FRAMES NO FRAMES | ||||||
| ||||||
SUMMARY: IMPORT | CONSTANT | MEMBER | ACTION | DETAIL: IMPORT | CONSTANT | MEMBER | ACTION |
Member Summary | |
---|---|
float | priceIncrement
The size of price increments in absolute value not relative to initial price. |
float | initialPrice
The initial price to start the data generation with. |
integer | minOrderSize
The minimum size of orders placed in the market. |
integer | maxOrderSize
The maximum size of orders placed in the market. |
float | minOrderTimeGap
Minimum period to pass between order placements. |
float | maxOrderTimeGap
Maximum period to pass between order placements. |
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. |
float | cancellationProb
Probability with which order will be cancelled before the expiry time. |
float | orderAmendPeriod
Time by which an amend attempt for an order should be made. |
float | maxPortionToAmend
Maximum percentage of volume change for an order. |
float | probOfAmend
Probability with which order will be amended within the amendment period whether or not we want amendments to be simulated. |
boolean | generateAmends
Flag to decide whether order amendments will be generated or not. |
float | priceRangeSize
Price range for generating new order prices. |
float | orderPriceShift
Absolute value added to prices which should be used if price should be trending. |
float | VWAPUpdateTime
VWAP is used to recentre prices when new trades occur. VWAPUpdateTime is the amount of time to measure VWAP over. |
float | biasSwap
Buy/sell bias. |
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. |
boolean | routeOrders
Route new orders if this flag is set to true and otherwise places orders directly onto exchange engine. |
Member Detail |
---|
float biasSwapBuy/sell bias.
float cancellationProbProbability with which order will be cancelled before the expiry time.
boolean generateAmendsFlag to decide whether order amendments will be generated or not.
float initialPriceThe initial price to start the data generation with.
integer initNumOfOrdersThe number of orders you want to submit to initially fill the book quickly set to zero if you do not want any generated.
integer maxOrderSizeThe maximum size of orders placed in the market.
float maxOrderTimeGapMaximum period to pass between order placements.
float maxPortionToAmendMaximum percentage of volume change for an order.
integer minOrderSizeThe minimum size of orders placed in the market.
float minOrderTimeGapMinimum period to pass between order placements.
float orderAmendPeriodTime by which an amend attempt for an order should be made.
float orderCancelPeriodTime 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.
float orderPriceShiftAbsolute value added to prices which should be used if price should be trending.
float priceIncrementThe size of price increments in absolute value not relative to initial price.
float priceRangeSizePrice range for generating new order prices.
float probOfAmendProbability with which order will be amended within the amendment period whether or not we want amendments to be simulated.
boolean routeOrdersRoute new orders if this flag is set to true and otherwise places orders directly onto exchange engine.
float VWAPUpdateTimeVWAP is used to recentre prices when new trades occur. VWAPUpdateTime is the amount of time to measure VWAP over.
FRAMES NO FRAMES | ||||||
| ||||||
SUMMARY: IMPORT | CONSTANT | MEMBER | ACTION | DETAIL: IMPORT | CONSTANT | MEMBER | ACTION |