/// <summary>
/// Initializes a new instance of the <see cref="LayeringRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="operationContext">
/// The op context.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public LayeringRule(
ILayeringRuleEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
ILogger logger,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
ISystemProcessOperationRunRuleContext operationContext,
RuleRunMode runMode,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.Layering,
EquityRuleLayeringFactory.Version,
"Layering Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.ruleContext = operationContext ?? throw new ArgumentNullException(nameof(operationContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
}
public LayeringRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
ILayeringRuleEquitiesParameters equitiesParameters,
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
RuleBreachDescription bidirectionalTradeBreach,
RuleBreachDescription dailyVolumeTradeBreach,
RuleBreachDescription windowVolumeTradeBreach,
RuleBreachDescription priceMovementBreach,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.EquitiesParameters = equitiesParameters;
this.Window = window;
this.Trades = trades;
this.Security = security;
this.BidirectionalTradeBreach = bidirectionalTradeBreach;
this.DailyVolumeTradeBreach = dailyVolumeTradeBreach;
this.WindowVolumeTradeBreach = windowVolumeTradeBreach;
this.PriceMovementBreach = priceMovementBreach;
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// The decorate with filter.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="layering">
/// The layering.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="processOperationRunRuleContext">
/// The process operation run rule context.
/// </param>
/// <param name="ruleRunMode">
/// The rule run mode.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule DecorateWithFilter(
ISystemProcessOperationContext operationContext,
ILayeringRuleEquitiesParameters parameter,
IUniverseRule layering,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISystemProcessOperationRunRuleContext processOperationRunRuleContext,
RuleRunMode ruleRunMode)
{
if (parameter.HasInternalFilters() ||
parameter.HasReferenceDataFilters() ||
parameter.HasMarketCapFilters() ||
parameter.HasVenueVolumeFilters())
{
this.logger.LogInformation($"parameters had filters. Inserting filtered universe in {operationContext.Id} OpCtx");
var filteredUniverse = this.universeFilterFactory.Build(
layering,
parameter.Accounts,
parameter.Traders,
parameter.Markets,
parameter.Funds,
parameter.Strategies,
parameter.Sectors,
parameter.Industries,
parameter.Regions,
parameter.Countries,
parameter.MarketCapFilter,
ruleRunMode,
"Layering Equity",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
var decoratedFilters = filteredUniverse;
if (parameter.HasVenueVolumeFilters())
{
decoratedFilters = this.decoratorFilterFactory.Build(
parameter.Windows,
filteredUniverse,
parameter.VenueVolumeFilter,
processOperationRunRuleContext,
universeDataRequestsSubscriber,
this.LayeringDataSource(parameter),
ruleRunMode);
}
decoratedFilters.Subscribe(layering);
return(decoratedFilters);
}
return(layering);
}
public void Setup()
{
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._logger = A.Fake <ILogger <EquityRuleLayeringFactory> >();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._equitiesParameters = A.Fake <ILayeringRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public ILayeringRule Build(
ILayeringRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode)
{
return(new LayeringRule(
equitiesParameters,
alertStream,
this._orderFilterService,
this._logger,
this._equityFactory,
this._fixedIncomeFactory,
this._tradingHoursService,
ruleCtx,
runMode,
this._tradingHistoryLogger));
}
/// <summary>
/// The layering data source.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <returns>
/// The <see cref="DataSource"/>.
/// </returns>
private DataSource LayeringDataSource(ILayeringRuleEquitiesParameters parameters)
{
if (parameters == null)
{
return(DataSource.AnyInterday);
}
if (parameters.PercentageOfMarketWindowVolume != null)
{
return(DataSource.AnyIntraday);
}
if (parameters.PercentageOfMarketDailyVolume != null)
{
return(DataSource.AnyInterday);
}
return(this.DataSourceForWindow(parameters.Windows));
}
public void Setup()
{
_logger = A.Fake <ILogger>();
_tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
_alertStream = A.Fake <IUniverseAlertStream>();
_ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_operationCtx = A.Fake <ISystemProcessOperationContext>();
_equitiesParameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), 0.2m, null, null, null, false, true);
_orderFilter = A.Fake <IUniverseOrderFilter>();
A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
_ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
_stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
_equityFactoryLogger = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
_equityFactory = new UniverseEquityMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _equityFactoryLogger);
_fixedIncomeFactoryLogger = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
_fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _fixedIncomeFactoryLogger);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_tradingHoursRepository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => _tradingHoursRepository.GetAsync())
.Returns(
new ExchangeDto[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true,
}
});
A.CallTo(() => _ruleCtx.EndEvent()).Returns(_operationCtx);
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ILayeringRuleEquitiesParameters parameter)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.Layering.GetDescription(),
EquityRuleLayeringFactory.Version,
parameter.Id,
(int)Rules.Layering,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var layeringRule = this.equityRuleLayeringFactory.Build(parameter, ruleCtx, alertStream, runMode);
var layeringRuleOrgFactors = this.brokerServiceFactory.Build(
layeringRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var layeringRuleFiltered = this.DecorateWithFilter(
operationContext,
parameter,
layeringRuleOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(layeringRuleFiltered);
}