private string BuildDescription(IWashTradeRuleBreach breach)
{
if (breach == null)
{
return(string.Empty);
}
var preamble = $"Wash trade rule breach. Traded {breach.Security?.Name}.";
var positionAverage = string.Empty;
var positionPaired = string.Empty;
var positionClustering = string.Empty;
if (breach.AveragePositionBreach != null && breach.AveragePositionBreach.AveragePositionRuleBreach)
{
positionAverage = this.BuildAveragePositionDescription(breach);
}
if (breach.ClusteringPositionBreach != null && breach.ClusteringPositionBreach.ClusteringPositionBreach)
{
positionClustering = this.BuildPositionClusteringDescription(breach);
}
return($"{preamble}{positionAverage}{positionPaired}{positionClustering}");
}
private string BuildAveragePositionDescription(IWashTradeRuleBreach breach)
{
var trades = breach.AveragePositionBreach.AveragePositionAmountOfTrades.GetValueOrDefault(0);
var percentageChange = Math.Round(
breach.AveragePositionBreach.AveragePositionRelativeValueChange.GetValueOrDefault(0) * 100,
2,
MidpointRounding.AwayFromZero);
var percentageChangeMax = Math.Round(
breach.EquitiesParameters.AveragePositionMaximumPositionValueChange.GetValueOrDefault(0) * 100,
2,
MidpointRounding.AwayFromZero);
var averagePosition =
$" {trades} trades appeared to be part of a series of wash trade activity. These trades netted a total of {percentageChange}% in the value of the traders position, lower values of change are considered to be stronger evidence of wash trading. {percentageChangeMax}% was the configured maximum value change for this to be considered an alert.";
if (breach.EquitiesParameters.AveragePositionMaximumAbsoluteValueChangeAmount != null &&
breach.AveragePositionBreach.AveragePositionAbsoluteValueChange != null)
{
var absoluteChange = Math.Round(
breach.AveragePositionBreach.AveragePositionAbsoluteValueChange.Value.Value,
2,
MidpointRounding.AwayFromZero);
averagePosition =
$"{averagePosition} The absolute value change of the traders position in {breach.Security.Name} changed by ({breach.AveragePositionBreach.AveragePositionAbsoluteValueChange.Value.Currency.Code}){absoluteChange} against a maximum position value change of ({breach.EquitiesParameters.AveragePositionMaximumAbsoluteValueChangeCurrency}){breach.EquitiesParameters.AveragePositionMaximumAbsoluteValueChangeAmount}.";
}
return(averagePosition);
}
/// <summary>
/// Receive and cache rule breach in memory
/// </summary>
public void Send(IWashTradeRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
// ReSharper disable once InconsistentlySynchronizedField
this._logger.LogInformation("received a rule breach. Returning.");
return;
}
lock (this._lock)
{
this._logger.LogInformation($"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._logger.LogInformation(
$"deduplicated {this._messages.Count} alerts when processing {ruleBreach.Security.Identifiers}.");
this._messages.Add(ruleBreach);
}
}
private string BuildPositionClusteringDescription(IWashTradeRuleBreach breach)
{
var percentageChangeMax = Math.Round(
breach.EquitiesParameters.ClusteringPercentageValueDifferenceThreshold.GetValueOrDefault(0) * 100,
2,
MidpointRounding.AwayFromZero);
var centroids =
breach.ClusteringPositionBreach?.CentroidsOfBreachingClusters.Select(
ce => Math.Round(ce, 2, MidpointRounding.AwayFromZero)) ?? new List <decimal>();
var initial =
$" A clustering (k-means) rule breach was found with {breach.ClusteringPositionBreach.AmountOfBreachingClusters} clusters detected to be trading at thin margins per cluster defined as less than a {percentageChangeMax}% difference between cost and revenues when buying and selling a position.";
if (breach.ClusteringPositionBreach != null &&
breach.ClusteringPositionBreach.CentroidsOfBreachingClusters.Any())
{
initial =
$"{initial} The centroids of the clusters were at the prices {centroids.Aggregate(string.Empty, (a, b) => $"{a}{b}")}";
}
return(initial);
}
public async Task Send(IWashTradeRuleBreach breach)
{
var description = this.BuildDescription(breach);
await this.Send(breach, description);
}
