public EquityRuleHighProfitFactory(
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IEquityMarketDataCacheStrategyFactory cacheStrategyFactory,
ICurrencyConverterService currencyConversionService,
ILogger <HighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this._revenueCalculatorFactory = revenueCalculatorFactory
?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this._exchangeRateProfitCalculator = exchangeRateProfitCalculator
?? throw new ArgumentNullException(
nameof(exchangeRateProfitCalculator));
this._equityMarketCacheFactory =
equityMarketCacheFactory ?? throw new ArgumentNullException(nameof(equityMarketCacheFactory));
this._fixedIncomeMarketCacheFactory =
fixedIncomeMarketCacheFactory ?? throw new ArgumentNullException(nameof(fixedIncomeMarketCacheFactory));
this._cacheStrategyFactory =
cacheStrategyFactory ?? throw new ArgumentNullException(nameof(cacheStrategyFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._currencyConversionService = currencyConversionService ?? throw new ArgumentNullException(nameof(currencyConversionService));
}
public CancelledOrdersSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
this._equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._alertStream = A.Fake <IUniverseAlertStream>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityRuleCancelledOrderFactory = new EquityRuleCancelledOrderFactory(
this._universeOrderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
new NullLogger <CancelledOrderRule>(),
new NullLogger <TradingHistoryStack>());
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = A.Fake <ILogger <CancelledOrderRule> >();
this._tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._parameters = A.Fake <ICancelledOrderRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public EquityRuleCancelledOrderFactory(
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
ILogger <CancelledOrderRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger = tradingHistoryLogger;
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._orderAnalysisService = A.Fake <IOrderAnalysisService>();
this._logger = new NullLogger <SpoofingRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._spoofingEquitiesParameters = A.Fake <ISpoofingRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._logger = new NullLogger <MarkingTheCloseRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._equitiesParameters = A.Fake <IMarkingTheCloseEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._clustering = A.Fake <IClusteringService>();
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = new NullLogger <WashTradeRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._equitiesParameters = A.Fake <IWashTradeRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
_orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
_equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
_fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_logger = A.Fake <ILogger <IHighVolumeRule> >();
_tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
_equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>();
_opCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_alertStream = A.Fake <IUniverseAlertStream>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
}
public EquityRuleHighVolumeFactory(
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ICurrencyConverterService currencyConverterService,
ILogger <IHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this.fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHistoryLogger = tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
public WashTradeSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
var exchangeRateApiRepository = A.Fake <IExchangeRateApiCachingDecorator>();
var exchangeRateDto = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01),
Name = "GBX/USD",
FixedCurrency = "GBX",
VariableCurrency = "USD",
Rate = 200d
};
A.CallTo(() => exchangeRateApiRepository.GetAsync(A <DateTime> .Ignored, A <DateTime> .Ignored)).Returns(
new Dictionary <DateTime, IReadOnlyCollection <ExchangeRateDto> >
{
{ new DateTime(2018, 01, 01), new[] { exchangeRateDto } }
});
var currencyLogger = new NullLogger <CurrencyConverterService>();
this._currencyConverterService = new CurrencyConverterService(exchangeRateApiRepository, currencyLogger);
this._washTradeClustering = new ClusteringService();
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = new NullLogger <WashTradeRule>();
this._tradingLogger = new NullLogger <TradingHistoryStack>();
this._equityRuleWashTradeFactory = new EquityRuleWashTradeFactory(
this._currencyConverterService,
this._washTradeClustering,
this._universeOrderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._logger,
this._tradingLogger);
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public EquityRulePlacingOrdersWithoutIntentToExecuteFactory(
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ILogger <PlacingOrdersWithNoIntentToExecuteRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._tradingHoursService =
tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
public EquityRuleSpoofingFactory(
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IUniverseEquityOrderFilterService orderFilterService,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger <SpoofingRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this._orderAnalysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
public HighVolumeVenueDecoratorFilterFactory(
IUniverseEquityOrderFilterService equityOrderFilterService,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService marketTradingHoursService,
ILogger <TradingHistoryStack> tradingHistoryLogger,
ILogger <HighVolumeVenueFilter> venueLogger)
{
this._equityOrderFilterService = equityOrderFilterService
?? throw new ArgumentNullException(nameof(equityOrderFilterService));
this._equityMarketCacheFactory = equityMarketCacheFactory
?? throw new ArgumentNullException(nameof(equityMarketCacheFactory));
this._fixedIncomeMarketCacheFactory = fixedIncomeMarketCacheFactory
?? throw new ArgumentNullException(nameof(fixedIncomeMarketCacheFactory));
this._marketTradingHoursService = marketTradingHoursService
?? throw new ArgumentNullException(nameof(marketTradingHoursService));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._venueLogger = venueLogger ?? throw new ArgumentNullException(nameof(venueLogger));
}
public EquityRuleWashTradeFactory(
ICurrencyConverterService currencyConverterService,
IClusteringService clustering,
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
ILogger <WashTradeRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._currencyConverterService = currencyConverterService
?? throw new ArgumentNullException(nameof(currencyConverterService));
this._clustering = clustering ?? throw new ArgumentNullException(nameof(clustering));
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this._revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this._exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._cacheStrategyFactory = A.Fake <IEquityMarketDataCacheStrategyFactory>();
this._judgementService = A.Fake <IJudgementService>();
this._logger = new NullLogger <HighProfitsRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._equitiesParameters = A.Fake <IHighProfitsRuleEquitiesParameters>();
this._ruleCtxStream = A.Fake <ISystemProcessOperationRunRuleContext>();
this._ruleCtxMarket = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._scheduledExecution = new ScheduledExecution();
}
public EquityRuleRampingFactory(
IRampingAnalyser rampingAnalyser,
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ILogger <IRampingRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._rampingAnalyser = rampingAnalyser ?? throw new ArgumentNullException(nameof(rampingAnalyser));
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._tradingHoursService =
tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
/// <summary>
/// The test setup.
