public async Task Send(IHighVolumeRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
this.Logger.LogInformation("HighVolumeMessageSender send had a null rule breach. Returning");
return;
}
var description = this.BuildDescription(ruleBreach);
await this.Send(ruleBreach, description);
}
public string BuildDescription(IHighVolumeRuleBreach ruleBreach)
{
var description = $"High Volume rule breach detected for {ruleBreach.Security?.Name}.";
var venueDailyDescription =
ruleBreach.DailyBreach.Venue != null
? $" at the venue ({ruleBreach.DailyBreach.Venue?.MarketIdentifierCode}) {ruleBreach.DailyBreach.Venue?.Name}"
: string.Empty;
var venueWindowDescription =
ruleBreach.WindowBreach.Venue != null
? $" at the venue ({ruleBreach.WindowBreach.Venue?.MarketIdentifierCode}) {ruleBreach.WindowBreach.Venue?.Name}"
: string.Empty;
var dailyDescription = string.Empty;
var windowDescription = string.Empty;
var marketCapDescription = string.Empty;
if (ruleBreach.DailyBreach.HasBreach)
{
var dailyPercentage = Math.Round(ruleBreach.EquitiesParameters.HighVolumePercentageDaily.GetValueOrDefault(0) * 100, 2);
var dailyBreachPercentage = Math.Round(ruleBreach.DailyBreach.BreachPercentage.GetValueOrDefault(0) * 100, 2);
dailyDescription = $" Percentage of daily volume breach has occured. A daily volume limit of {dailyPercentage.ToString("0.##")}% was exceeded by trading {dailyBreachPercentage.ToString("0.##")}% of daily volume{venueDailyDescription}. {ruleBreach.TotalOrdersTradedInWindow.ToString("0.##")} volume was the allocated fill against a breach threshold volume of {ruleBreach.DailyBreach.BreachThresholdAmount.ToString("0.##")}.";
}
if (ruleBreach.WindowBreach.HasBreach)
{
var windowPercentage = Math.Round(ruleBreach.EquitiesParameters.HighVolumePercentageWindow.GetValueOrDefault(0) * 100, 2);
var windowBreachPercentage = Math.Round(ruleBreach.WindowBreach.BreachPercentage.GetValueOrDefault(0) * 100, 2);
windowDescription = $" Percentage of window volume breach has occured. A window volume limit of {windowPercentage.ToString("0.##")}% was exceeded by trading {windowBreachPercentage.ToString("0.##")}% of window volume within the window of {ruleBreach.EquitiesParameters.Windows.BackwardWindowSize.TotalMinutes} minutes{venueWindowDescription}. {ruleBreach.TotalOrdersTradedInWindow.ToString("0.##")} volume was the allocated fill against a breach threshold volume of {ruleBreach.WindowBreach.BreachThresholdAmount.ToString("0.##")}.";
}
if (ruleBreach.MarketCapBreach.HasBreach)
{
var marketCapPercentage = Math.Round(
ruleBreach.EquitiesParameters.HighVolumePercentageMarketCap.GetValueOrDefault(0) * 100, 2);
var marketCapBreachPercentage =
Math.Round(ruleBreach.MarketCapBreach.BreachPercentage.GetValueOrDefault(0) * 100, 2);
var tradedAmount = Math.Round(ruleBreach.MarketCapBreach.BreachTradedMoney.Value, 2, MidpointRounding.AwayFromZero);
var currencyCode =
string.IsNullOrWhiteSpace(ruleBreach.MarketCapBreach.BreachTradedMoney.Currency.Code)
? string.Empty
: $"({ruleBreach.MarketCapBreach.BreachTradedMoney.Currency.Code})";
var thresholdAmount = Math.Round(ruleBreach.MarketCapBreach.BreachThresholdMoney.Value, 2, MidpointRounding.AwayFromZero);
marketCapDescription = $" Percentage of market capitalisation breach has occured. A limit of {marketCapPercentage.ToString("0.##")}% was exceeded by trading {marketCapBreachPercentage.ToString("0.##")}% of market capitalisation. {currencyCode} {tradedAmount.ToString("0.##")} was traded against a breach threshold value of {currencyCode} {thresholdAmount.ToString("0.##")}.";
}
description = $"{description}{dailyDescription}{windowDescription}{marketCapDescription}";
return(description);
}
/// <summary>
/// Receive and cache rule breach in memory
/// </summary>
public void Send(IHighVolumeRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
// ReSharper disable once InconsistentlySynchronizedField
this._logger.LogInformation(
"High Volume Rule Cached Message Sender received a rule breach that was null. Returning.");
return;
}
lock (this._lock)
{
this._logger.LogInformation(
$"High Volume Rule Cached Message Sender received rule breach for {ruleBreach.Security.Identifiers}");
var duplicates = this._messages.Where(msg => msg.Trades.PositionIsSubsetOf(ruleBreach.Trades)).ToList();
this._messages = this._messages.Except(duplicates).ToList();
this._messages.Add(ruleBreach);
}
}
