/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitFactory"/> class.
/// </summary>
/// <param name="fixedIncomeOrderFilterService">
/// The fixed income order filter service.
/// </param>
/// <param name="equityCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="marketDataCacheStrategyFactory">
/// The market data cache strategy factory.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="stackLogger">
/// The stack logger.
/// </param>
public FixedIncomeHighProfitFactory(
IUniverseFixedIncomeOrderFilterService fixedIncomeOrderFilterService,
IUniverseEquityMarketCacheFactory equityCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheStrategyFactory,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
ICurrencyConverterService currencyConverterService,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> stackLogger)
{
this.fixedIncomeOrderFilterService =
fixedIncomeOrderFilterService ?? throw new ArgumentNullException(nameof(fixedIncomeOrderFilterService));
this.equityMarketCacheFactory =
equityCacheFactory ?? throw new ArgumentNullException(nameof(equityCacheFactory));
this.fixedIncomeCacheFactory =
fixedIncomeCacheFactory ?? throw new ArgumentNullException(nameof(fixedIncomeCacheFactory));
this.marketDataCacheStrategyFactory = marketDataCacheStrategyFactory ?? throw new ArgumentNullException(nameof(marketDataCacheStrategyFactory));
this.costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this.revenueCalculatorFactory = revenueCalculatorFactory ?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this.exchangeRateProfitCalculator = exchangeRateProfitCalculator ?? throw new ArgumentNullException(nameof(exchangeRateProfitCalculator));
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.stackLogger = stackLogger ?? throw new ArgumentNullException(nameof(stackLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="HighProfitMarketClosureRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="marketDataCacheFactory">
/// The market data cache factory.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public HighProfitMarketClosureRule(
IHighProfitsRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IEquityMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IHighProfitJudgementService judgementService,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <HighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters,
ruleContext,
costCalculatorFactory,
revenueCalculatorFactory,
exchangeRateProfitCalculator,
orderFilter,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
marketDataCacheFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
logger,
tradingHistoryLogger)
{
this.MarketClosureRule = true;
}
public EquityRuleHighProfitFactory(
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IEquityMarketDataCacheStrategyFactory cacheStrategyFactory,
ICurrencyConverterService currencyConversionService,
ILogger <HighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this._revenueCalculatorFactory = revenueCalculatorFactory
?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this._exchangeRateProfitCalculator = exchangeRateProfitCalculator
?? throw new ArgumentNullException(
nameof(exchangeRateProfitCalculator));
this._equityMarketCacheFactory =
equityMarketCacheFactory ?? throw new ArgumentNullException(nameof(equityMarketCacheFactory));
this._fixedIncomeMarketCacheFactory =
fixedIncomeMarketCacheFactory ?? throw new ArgumentNullException(nameof(fixedIncomeMarketCacheFactory));
this._cacheStrategyFactory =
cacheStrategyFactory ?? throw new ArgumentNullException(nameof(cacheStrategyFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._currencyConversionService = currencyConversionService ?? throw new ArgumentNullException(nameof(currencyConversionService));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsStreamRule"/> class.
