IBM InfoSphere Streams Version 4.1.1

SPL File `VWAPDeltaConservative.spl`

SPL standard and specialized toolkits > com.ibm.streams.financial 2.0.0 > com.ibm.streams.financial.analytics.equity.strategy > VWAPDeltaConservative.spl

Content

Operators

VWAPDeltaConservative: The VWAPDeltaConservative operator examines the opportunity levels that are coming in from the OpportunityRater operator.

Composites

composite VWAPDeltaConservative(output GeneratedOrders; input RatedQuotes)

The VWAPDeltaConservative operator examines the opportunity levels that are coming in from the OpportunityRater operator. The operator evaluates the opportunity levels against several criteria to determine whether to generate an order for execution.

For the purposes of illustration, the following are some fairly arbitrary criteria:

The opportunity level must have been monotonically increasing for the past three quote generations and the current opportunity level value must be greater than 10. If these criteria are met, an order is generated to buy or sell 80% of the shares in the incoming quote.

The source code for the VWAPDeltaConservative operator can be found in the $STREAMS_INSTALL/toolkits/com.ibm.streams.financial/com.ibm.streams.financial/analytics/equity/strategy directory.

Input Ports

RatedQuotes: The VWAPDeltaConservative operator has one input port.

Output Ports