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.
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Since:
- CMF 1.1.4
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Version:
- 9.12
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Routes:
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com.apama.algos.twap.ADVRequest -
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com.apama.algos.twap.GotADV -
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com.apama.algos.twap.GotVolumeCurve -
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Sends:
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com.apama.algos.twap.ADVRequest -
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Listens:
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com.apama.algos.twap.ADVResponse -
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
getADVandUpdateTotQty
void getADVandUpdateTotQty()
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Routes:
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com.apama.algos.twap.ADVRequest -
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com.apama.algos.twap.GotADV -
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Sends:
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com.apama.algos.twap.ADVRequest -
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Listens:
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com.apama.algos.twap.ADVResponse -
getCurveAndSetSlices
void getCurveAndSetSlices()
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Routes:
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com.apama.algos.twap.GotVolumeCurve -
getTargetPercentToFill
float getTargetPercentToFill(integer timeElapsed)
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Parameters:
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timeElapsed
getVolumeAdjustingRatio
float getVolumeAdjustingRatio()
init
void init(string ID, context dataManagerContext)
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Parameters:
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ID
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dataManagerContext
setNextSlice
void setNextSlice()
setSlicesBasedOnCurve
integer setSlicesBasedOnCurve()