Features:

- Price Tick NBBO Ask Transaction (1) - Price Tick NBBO Bid Transaction (2, 3, 4) - Price Tick NBBO Mid Transaction (5, 6) - OMS Benchmark Peg Scheme Shell (13, 14) - Peg Scheme Threshold Generator (15, 16, 17) - Limit Order Peg Scheme #1 (18, 19, 20) - Limit Order Peg Scheme #2 (21, 22, 23) - Limit Order AON Peg Scheme (24, 25) - Limit Order ATC Peg Scheme (26, 27) - Limit Order ATO Peg Scheme (28, 29) - Limit Order DAY Peg Scheme (30, 31) - Limit Order DTC Peg Scheme (32, 33) - Limit Order FOK Peg Scheme (34, 35) - Limit Order GTC Peg Scheme (36, 37) - Limit Order IOC Peg Scheme (38, 39) - OMS Switchable Stop Order ATC (40) - OMS Switchable Stop Order DAY (41) - Cross Venue Montage Processor Revamp (42, 43, 44) - Ticker L1 Manager Map #1 (45, 46, 47) - Ticker L1 Manager Map #2 (48, 49, 50) - Fixed Price Peg Scheme #1 (51, 52) - Fixed Price Peg Scheme #2 (53, 54) - Fixed Price Peg Scheme #3 (55, 56) - Fixed Price Peg Scheme #4 (57, 58) - Fixed Price Peg Scheme #5 (59, 60) Bug Fixes/Re-organization: - OMS Depth Price Tick Move (7, 8) - Benchmark/Tie/Peg Price Thresholds (9, 10) - OMS Benchmark VWAP Pckage Migrate (11, 12) Samples: IdeaDRIP:
lakshmiDRIP · Jan 2, 2024 · 4713916 · 4713916
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diff --git a/ReleaseNotes/03_28_2023.txt b/ReleaseNotes/03_28_2023.txt
@@ -0,0 +1,40 @@
+
+Features:
+
+	- Price Tick NBBO Ask Transaction (1)
+	- Price Tick NBBO Bid Transaction (2, 3, 4)
+	- Price Tick NBBO Mid Transaction (5, 6)
+	- OMS Benchmark Peg Scheme Shell (13, 14)
+	- Peg Scheme Threshold Generator (15, 16, 17)
+	- Limit Order Peg Scheme #1 (18, 19, 20)
+	- Limit Order Peg Scheme #2 (21, 22, 23)
+	- Limit Order AON Peg Scheme (24, 25)
+	- Limit Order ATC Peg Scheme (26, 27)
+	- Limit Order ATO Peg Scheme (28, 29)
+	- Limit Order DAY Peg Scheme (30, 31)
+	- Limit Order DTC Peg Scheme (32, 33)
+	- Limit Order FOK Peg Scheme (34, 35)
+	- Limit Order GTC Peg Scheme (36, 37)
+	- Limit Order IOC Peg Scheme (38, 39)
+	- OMS Switchable Stop Order ATC (40)
+	- OMS Switchable Stop Order DAY (41)
+	- Cross Venue Montage Processor Revamp (42, 43, 44)
+	- Ticker L1 Manager Map #1 (45, 46, 47)
+	- Ticker L1 Manager Map #2 (48, 49, 50)
+	- Fixed Price Peg Scheme #1 (51, 52)
+	- Fixed Price Peg Scheme #2 (53, 54)
+	- Fixed Price Peg Scheme #3 (55, 56)
+	- Fixed Price Peg Scheme #4 (57, 58)
+	- Fixed Price Peg Scheme #5 (59, 60)
+
+
+Bug Fixes/Re-organization:
+
+	- OMS Depth Price Tick Move (7, 8)
+	- Benchmark/Tie/Peg Price Thresholds (9, 10)
+	- OMS Benchmark VWAP Pckage Migrate (11, 12)
+
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/oms/benchmark/FixedPricePegScheme.java b/src/main/java/org/drip/oms/benchmark/FixedPricePegScheme.java
@@ -0,0 +1,165 @@
+
+package org.drip.oms.benchmark;
+
+import org.drip.numerical.common.NumberUtil;
+import org.drip.oms.exchange.CrossVenueMontageDigest;
+import org.drip.oms.transaction.Side;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2024 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
+ *  	asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
+ *  	analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
+ *  	equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
+ *  	numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
+ *  	graph builder/navigator, and computational support.
+ *  
+ *  	https://lakshmidrip.github.io/DROP/
+ *  
+ *  DROP is composed of three modules:
+ *  
+ *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
+ *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
+ *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
+ * 
+ * 	DROP Product Core implements libraries for the following:
+ * 	- Fixed Income Analytics
+ * 	- Loan Analytics
+ * 	- Transaction Cost Analytics
+ * 
+ * 	DROP Portfolio Core implements libraries for the following:
+ * 	- Asset Allocation Analytics
+ *  - Asset Liability Management Analytics
+ * 	- Capital Estimation Analytics
+ * 	- Exposure Analytics
+ * 	- Margin Analytics
+ * 	- XVA Analytics
+ * 
+ * 	DROP Computational Core implements libraries for the following:
+ * 	- Algorithm Support
+ * 	- Computation Support
+ * 	- Function Analysis
+ *  - Graph Algorithm
+ *  - Model Validation
+ * 	- Numerical Analysis
+ * 	- Numerical Optimizer
+ * 	- Spline Builder
+ *  - Statistical Learning
+ * 
+ * 	Documentation for DROP is Spread Over:
+ * 
+ * 	- Main                     => https://lakshmidrip.github.io/DROP/
