|Modifier and Type||Class and Description|
A component of a MeanReversionPortfolio.
|Constructor and Description|
Creates a new instance, which has a fixed basket and lot size, but may contain different types of mean reversion models with different scales.
onDepthUpdate, onExecution, onTimerUpdate, strategies
public MeanReversionPortfolio(Basket<Product> basket, double lotSize, MeanReversionPortfolio.SubStrategy subStrategies, boolean parallelize)
basket- the basket of products which will be traded
lotSize- the lot size to which trades will be rounded
subStrategies- the sub-strategies containing the model and the scales
parallelize- true if simulation should be parallelized
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