Features:

- Mid Price Peg Scheme Shell (1, 2) - OMS Benchmark Peg Scheme Side (3, 4) - OMS Benchmark Peg Scheme Ticker (5, 6) - OMS Benchmark Peg Scheme Constructor (7, 8, 9) - Fixed Peg Price Scheme Generator (10, 11, 12) - Mid Peg Price Scheme #1 (13, 14) - Retrieve Set of Montage Tickers (15, 16) - Cross Venue Montage Digest Ticker (17, 18, 19) - Retrieve Ticker Montage L1 Manager (20, 21, 22) - Mid Price Peg Scheme Limit (23, 24, 25) - Market Making Peg Scheme Shell (26, 27) - Market Making Peg Scheme #1 (28, 29, 30) - Peg Scheme Abstract To Interface (31) - Fixed Price Peg Scheme Extension (32, 33) - Mid Peg Price Scheme #2 (34, 35, 36) - Market Making Peg Scheme #2 (37) - Crossing Market Making Peg Scheme #1 (38, 39) - Crossing Market Making Peg Scheme #2 (40, 41) - Montage L1 Manager Side Book (42) - Crossing Market Making Peg Scheme #3 (43, 44, 45) - Entity Equity Label Tick Size (46, 47, 48) - Entity Equity Label Default Size (49) - Entity Equity Label Tick Constructor (50, 51, 52) - Entity Equity Label Ticker #1 (53, 54) - Entity Equity Label Ticker #2 (55, 56) - Aggressive Market Making Peg Scheme #1 (57, 58, 59) - Aggressive Market Making Peg Scheme #2 (60) Bug Fixes/Re-organization: Samples: IdeaDRIP:
lakshmiDRIP · Jan 2, 2024 · e860742 · e860742
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diff --git a/ReleaseNotes/03_29_2023.txt b/ReleaseNotes/03_29_2023.txt
@@ -0,0 +1,37 @@
+
+Features:
+
+	- Mid Price Peg Scheme Shell (1, 2)
+	- OMS Benchmark Peg Scheme Side (3, 4)
+	- OMS Benchmark Peg Scheme Ticker (5, 6)
+	- OMS Benchmark Peg Scheme Constructor (7, 8, 9)
+	- Fixed Peg Price Scheme Generator (10, 11, 12)
+	- Mid Peg Price Scheme #1 (13, 14)
+	- Retrieve Set of Montage Tickers (15, 16)
+	- Cross Venue Montage Digest Ticker (17, 18, 19)
+	- Retrieve Ticker Montage L1 Manager (20, 21, 22)
+	- Mid Price Peg Scheme Limit (23, 24, 25)
+	- Market Making Peg Scheme Shell (26, 27)
+	- Market Making Peg Scheme #1 (28, 29, 30)
+	- Peg Scheme Abstract To Interface (31)
+	- Fixed Price Peg Scheme Extension (32, 33)
+	- Mid Peg Price Scheme #2 (34, 35, 36)
+	- Market Making Peg Scheme #2 (37)
+	- Crossing Market Making Peg Scheme #1 (38, 39)
+	- Crossing Market Making Peg Scheme #2 (40, 41)
+	- Montage L1 Manager Side Book (42)
+	- Crossing Market Making Peg Scheme #3 (43, 44, 45)
+	- Entity Equity Label Tick Size (46, 47, 48)
+	- Entity Equity Label Default Size (49)
+	- Entity Equity Label Tick Constructor (50, 51, 52)
+	- Entity Equity Label Ticker #1 (53, 54)
+	- Entity Equity Label Ticker #2 (55, 56)
+	- Aggressive Market Making Peg Scheme #1 (57, 58, 59)
+	- Aggressive Market Making Peg Scheme #2 (60)
+
+
+Bug Fixes/Re-organization:
+
+Samples:
+
+IdeaDRIP:
diff --git a/ScheduleSheet.xlsx b/ScheduleSheet.xlsx
diff --git a/src/main/java/org/drip/oms/benchmark/AggressiveMarketMakingPegScheme.java b/src/main/java/org/drip/oms/benchmark/AggressiveMarketMakingPegScheme.java
@@ -0,0 +1,121 @@
+
