private string BuildDescription(IHighProfitJudgementContext judgementContext)
{
var highRelativeProfitAsPercentage = Math.Round(
judgementContext.RelativeProfits.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var highRelativeProfitAsPercentageSetByUser = Math.Round(
judgementContext.EquitiesParameters.HighProfitPercentageThreshold.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var highAbsoluteProfit = Math.Round(
judgementContext.AbsoluteProfits?.Value ?? 0,
2,
MidpointRounding.AwayFromZero);
var highRelativeProfitSection = this.HighRelativeProfitText(
judgementContext,
highRelativeProfitAsPercentage,
highRelativeProfitAsPercentageSetByUser);
var highAbsoluteProfitSection = this.HighAbsoluteProfitText(judgementContext, highAbsoluteProfit);
var highProfitExchangeRatesSection = this.HighProfitExchangeRateText(judgementContext);
return
($"High profit rule breach detected for {judgementContext.RuleBreachContext.Security.Name} at {judgementContext.RuleBreachContext.UniverseDateTime}.{highRelativeProfitSection}{highAbsoluteProfitSection}{highProfitExchangeRatesSection}");
}
/// <summary>
/// The judgement.
/// </summary>
/// <param name="judgementContext">
/// The judgement context.
/// </param>
/// <returns>
/// The <see cref="Task"/>.
/// </returns>
public async Task Judgement(IHighProfitJudgementContext judgementContext)
{
if (judgementContext == null)
{
this.logger?.LogError("Equity High Profit Judgement was null");
return;
}
if (string.IsNullOrWhiteSpace(judgementContext?.Judgement?.OrderId))
{
this.logger?.LogInformation(
"Equity High Profit Judgement had no order id - this is normal for market close analysis");
return;
}
await this.judgementRepository.SaveAsync(judgementContext.Judgement);
if (!judgementContext.RaiseRuleViolation)
{
return;
}
var projectedBreach = this.equityHighProfitJudgementMapper.Map(judgementContext);
this.ruleViolationService.AddRuleViolation(projectedBreach);
}
private string HighRelativeProfitText(
IHighProfitJudgementContext judgementContext,
decimal highRelativeProfitAsPercentage,
decimal highRelativeProfitAsPercentageSetByUser)
{
return(judgementContext.HasRelativeProfitBreach
? $" There was a high profit ratio of {highRelativeProfitAsPercentage}% which exceeded the configured high profit ratio percentage threshold of {highRelativeProfitAsPercentageSetByUser}%."
: string.Empty);
}
public IRuleBreach Map(IHighProfitJudgementContext judgementContext)
{
if (judgementContext == null)
{
this._logger?.LogInformation($"{nameof(judgementContext)} was null in map. Returning.");
return(null);
}
var caseTitle = $"Automated High Profit Rule Breach Detected";
var description = this.BuildDescription(judgementContext);
var ruleBreach = new RuleBreach(judgementContext.RuleBreachContext, description, caseTitle);
return(ruleBreach);
}
private string HighProfitExchangeRateText(IHighProfitJudgementContext judgementContext)
{
if (!judgementContext.EquitiesParameters.UseCurrencyConversions ||
judgementContext.ExchangeRateProfits == null)
{
return(string.Empty);
}
if (string.Equals(
judgementContext.ExchangeRateProfits.FixedCurrency.Code,
judgementContext.ExchangeRateProfits.VariableCurrency.Code,
StringComparison.InvariantCultureIgnoreCase))
{
this._logger.LogError(
$"HighProfitMessageSender had two equal currencies when generating WER text {judgementContext.ExchangeRateProfits.FixedCurrency.Code} and {judgementContext.ExchangeRateProfits.VariableCurrency.Code}");
return(string.Empty);
}
var absAmount = Math.Round(
judgementContext.ExchangeRateProfits.AbsoluteAmountDueToWer(),
2,
MidpointRounding.AwayFromZero);
var costWer = Math.Round(
judgementContext.ExchangeRateProfits.PositionCostWer,
2,
MidpointRounding.AwayFromZero);
var revenueWer = Math.Round(
judgementContext.ExchangeRateProfits.PositionRevenueWer,
2,
MidpointRounding.AwayFromZero);
var relativePercentage = Math.Round(
judgementContext.ExchangeRateProfits.RelativePercentageDueToWer() * 100,
2,
MidpointRounding.AwayFromZero);
if (revenueWer == 0 || costWer == 0)
{
return(string.Empty);
}
return
($" The position was acquired with a currency conversion between ({judgementContext.ExchangeRateProfits.FixedCurrency.Code}/{judgementContext.ExchangeRateProfits.VariableCurrency.Code}) rate at a weighted exchange rate of {costWer} and sold at a weighted exchange rate of {revenueWer}. The impact on profits from exchange rate movements was {relativePercentage}% and the absolute amount of profits due to exchange rates is ({judgementContext.AbsoluteProfitCurrency}) {absAmount}.");
}
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> >();
}
private string HighAbsoluteProfitText(IHighProfitJudgementContext judgementContext, decimal absoluteProfit)
{
return(judgementContext.HasAbsoluteProfitBreach
? $" There was a high profit of {absoluteProfit} ({judgementContext.AbsoluteProfitCurrency}) which exceeded the configured profit limit of {judgementContext.EquitiesParameters.HighProfitAbsoluteThreshold.GetValueOrDefault(0)}({judgementContext.EquitiesParameters.HighProfitCurrencyConversionTargetCurrency})."
: string.Empty);
}
