public void Setup()
{
this.logger = new NullLogger <FixedIncomeHighVolumeJudgementMapper>();
this.context = A.Fake <IFixedIncomeHighVolumeJudgementContext>();
this.financialInstrument = A.Fake <IFinancialInstrument>();
A.CallTo(() => this.context.Security).Returns(this.financialInstrument);
}
/// <summary>
/// The judgement.
/// </summary>
/// <param name="highVolumeJudgementContext">
/// The high volume judgement context.
/// </param>
/// <returns>
/// The <see cref="Task"/>.
/// </returns>
public async Task Judgement(IFixedIncomeHighVolumeJudgementContext highVolumeJudgementContext)
{
if (highVolumeJudgementContext == null)
{
this.logger?.LogError("Fixed Income High Volume Judgement was null");
return;
}
if (string.IsNullOrWhiteSpace(highVolumeJudgementContext?.Judgement?.OrderId))
{
this.logger?.LogError("Fixed Income High Volume Judgement had no order id");
return;
}
await this.judgementRepository.SaveAsync(highVolumeJudgementContext.Judgement);
if (!highVolumeJudgementContext.RaiseRuleViolation)
{
return;
}
var projectedBreach = this.fixedIncomeHighVolumeJudgementMapper.MapContextToBreach(highVolumeJudgementContext);
this.ruleViolationService.AddRuleViolation(projectedBreach);
}
/// <summary>
/// The build description functionality for a case.
/// </summary>
/// <param name="judgementContext">
/// The judgement context.
/// </param>
/// <returns>
/// The <see cref="string"/>.
/// </returns>
public string BuildDescription(IFixedIncomeHighVolumeJudgementContext judgementContext)
{
var issuanceTitleSegment = judgementContext.IsIssuanceBreach ? " (%) issuance" : string.Empty;
var description = $"Fixed Income High Volume{issuanceTitleSegment} rule breach detected for {judgementContext.Security?.Name}.";
var dailyDescription = this.BuildDailyBreachDescription(judgementContext);
var windowDescription = this.BuildWindowBreachDescription(judgementContext);
description = $"{description}{dailyDescription}{windowDescription}";
return(description);
}
/// <summary>
/// The mapping from judgement to rule breach .
/// </summary>
/// <param name="judgementContext">
/// The judgement context.
/// </param>
/// <returns>
/// The <see cref="IRuleBreach"/>.
/// </returns>
public IRuleBreach MapContextToBreach(IFixedIncomeHighVolumeJudgementContext judgementContext)
{
if (judgementContext == null)
{
this.logger?.LogInformation($"{nameof(judgementContext)} was null in map. Returning.");
return(null);
}
var issuanceTitleSegment = judgementContext.IsIssuanceBreach ? " (%) issuance" : string.Empty;
var caseTitle = $"Automated Fixed Income High Volume{issuanceTitleSegment} Rule Breach Detected";
var description = this.BuildDescription(judgementContext);
var ruleBreach = new RuleBreach(judgementContext.RuleBreachContext, description, caseTitle);
return(ruleBreach);
}
/// <summary>
/// The build daily breach description.
/// </summary>
/// <param name="judgementContext">
/// The judgement context.
/// </param>
/// <returns>
/// The <see cref="string"/>.
/// </returns>
private string BuildDailyBreachDescription(IFixedIncomeHighVolumeJudgementContext judgementContext)
{
if (!judgementContext?.Judgement?.DailyAnalysisAnalysis?.VolumeBreach ?? false)
{
return(string.Empty);
}
var dailyPercentage = Math.Round(judgementContext.Judgement.DailyAnalysisAnalysis.VolumeThresholdPercentage.GetValueOrDefault(0) * 100, 2);
var dailyBreachPercentage = Math.Round(judgementContext.Judgement.DailyAnalysisAnalysis.VolumeTradedPercentage.GetValueOrDefault(0) * 100, 2);
var venueDailyDescription =
judgementContext.Venue != null
? $" at the venue ({judgementContext.Venue?.MarketIdentifierCode}) {judgementContext.Venue?.Name}"
: string.Empty;
var 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}. {judgementContext?.Judgement?.DailyAnalysisAnalysis?.VolumeTradedAmount?.ToString("0.##")} volume was the allocated fill against a breach threshold volume of {judgementContext?.Judgement?.DailyAnalysisAnalysis?.VolumeThresholdAmount?.ToString("0.##")}.";
return(dailyDescription);
}
/// <summary>
/// The build window breach description.
/// </summary>
/// <param name="judgementContext">
/// The judgement context.
/// </param>
/// <returns>
/// The <see cref="string"/>.
/// </returns>
private string BuildWindowBreachDescription(IFixedIncomeHighVolumeJudgementContext judgementContext)
{
if (!judgementContext?.Judgement?.WindowAnalysisAnalysis?.VolumeBreach ?? false)
{
return(string.Empty);
}
var windowPercentage = Math.Round(judgementContext.Judgement.WindowAnalysisAnalysis.VolumeThresholdPercentage.GetValueOrDefault(0) * 100, 2);
var windowBreachPercentage = Math.Round(judgementContext.Judgement.WindowAnalysisAnalysis.VolumeTradedPercentage.GetValueOrDefault(0) * 100, 2);
var venueWindowDescription =
judgementContext.Venue != null
? $" at the venue ({judgementContext.Venue?.MarketIdentifierCode}) {judgementContext.Venue?.Name}"
: string.Empty;
var 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 {judgementContext?.FixedIncomeParameters?.Windows?.BackwardWindowSize.TotalMinutes} minutes{venueWindowDescription}. {judgementContext?.Judgement?.WindowAnalysisAnalysis?.VolumeTradedAmount?.ToString("0.##")} volume was the allocated fill against a breach threshold volume of {judgementContext?.Judgement?.WindowAnalysisAnalysis?.VolumeThresholdAmount?.ToString("0.##")}.";
return(windowDescription);
}
public void Setup()
{
this.judgementRepository = A.Fake <IJudgementRepository>();
this.highProfitJudgementContext = A.Fake <IHighProfitJudgementContext>();
this.cancelledOrderJudgementContext = A.Fake <ICancelledOrderJudgement>();
this.highVolumeJudgementContext = A.Fake <IHighVolumeJudgement>();
this.layeringJudgementContext = A.Fake <ILayeringJudgement>();
this.placingOrdersWithNoIntentJudgementContext = A.Fake <IPlacingOrdersWithNoIntentToExecuteJudgement>();
this.rampingJudgementContext = A.Fake <IRampingJudgement>();
this.markingTheCloseJudgementContext = A.Fake <IMarkingTheCloseJudgement>();
this.spoofingJudgementContext = A.Fake <ISpoofingJudgement>();
this.highProfitJudgementMapper = A.Fake <IHighProfitJudgementMapper>();
this.fixedIncomeProfitJudgementMapper = A.Fake <IFixedIncomeHighProfitJudgementMapper>();
this.fixedIncomeProfitJudgementContext = A.Fake <IFixedIncomeHighProfitJudgementContext>();
this.fixedIncomeHighVolumeJudgementMapper = A.Fake <IFixedIncomeHighVolumeJudgementMapper>();
this.fixedIncomeHighVolumeJudgementContext = A.Fake <IFixedIncomeHighVolumeJudgementContext>();
this.ruleViolationService = A.Fake <IRuleViolationService>();
this.logger = A.Fake <ILogger <JudgementService> >();
}
