Package com.apama.algos.twap

Event Summary
ADVRequestAn event routed for a request of getting the ADV for the given symbol.
ADVResponseAn event routed in response to a request of getting the ADV for the given symbol.
GotADVEvent routed by the service that requested an ADV and got the ADV response back.
GotVolumeCurveEvent routed by the service that requested a curve and got the curve response back.
SlicerUnitSlicer 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.
SlicerUnitParamsA collection of the slicer unit's parameters. These parameters accord to the ones that should be used in a block that uses the slicer unit (i.e. slicing block).
SubslicerUnitSubslicer unit represents all the functionality required for subslicing a given slice based on the parameters set for the subslicing unit. The subslicer unit draws on the subslicerUnit Parameters and can be used within a block for algo scenarios.
SubslicerUnitParamsA collection of the subslicer unit's parameters. These parameters accord to the ones that should be used in a block that uses the subslicer unit (i.e. subslicing block).
TWAPSliceAn event representing the details associated with a slice which is created based on a flat volume curve and includes the index, quantity, starting time and duration of the slice.
TWAPSubSliceAn event representing the details associated with a subslice which is created based on splitting a slice of order into smaller portions. It includes the slice/subslice index, quantity, starting time and duration of the slice.
VolumeCurveThe VolumeCurve is designed to hold the details for a curve produced based on historical data.

 

 
Monitor Summary
TWAPDataManagerService Monitor which listens for average daily volumes (ADV). 1. Records all advs in an internal dictionary. 2. Responds to requests for advs with the relevant data.