+package org.drip.oms.benchmark;
+
+import org.drip.state.identifier.EntityEquityLabel;
+
+/*
+ * -*- 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>AggressiveMarketMakingPegScheme</i> implements the Aggressively Jumping Market Making 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 AggressiveMarketMakingPegScheme
+{
+	private EntityEquityLabel _entityEquityLabel = null;
+
+}
diff --git a/src/main/java/org/drip/oms/benchmark/CrossingMarketMakingPegScheme.java b/src/main/java/org/drip/oms/benchmark/CrossingMarketMakingPegScheme.java
@@ -0,0 +1,200 @@
+
+package org.drip.oms.benchmark;
+
+import org.drip.oms.depth.MontageL1Manager;
+import org.drip.oms.exchange.CrossVenueMontageDigest;
+import org.drip.oms.transaction.OrderBlock;
+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>CrossingMarketMakingPegScheme</i> implements the Crosser Market Making 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 CrossingMarketMakingPegScheme
+	extends MarketMakingPegScheme
+{
+
+	/**
+	 * <i>CrossingMarketMakingPegScheme</i> Constructor
+	 * 
+	 * @param ticker Ticker
+	 * @param side Side
+	 * 
+	 * @throws Exception Thrown if the Inputs are Invalid
+	 */
+
+	public CrossingMarketMakingPegScheme (
+		final String ticker,
+		final Side side)
+		throws Exception
+	{
+		super (
+			ticker,
+			side
+		);
+	}
+
+	@Override public double limitPrice (
+		final CrossVenueMontageDigest crossVenueMontageDigest)
+		throws Exception
+	{
+		if (null == crossVenueMontageDigest)
+		{
+			throw new Exception (
+				"MidPricePegScheme::limitPrice => Invalid Inputs"
+			);
+		}
+
+		MontageL1Manager montageL1Manager = crossVenueMontageDigest.retrieveTickerMontageL1Manager (
+			ticker()
+		);
+
+		if (null == montageL1Manager)
+		{
+			throw new Exception (
+				"MidPricePegScheme::limitPrice => Invalid L1 Montage Manager"
+			);
+		}
+
+		char buySell = side().buySell();
+
+		if (Side.BUY == buySell)
+		{
+			OrderBlock askNBBOBlock = montageL1Manager.askNBBOBlock();
+
+			if (null == askNBBOBlock)
+			{
+				throw new Exception (
+					"MidPricePegScheme::limitPrice => Invalid Ask NBBO Block"
+				);
+			}
+
+			return askNBBOBlock.price();
+		}
+
+		if (Side.SELL == buySell)
+		{
+			OrderBlock bidNBBOBlock = montageL1Manager.bidNBBOBlock();
+
+			if (null == bidNBBOBlock)
+			{
+				throw new Exception (
+					"MidPricePegScheme::limitPrice => Invalid Bid NBBO Block"
+				);
+			}
+
+			return bidNBBOBlock.price();
+		}
+
+		throw new Exception (
+			"MidPricePegScheme::limitPrice => Cannot compute Limit Price"
+		);
+	}
+}
diff --git a/src/main/java/org/drip/oms/benchmark/FixedPricePegScheme.java b/src/main/java/org/drip/oms/benchmark/FixedPricePegScheme.java
@@ -3,7 +3,6 @@
 
 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 -*-
@@ -155,8 +154,6 @@ public double threshold()
 	}
 
 	@Override public double limitPrice (
-		final String ticker,
-		final Side side,
 		final CrossVenueMontageDigest crossVenueMontageDigest)
 		throws Exception
 	{