/// <summary>
/// The subscribe parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IHighProfitsRuleEquitiesParameters parameter)
{
var ruleCtxStream = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var ruleCtxMarketClosure = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var highProfitsRule = this.equityRuleHighProfitFactory.Build(
parameter,
ruleCtxStream,
ruleCtxMarketClosure,
dataRequestSubscriber,
judgementService,
execution);
var highProfitsRuleOrgFactor = this.brokerServiceFactory.Build(
highProfitsRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var decoratedHighProfits = this.DecorateWithFilter(
operationContext,
parameter,
highProfitsRuleOrgFactor,
dataRequestSubscriber,
ruleCtxMarketClosure,
runMode);
return(decoratedHighProfits);
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IWashTradeRuleFixedIncomeParameters parameter)
{
var ctx = operationContext.CreateAndStartRuleRunContext(
Rules.FixedIncomeWashTrades.GetDescription(),
FixedIncomeWashTradeFactory.Version,
parameter.Id,
(int)Rules.FixedIncomeWashTrades,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var washTrade = this.fixedIncomeRuleWashTradeFactory.BuildRule(parameter, ctx, alertStream, runMode);
var washTradeOrgFactors = this.brokerServiceFactory.Build(
washTrade,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var washTradeFilters = this.DecorateWithFilters(
operationContext,
parameter,
washTradeOrgFactors,
universeDataRequestsSubscriber,
ctx,
runMode);
return(washTradeFilters);
}
/// <summary>
/// The subscribe for parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeForParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISpoofingRuleEquitiesParameters parameter)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.Spoofing.GetDescription(),
EquityRuleSpoofingFactory.Version,
parameter.Id,
(int)Rules.Spoofing,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var spoofingRule = this.equityRuleSpoofingFactory.Build(parameter, ruleCtx, alertStream, runMode);
var spoofingRuleOrgFactors = this.brokerServiceFactory.Build(
spoofingRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var filteredSpoofingRule = this.DecorateWithFilters(
operationContext,
parameter,
spoofingRuleOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(filteredSpoofingRule);
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IHighProfitsRuleFixedIncomeParameters parameters,
IJudgementService judgementService)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.FixedIncomeHighProfits.GetDescription(),
FixedIncomeHighProfitFactory.Version,
parameters.Id,
(int)Rules.FixedIncomeHighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var highProfits =
this.fixedIncomeRuleHighProfitsFactory.BuildRule(
parameters,
ruleCtx,
judgementService,
universeDataRequestsSubscriber,
runMode,
execution);
var highProfitsOrgFactors = this.brokerServiceFactory.Build(
highProfits,
parameters.Factors,
parameters.AggregateNonFactorableIntoOwnCategory);
var highProfitsFiltered = this.DecorateWithFilters(
operationContext,
parameters,
highProfitsOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(highProfitsFiltered);
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameter,
IUniverseDataRequestsSubscriber dataRequestSubscriber)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.PlacingOrderWithNoIntentToExecute.GetDescription(),
EquityRulePlacingOrdersWithoutIntentToExecuteFactory.Version,
parameter.Id,
(int)Rules.PlacingOrderWithNoIntentToExecute,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var placingOrders = this.equityRulePlacingOrdersFactory.Build(
parameter,
alertStream,
ruleCtx,
dataRequestSubscriber,
runMode);
var placingOrdersOrgFactors = this.brokerServiceFactory.Build(
placingOrders,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var filteredPlacingOrders = this.DecorateWithFilters(
operationContext,
parameter,
placingOrdersOrgFactors,
dataRequestSubscriber,
ruleCtx,
runMode);
return(filteredPlacingOrders);
}