/// Constructor for the high profits stream rule
/// </summary>
/// <param name="fixedIncomeParameters">
/// parameters from the client service user interface
/// </param>
/// <param name="ruleContext">
/// auditing helper
/// </param>
/// <param name="costCalculatorFactory">
/// cost logic service factory
/// </param>
/// <param name="revenueCalculatorFactory">
/// revenue logic service factory
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// exchange rate service
/// </param>
/// <param name="orderFilter">
/// classification financial instruments filtering service
/// </param>
/// <param name="equityMarketCacheFactory">
/// time bar cache factory
/// </param>
/// /// <param name="fixedIncomeMarketCacheFactory">
/// time bar cache factory
/// </param>
/// <param name="marketDataCacheFactory">
/// market time bar cache factory
/// </param>
/// <param name="dataRequestSubscriber">
/// data fetch pattern helper
/// </param>
/// <param name="judgementService">
/// rule analysis service
/// </param>
/// <param name="runMode">
/// forced or validation
/// </param>
/// <param name="logger">
/// logging helper
/// </param>
/// <param name="tradingHistoryLogger">
/// logging helper for trading history
/// </param>
public FixedIncomeHighProfitsStreamRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseFixedIncomeOrderFilterService orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IFixedIncomeHighProfitJudgementService judgementService,
ICurrencyConverterService currencyService,
RuleRunMode runMode,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.FixedIncomeHighProfits,
FixedIncomeHighProfitFactory.Version,
"Fixed Income High Profit Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.FixedIncomeParameters =
fixedIncomeParameters ?? throw new ArgumentNullException(nameof(fixedIncomeParameters));
this.RuleCtx = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this.revenueCalculatorFactory = revenueCalculatorFactory
?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this.marketDataCacheFactory =
marketDataCacheFactory ?? throw new ArgumentNullException(nameof(marketDataCacheFactory));
this.exchangeRateProfitCalculator = exchangeRateProfitCalculator
?? throw new ArgumentNullException(
nameof(exchangeRateProfitCalculator));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.dataRequestSubscriber =
dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.JudgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.currencyConverterService = currencyService ?? throw new ArgumentNullException(nameof(currencyService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
this.fixedIncomeOrderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this.fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this.marketDataCacheStrategyFactory = A.Fake <IFixedIncomeMarketDataCacheStrategyFactory>();
this.costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this.revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.logger = A.Fake <ILogger <FixedIncomeHighProfitsRule> >();
this.stackLogger = A.Fake <ILogger <TradingHistoryStack> >();
this.parameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.judgementService = A.Fake <IFixedIncomeHighProfitJudgementService>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
this.runMode = RuleRunMode.ValidationRun;
this.scheduledExecution = new ScheduledExecution();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this._revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this._exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._cacheStrategyFactory = A.Fake <IEquityMarketDataCacheStrategyFactory>();
this._judgementService = A.Fake <IJudgementService>();
this._logger = new NullLogger <HighProfitsRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._equitiesParameters = A.Fake <IHighProfitsRuleEquitiesParameters>();
this._ruleCtxStream = A.Fake <ISystemProcessOperationRunRuleContext>();
this._ruleCtxMarket = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._scheduledExecution = new ScheduledExecution();
}
/// <summary>
/// The test setup.
/// </summary>
private void Setup()
{
this.tradingHoursService = A.Fake <IMarketTradingHoursService>();
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("XLON")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(16),
IsValid = true,
Mic = "XLON",
OpenOffsetInUtc = TimeSpan.FromHours(8)
});
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("NASDAQ")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(23),
IsValid = true,
Mic = "NASDAQ",
OpenOffsetInUtc = TimeSpan.FromHours(15)
});
this.equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this.fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this.universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this.logger = new NullLogger <HighProfitsRule>();
this.tradingLogger = new NullLogger <TradingHistoryStack>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
this.costCalculatorFactory = new CostCalculatorFactory(
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <CostCalculator>(),
new NullLogger <CostCurrencyConvertingCalculator>());
this.revenueCalculatorFactory = new RevenueCalculatorFactory(
this.tradingHoursService,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <RevenueCurrencyConvertingCalculator>(),
new NullLogger <RevenueCalculator>());
this.equityRuleHighProfitFactory = new EquityRuleHighProfitFactory(
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.universeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeMarketCacheFactory,
this.marketDataCacheStrategyFactory,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
this.logger,
this.tradingLogger);
this.judgementRepository = A.Fake <IJudgementRepository>();
this.ruleViolationService = A.Fake <IRuleViolationService>();
this.judgementService = new JudgementService(
this.judgementRepository,
this.ruleViolationService,
new HighProfitJudgementMapper(new NullLogger <HighProfitJudgementMapper>()),
new FixedIncomeHighProfitJudgementMapper(new NullLogger <FixedIncomeHighProfitJudgementMapper>()),
new FixedIncomeHighVolumeJudgementMapper(new NullLogger <FixedIncomeHighVolumeJudgementMapper>()),
new NullLogger <JudgementService>());
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
}