstartHour
 wildcard integerstartMinute
 wildcard integerendHour
 wildcard integerendMinute
 wildcard integeropenSize
 wildcard integercloseSize
 sequence<integer>quantities
 
Action summary
 integergetCount()
 floatgetCurveBinPortion(integer sliceIndex)
 integergetCurveSliceDuration()
 integergetDuration()
 integergetTotalinCurve()
 sequence<integer>getVolumeBinTimes()
 floatgetVolumePortionSize(com.apama.algos.Time sTime, com.apama.algos.Time eTime, sequence<integer> volumeBinStartTimes)

Action that accepts certain start hour/minute and end hour/minute and returns the percentage of volume that should be allocated for this period according to the vwap volume curve.
 voidsetCurveFromParams(string name, integer startHour, integer startMinute, integer endHour, integer endMinute, integer openSize, integer closeSize, sequence<integer> quantities)
 booleansetFromValueSequence(sequence<string> curveString)
 
Member detail

closeSize

wildcard integer closeSize

endHour

wildcard integer endHour

endMinute

wildcard integer endMinute

name

wildcard string name

openSize

wildcard integer openSize

quantities

sequence<integer> quantities

startHour

wildcard integer startHour

startMinute

wildcard integer startMinute

Action detail

getCount

integer getCount()

getCurveBinPortion

float getCurveBinPortion(integer sliceIndex)
Parameters:
sliceIndex

getCurveSliceDuration

integer getCurveSliceDuration()

getDuration

integer getDuration()

getTotalinCurve

integer getTotalinCurve()

getVolumeBinTimes

sequence<integer> getVolumeBinTimes()

getVolumePortionSize

float getVolumePortionSize(com.apama.algos.Time sTime, com.apama.algos.Time eTime, sequence<integer> volumeBinStartTimes)
Action that accepts certain start hour/minute and end hour/minute and returns the percentage of volume that should be allocated for this period according to the vwap volume curve.

You can optionally pass the start/end times of the volume curve to this function to save it from recalculating each time.
Parameters:
sTime
eTime
volumeBinStartTimes

setCurveFromParams

void setCurveFromParams(string name, integer startHour, integer startMinute, integer endHour, integer endMinute, integer openSize, integer closeSize, sequence<integer> quantities)
Parameters:
name
startHour
startMinute
endHour
endMinute
openSize
closeSize
quantities

setFromValueSequence

boolean setFromValueSequence(sequence<string> curveString)
Parameters:
curveString