public void OnNext(IUniverseAlertEvent value)
{
this._logger.LogInformation(
$"received on the OnNext() event from the alerts stream. Rule {value.Rule} operation context {value.Context?.Id()}");
switch (value.Rule)
{
case Rules.CancelledOrders:
this.CancelledOrders(value);
break;
case Rules.HighVolume:
this.HighVolume(value);
break;
case Rules.Layering:
this.Layering(value);
break;
case Rules.MarkingTheClose:
this.MarkingTheClose(value);
break;
case Rules.Spoofing:
this.Spoofing(value);
break;
case Rules.WashTrade:
this.EquityWashTrade(value);
break;
case Rules.FixedIncomeWashTrades:
this.FixedIncomeWashTrade(value);
break;
case Rules.Ramping:
this.Ramping(value);
break;
case Rules.PlacingOrderWithNoIntentToExecute:
this.PlacingOrdersWithoutIntentToExecute(value);
break;
default:
this._logger.LogError(
$"met a rule type it did not identify {value.Rule}. This should be explicitly addressed.");
break;
}
}
public void Add(IUniverseAlertEvent alertEvent)
{
if (alertEvent == null)
{
return;
}
this._logger.LogInformation(
$"received a new alert for rule {alertEvent.Rule}. Part of rule run {alertEvent.Context?.Id()}");
foreach (var sub in this._observers)
{
sub.Value?.OnNext(alertEvent);
}
}
private void Ramping(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (IRampingRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("ramping adding alert to ramping message sender");
this._rampingRuleMessageSender.Send(ruleBreach);
this._logger.LogInformation("ramping incrementing raw alert count by 1");
this.Analytics.RampingAlertsRaw += 1;
}
private void PlacingOrdersWithoutIntentToExecute(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (IPlacingOrdersWithNoIntentToExecuteRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("adding alert to placing orders without intent to execute message sender");
this._placingOrdersMessageSender.Send(ruleBreach);
this._logger.LogInformation("placing orders without intent to execute incrementing raw alert count by 1");
this.Analytics.PlacingOrdersAlertsRaw += 1;
}
private void FixedIncomeWashTrade(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (IWashTradeRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("Fixed income wash trade adding alert to the wash trade message sender");
this._fixedIncomeWashTradeMessageSender.Send(ruleBreach);
this._logger.LogInformation("Fixed income wash trade incrementing raw alert count by 1");
this.Analytics.FixedIncomeWashTradeAlertsRaw += 1;
}
private void CancelledOrders(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (ICancelledOrderRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("cancelled orders adding alert to cancelled order message sender");
this._cancelledOrderMessageSender.Send(ruleBreach);
this._logger.LogInformation("cancelled orders incrementing raw alert count by 1");
this.Analytics.CancelledOrderAlertsRaw += 1;
}
private void Spoofing(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (ISpoofingRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("spoofing adding alert to spoofing message sender");
this._spoofingMessageSender.Send(ruleBreach);
this._logger.LogInformation("spoofing incrementing raw and adjusted alert count by 1");
this.Analytics.SpoofingAlertsRaw += 1;
this.Analytics.SpoofingAlertsAdjusted += 1;
}
private void MarkingTheClose(IUniverseAlertEvent alert)
{
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (IMarkingTheCloseBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("marking the close adding alert to marking the close message sender");
this._markingTheCloseMessageSender.Send(ruleBreach);
this._logger.LogInformation("marking the close incrementing raw and adjusted alert count by 1");
this.Analytics.MarkingTheCloseAlertsRaw += 1;
this.Analytics.MarkingTheCloseAlertsAdjusted += 1;
}
private void HighVolume(IUniverseAlertEvent alert)
{
if (alert.IsDeleteEvent)
{
this._highVolumeMessageSender.Delete();
return;
}
if (alert.IsFlushEvent)
{
return;
}
var ruleBreach = (IHighVolumeRuleBreach)alert.UnderlyingAlert;
this.SetIsBackTest(ruleBreach);
this._logger.LogInformation("high volume adding alert to high volume message sender");
this._highVolumeMessageSender.Send(ruleBreach);
this._logger.LogInformation("high volume incrementing raw alert count by 1");
this.Analytics.HighVolumeAlertsRaw += 1;
}