+ * 	- Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
+ * 	- GitHub                   => https://github.com/lakshmiDRIP/DROP
+ * 	- Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
+ * 	- Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
+ * 	- Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
+ * 	- Release Versions         => https://lakshmidrip.github.io/DROP/version.html
+ * 	- Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
+ * 	- Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
+ * 
+ *  Licensed under the Apache License, Version 2.0 (the "License");
+ *   	you may not use this file except in compliance with the License.
+ *   
+ *  You may obtain a copy of the License at
+ *  	http://www.apache.org/licenses/LICENSE-2.0
+ *  
+ *  Unless required by applicable law or agreed to in writing, software
+ *  	distributed under the License is distributed on an "AS IS" BASIS,
+ *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ *  
+ *  See the License for the specific language governing permissions and
+ *  	limitations under the License.
+ */
+
+/**
+ * <i>FixedPricePegScheme</i> implements Fixed Peg Price Scheme for Peg Orders. The References are:
+ *  
+ * 	<br><br>
+ *  <ul>
+ * 		<li>
+ * 			Berkowitz, S. A., D. E. Logue, and E. A. J. Noser (1988): The Total Cost of Transactions on the
+ * 				NYSE <i>Journal of Finance</i> <b>43 (1)</b> 97-112
+ * 		</li>
+ * 		<li>
+ * 			Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets <i>Quantitative
+ * 				Finance</i> <b>17 (1)</b> 21-39
+ * 		</li>
+ * 		<li>
+ * 			Vassilis, P. (2005a): A Realistic Model of Market Liquidity and Depth <i>Journal of Futures
+ * 				Markets</i> <b>25 (5)</b> 443-464
+ * 		</li>
+ * 		<li>
+ * 			Vassilis, P. (2005b): Slow and Fast Markets <i>Journal of Economics and Business</i> <b>57
+ * 				(6)</b> 576-593
+ * 		</li>
+ * 		<li>
+ * 			Weiss, D. (2006): <i>After the Trade is Made: Processing Securities Transactions</i> <b>Portfolio
+ * 				Publishing</b> London UK
+ * 		</li>
+ *  </ul>
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/README.md">R<sup>d</sup> Order Specification, Handling, and Management</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/benchmark/README.md">Benchmark/Tie/Peg Price Thresholds</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public class FixedPricePegScheme
+	implements PegScheme
+{
+	private double _threshold = Double.NaN;
+
+	/**
+	 * FixedPricePegScheme Constructor
+	 * 
+	 * @param threshold Fixed Threshold Price
+	 * 
+	 * @throws Exception Thrown if Threshold is Invalid
+	 */
+
+	public FixedPricePegScheme (
+		final double threshold)
+		throws Exception
+	{
+		if (!NumberUtil.IsValid (
+				_threshold = threshold
+			) || 0. >= threshold
+		)
+		{
+			throw new Exception (
+				"FixedPricePegScheme Constructor => Invalid Threshold"
+			);
+		}
+	}
+
+	/**
+	 * Retrieve the Fixed Threshold Price
+	 * 
+	 * @return Fixed Threshold Price
+	 */
+
+	public double threshold()
+	{
+		return _threshold;
+	}
+
+	@Override public double limitPrice (
+		final String ticker,
+		final Side side,
+		final CrossVenueMontageDigest crossVenueMontageDigest)
+		throws Exception
+	{
+		return _threshold;
+	}
+}
diff --git a/src/main/java/org/drip/oms/benchmark/PegScheme.java b/src/main/java/org/drip/oms/benchmark/PegScheme.java
@@ -0,0 +1,137 @@
+
+package org.drip.oms.benchmark;
+
+import org.drip.oms.exchange.CrossVenueMontageDigest;
+import org.drip.oms.transaction.Side;
+
+/*
+ * -*- mode: java; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*-
+ */
+
+/*!
+ * Copyright (C) 2023 Lakshmi Krishnamurthy
+ * 
+ *  This file is part of DROP, an open-source library targeting analytics/risk, transaction cost analytics,
+ *  	asset liability management analytics, capital, exposure, and margin analytics, valuation adjustment
+ *  	analytics, and portfolio construction analytics within and across fixed income, credit, commodity,
+ *  	equity, FX, and structured products. It also includes auxiliary libraries for algorithm support,
+ *  	numerical analysis, numerical optimization, spline builder, model validation, statistical learning,
+ *  	graph builder/navigator, and computational support.
+ *  
+ *  	https://lakshmidrip.github.io/DROP/
+ *  
+ *  DROP is composed of three modules:
+ *  
+ *  - DROP Product Core - https://lakshmidrip.github.io/DROP-Product-Core/
