/// <summary>
/// The pass judgement for daily breach async.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradePosition">
/// The trade position.
/// </param>
/// <param name="dailyAnalysis">
/// The daily Analysis.
/// </param>
/// <returns>
/// The <see cref="Task"/>.
/// </returns>
private async Task PassJudgementForDailyBreachAsync(
Order mostRecentTrade,
TradePosition tradePosition,
FixedIncomeHighVolumeJudgement.BreachDetails dailyAnalysis)
{
var serialisedParameters = JsonConvert.SerializeObject(this.parameters);
var judgement =
new FixedIncomeHighVolumeJudgement(
mostRecentTrade?.Market,
this.RuleCtx.RuleParameterId(),
this.RuleCtx.CorrelationId(),
mostRecentTrade?.ReddeerOrderId?.ToString(),
mostRecentTrade?.OrderId?.ToString(),
serialisedParameters,
this.hadMissingMarketData,
false,
FixedIncomeHighVolumeJudgement.BreachDetails.None(),
dailyAnalysis);
var fixedIncomeHighVolumeContext =
new FixedIncomeHighVolumeJudgementContext(
judgement,
true,
tradePosition,
mostRecentTrade?.Market);
await this.judgementService.Judgement(fixedIncomeHighVolumeContext);
}
public void BuildDescriptionForDailyBreachReturnsExpectedDescription()
{
var mapper = this.BuildMapper();
A.CallTo(() => this.context.IsIssuanceBreach).Returns(false);
A.CallTo(() => this.financialInstrument.Name).Returns("ryan-test-security");
var dailyAnalysis =
new FixedIncomeHighVolumeJudgement.BreachDetails(
69,
0.1m,
230,
0.3m,
true);
A.CallTo(() => this.context.Judgement.DailyAnalysisAnalysis).Returns(dailyAnalysis);
var description = mapper.BuildDescription(this.context);
Assert.AreEqual("Fixed Income High Volume rule breach detected for ryan-test-security. Percentage of daily volume breach has occured. A daily volume limit of 10% was exceeded by trading 30% of daily volume at the venue () . 230 volume was the allocated fill against a breach threshold volume of 69.", description);
}
public void BuildDescriptionForWindowBreachReturnsExpectedDescription()
{
var mapper = this.BuildMapper();
A.CallTo(() => this.context.IsIssuanceBreach).Returns(false);
A.CallTo(() => this.financialInstrument.Name).Returns("ryan-test-security");
var windowAnalysis =
new FixedIncomeHighVolumeJudgement.BreachDetails(
100,
0.2m,
300,
0.6m,
true);
A.CallTo(() => this.context.Judgement.WindowAnalysisAnalysis).Returns(windowAnalysis);
var description = mapper.BuildDescription(this.context);
Assert.AreEqual("Fixed Income High Volume rule breach detected for ryan-test-security. Percentage of window volume breach has occured. A window volume limit of 20% was exceeded by trading 60% of window volume within the window of 0 minutes at the venue () . 300 volume was the allocated fill against a breach threshold volume of 100.", description);
}
/// <summary>
/// The has no breach.
/// </summary>
/// <param name="dailyBreach">
/// The daily breach.
/// </param>
/// <param name="windowBreach">
/// The window breach.
/// </param>
/// <returns>
/// The <see cref="bool"/>.
/// </returns>
private bool HasNoBreach(
FixedIncomeHighVolumeJudgement.BreachDetails dailyBreach,
FixedIncomeHighVolumeJudgement.BreachDetails windowBreach)
{
return(!dailyBreach.VolumeBreach && !windowBreach.VolumeBreach);
}
