private CancelledOrderRule BuildRule(CancelledOrderRuleEquitiesParameters parameters = null)
{
if (parameters == null)
{
parameters = new CancelledOrderRuleEquitiesParameters(
"id",
TimeSpan.FromMinutes(30),
0.5m,
null,
10,
10,
null,
false,
true);
}
var orderRule = new CancelledOrderRule(
parameters,
this._ruleCtx,
this._alertStream,
this._orderFilter,
this.BuildEquityFactory(),
this.BuildFixedIncomeFactory(),
RuleRunMode.ValidationRun,
this._logger,
this._tradingHistoryLogger);
return(orderRule);
}
public void OnNext_SendsExpectedMessage_ForTradeCountRuleBreach_WithNoMax()
{
var cancelledOrdersByTradeSize = new List <Order>
{
this.OrderFactory(OrderStatus.Cancelled),
this.OrderFactory(OrderStatus.Cancelled),
this.OrderFactory(OrderStatus.Cancelled),
this.OrderFactory(OrderStatus.Cancelled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled)
};
var parameters = new CancelledOrderRuleEquitiesParameters(
"id",
TimeSpan.FromMinutes(30),
null,
0.3m,
3,
null,
null,
false,
true);
var orderRule = new CancelledOrderRule(
parameters,
this._ruleCtx,
this._alertStream,
this._orderFilter,
this.BuildEquityFactory(),
this.BuildFixedIncomeFactory(),
RuleRunMode.ValidationRun,
this._logger,
this._tradingHistoryLogger);
var universeEvents =
cancelledOrdersByTradeSize.Select(x => new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, x));
foreach (var order in universeEvents)
{
orderRule.OnNext(order);
}
A.CallTo(() => this._alertStream.Add(A <IUniverseAlertEvent> .Ignored))
.MustHaveHappenedANumberOfTimesMatching(x => x == 11);
}
public void OnNext_DoesNotSendsMessage_ForNoTradeCountRuleBreach()
{
var trade = this.OrderFactory(OrderStatus.Cancelled);
trade.OrderFilledVolume = trade.OrderFilledVolume * 100;
var cancelledOrdersByTradeSize = new List <Order>
{
trade,
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled),
this.OrderFactory(OrderStatus.Filled)
};
var parameters = new CancelledOrderRuleEquitiesParameters(
"id",
TimeSpan.FromMinutes(30),
null,
0.70m,
3,
10,
null,
false,
true);
var orderRule = new CancelledOrderRule(
parameters,
this._ruleCtx,
this._alertStream,
this._orderFilter,
this.BuildEquityFactory(),
this.BuildFixedIncomeFactory(),
RuleRunMode.ValidationRun,
this._logger,
this._tradingHistoryLogger);
var universeEvents =
cancelledOrdersByTradeSize.Select(x => new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, x));
foreach (var order in universeEvents)
{
orderRule.OnNext(order);
}
A.CallTo(() => this._alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustNotHaveHappened();
}
public void Tuner_AdjustsCancelledOrderField_AsExpected()
{
var tuner = new RuleParameterTuner(this._logger);
var ruleParameters = new CancelledOrderRuleEquitiesParameters(
"id",
TimeSpan.FromHours(1),
0.3m,
0.2m,
2,
4,
new ClientOrganisationalFactors[0],
true,
true);
var result = tuner.ParametersFramework(ruleParameters);
Assert.That(result, Is.Not.Null);
Assert.That(result.Count, Is.EqualTo(27));
}
public void GivenIHaveTheCancelledOrderRuleParameterValues(Table cancelledOrderParameters)
{
if (cancelledOrderParameters.RowCount != 1)
{
this._scenarioContext.Pending();
return;
}
var parameters = cancelledOrderParameters.CreateInstance <CancelledOrderApiParameters>();
this._parameters = new CancelledOrderRuleEquitiesParameters(
"0",
new TimeSpan(parameters.WindowHours, 0, 0),
parameters.CancelledOrderPercentagePositionThreshold,
parameters.CancelledOrderCountPercentageThreshold,
parameters.MinimumNumberOfTradesToApplyRuleTo,
parameters.MaximumNumberOfTradesToApplyRuleTo,
new[] { ClientOrganisationalFactors.None },
true,
true);
}