+ *  - DROP Portfolio Core - https://lakshmidrip.github.io/DROP-Portfolio-Core/
+ *  - DROP Computational Core - https://lakshmidrip.github.io/DROP-Computational-Core/
+ * 
+ * 	DROP Product Core implements libraries for the following:
+ * 	- Fixed Income Analytics
+ * 	- Loan Analytics
+ * 	- Transaction Cost Analytics
+ * 
+ * 	DROP Portfolio Core implements libraries for the following:
+ * 	- Asset Allocation Analytics
+ *  - Asset Liability Management Analytics
+ * 	- Capital Estimation Analytics
+ * 	- Exposure Analytics
+ * 	- Margin Analytics
+ * 	- XVA Analytics
+ * 
+ * 	DROP Computational Core implements libraries for the following:
+ * 	- Algorithm Support
+ * 	- Computation Support
+ * 	- Function Analysis
+ *  - Graph Algorithm
+ *  - Model Validation
+ * 	- Numerical Analysis
+ * 	- Numerical Optimizer
+ * 	- Spline Builder
+ *  - Statistical Learning
+ * 
+ * 	Documentation for DROP is Spread Over:
+ * 
+ * 	- Main                     => https://lakshmidrip.github.io/DROP/
+ * 	- Wiki                     => https://github.com/lakshmiDRIP/DROP/wiki
+ * 	- GitHub                   => https://github.com/lakshmiDRIP/DROP
+ * 	- Repo Layout Taxonomy     => https://github.com/lakshmiDRIP/DROP/blob/master/Taxonomy.md
+ * 	- Javadoc                  => https://lakshmidrip.github.io/DROP/Javadoc/index.html
+ * 	- Technical Specifications => https://github.com/lakshmiDRIP/DROP/tree/master/Docs/Internal
+ * 	- Release Versions         => https://lakshmidrip.github.io/DROP/version.html
+ * 	- Community Credits        => https://lakshmidrip.github.io/DROP/credits.html
+ * 	- Issues Catalog           => https://github.com/lakshmiDRIP/DROP/issues
+ * 
+ *  Licensed under the Apache License, Version 2.0 (the "License");
+ *   	you may not use this file except in compliance with the License.
+ *   
+ *  You may obtain a copy of the License at
+ *  	http://www.apache.org/licenses/LICENSE-2.0
+ *  
+ *  Unless required by applicable law or agreed to in writing, software
+ *  	distributed under the License is distributed on an "AS IS" BASIS,
+ *  	WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ *  
+ *  See the License for the specific language governing permissions and
+ *  	limitations under the License.
+ */
+
+/**
+ * <i>PegScheme</i> exposes the Peg Price Generation Scheme for Peg Orders. The References are:
+ *  
+ * 	<br><br>
+ *  <ul>
+ * 		<li>
+ * 			Berkowitz, S. A., D. E. Logue, and E. A. J. Noser (1988): The Total Cost of Transactions on the
+ * 				NYSE <i>Journal of Finance</i> <b>43 (1)</b> 97-112
+ * 		</li>
+ * 		<li>
+ * 			Cont, R., and A. Kukanov (2017): Optimal Order Placement in Limit Order Markets <i>Quantitative
+ * 				Finance</i> <b>17 (1)</b> 21-39
+ * 		</li>
+ * 		<li>
+ * 			Vassilis, P. (2005a): A Realistic Model of Market Liquidity and Depth <i>Journal of Futures
+ * 				Markets</i> <b>25 (5)</b> 443-464
+ * 		</li>
+ * 		<li>
+ * 			Vassilis, P. (2005b): Slow and Fast Markets <i>Journal of Economics and Business</i> <b>57
+ * 				(6)</b> 576-593
+ * 		</li>
+ * 		<li>
+ * 			Weiss, D. (2006): <i>After the Trade is Made: Processing Securities Transactions</i> <b>Portfolio
+ * 				Publishing</b> London UK
+ * 		</li>
+ *  </ul>
+ *
+ *	<br><br>
+ *  <ul>
+ *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
+ *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
+ *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/README.md">R<sup>d</sup> Order Specification, Handling, and Management</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/benchmark/README.md">Benchmark/Tie/Peg Price Thresholds</a></li>
+ *  </ul>
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+public interface PegScheme
+{
+
+	/**
+	 * Generate the Threshold Limit Price using the <i>CrossVenueMontageDigest</i> Market Data
+	 * 
+	 * @param ticker Ticker
+	 * @param side Side
+	 * @param crossVenueMontageDigest <i>CrossVenueMontageDigest</i> Market Data
+	 * 
+	 * @return The Generated Threshold Price
+	 * 
+	 * @throws Exception Thrown if the Threshold Limit Price cannot be generated
+	 */
+
+	public abstract double limitPrice (
+		final String ticker,
+		final Side side,
+		final CrossVenueMontageDigest crossVenueMontageDigest)
+		throws Exception;
+}
diff --git a/...n/java/org/drip/oms/transaction/VWAP.java → ...ain/java/org/drip/oms/benchmark/VWAP.java b/...n/java/org/drip/oms/transaction/VWAP.java → ...ain/java/org/drip/oms/benchmark/VWAP.java
@@ -1,5 +1,5 @@
 
-package org.drip.oms.transaction;
+package org.drip.oms.benchmark;
 
 import java.util.Date;
 
@@ -110,7 +110,7 @@
  *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/README.md">R<sup>d</sup> Order Specification, Handling, and Management</a></li>
- *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/transaction/README.md">Order Specification and Session Metrics</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/benchmark/README.md">Benchmark/Tie/Peg Price Thresholds</a></li>
  *  </ul>
  *
  * @author Lakshmi Krishnamurthy

diff --git a/src/main/java/org/drip/oms/benchmark/package-info.java b/src/main/java/org/drip/oms/benchmark/package-info.java
@@ -0,0 +1,8 @@
+
+/**
+ * Benchmark/Tie/Peg Price Thresholds
+ *
+ * @author Lakshmi Krishnamurthy
+ */
+
+package org.drip.oms.benchmark;
diff --git a/...a/org/drip/oms/transaction/PriceTick.java → ...in/java/org/drip/oms/depth/PriceTick.java b/...a/org/drip/oms/transaction/PriceTick.java → ...in/java/org/drip/oms/depth/PriceTick.java
@@ -1,5 +1,5 @@
 
-package org.drip.oms.transaction;
+package org.drip.oms.depth;
 
 import org.drip.numerical.common.NumberUtil;
 
@@ -107,7 +107,7 @@
  *		<li><b>Module </b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/ProductCore.md">Product Core Module</a></li>
  *		<li><b>Library</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/TransactionCostAnalyticsLibrary.md">Transaction Cost Analytics</a></li>
  *		<li><b>Project</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/README.md">R<sup>d</sup> Order Specification, Handling, and Management</a></li>
- *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/transaction/README.md">Order Specification and Session Metrics</a></li>
+ *		<li><b>Package</b> = <a href = "https://github.com/lakshmiDRIP/DROP/tree/master/src/main/java/org/drip/oms/depth/README.md">L1, L2, L3 Deep Books</a></li>
  *  </ul>
  *
  * @author Lakshmi Krishnamurthy