/// </summary>
private void Setup()
{
this.tradingHoursService = A.Fake <IMarketTradingHoursService>();
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("XLON")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(16),
IsValid = true,
Mic = "XLON",
OpenOffsetInUtc = TimeSpan.FromHours(8)
});
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("NASDAQ")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(23),
IsValid = true,
Mic = "NASDAQ",
OpenOffsetInUtc = TimeSpan.FromHours(15)
});
this.equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this.fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this.universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this.logger = new NullLogger <HighProfitsRule>();
this.tradingLogger = new NullLogger <TradingHistoryStack>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
this.costCalculatorFactory = new CostCalculatorFactory(
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <CostCalculator>(),
new NullLogger <CostCurrencyConvertingCalculator>());
this.revenueCalculatorFactory = new RevenueCalculatorFactory(
this.tradingHoursService,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <RevenueCurrencyConvertingCalculator>(),
new NullLogger <RevenueCalculator>());
this.equityRuleHighProfitFactory = new EquityRuleHighProfitFactory(
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.universeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeMarketCacheFactory,
this.marketDataCacheStrategyFactory,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
this.logger,
this.tradingLogger);
this.judgementRepository = A.Fake <IJudgementRepository>();
this.ruleViolationService = A.Fake <IRuleViolationService>();
this.judgementService = new JudgementService(
this.judgementRepository,
this.ruleViolationService,
new HighProfitJudgementMapper(new NullLogger <HighProfitJudgementMapper>()),
new FixedIncomeHighProfitJudgementMapper(new NullLogger <FixedIncomeHighProfitJudgementMapper>()),
new FixedIncomeHighVolumeJudgementMapper(new NullLogger <FixedIncomeHighVolumeJudgementMapper>()),
new NullLogger <JudgementService>());
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
}
public RampingSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext ?? throw new ArgumentNullException(nameof(scenarioContext));
this._universeSelectionState =
universeSelectionState ?? throw new ArgumentNullException(nameof(universeSelectionState));
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._alertStream = A.Fake <IUniverseAlertStream>();
var repository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => repository.GetAsync()).Returns(
new[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
},
new ExchangeDto
{
Code = "NASDAQ",
MarketOpenTime = TimeSpan.FromHours(15),
MarketCloseTime = TimeSpan.FromHours(23),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
}
});
this._tradingHoursService = new MarketTradingHoursService(
repository,
new NullLogger <MarketTradingHoursService>());
this._rampingAnalyser = new RampingAnalyser(
new TimeSeriesTrendClassifier(new NullLogger <TimeSeriesTrendClassifier>()),
new OrderPriceImpactClassifier());
this._equityOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
var equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
var fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._equityRuleRampingFactory = new EquityRuleRampingFactory(
this._rampingAnalyser,
this._equityOrderFilterService,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
this._tradingHoursService,
new NullLogger <RampingRule>(),
new NullLogger <TradingHistoryStack>());
}
public HighVolumeSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
_scenarioContext = scenarioContext;
_universeSelectionState = universeSelectionState;
var exchangeRateApiRepository = A.Fake <IExchangeRateApiCachingDecorator>();
var exchangeRateDto = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01), Name = "GBX/USD", FixedCurrency = "GBX", VariableCurrency = "USD", Rate = 0.02d
};
var exchangeRateDtoJpy = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01),
Name = "USD/JPY",
FixedCurrency = "USD",
VariableCurrency = "JPY",
Rate = 100
};
var exchangeRateDtoGbx = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01),
Name = "GBX/GBX",
FixedCurrency = "GBX",
VariableCurrency = "GBX",
Rate = 1
};
A.CallTo(() =>
exchangeRateApiRepository.GetAsync(A <DateTime> .Ignored, A <DateTime> .Ignored))
.Returns(new Dictionary <DateTime, IReadOnlyCollection <ExchangeRateDto> >
{
{ new DateTime(2018, 01, 01), new ExchangeRateDto[]
{
exchangeRateDto,
exchangeRateDtoJpy,
exchangeRateDtoGbx
} }
});
var repository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A
.CallTo(() => repository.GetAsync()).
Returns(new ExchangeDto[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true,
},
new ExchangeDto
{
Code = "NASDAQ",
MarketOpenTime = TimeSpan.FromHours(15),
MarketCloseTime = TimeSpan.FromHours(23),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true,
}
});
_tradingHoursService = new MarketTradingHoursService(repository, new NullLogger <MarketTradingHoursService>());
_equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
_fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
var currencyLogger = new NullLogger <CurrencyConverterService>();
currencyConverterService = new CurrencyConverterService(exchangeRateApiRepository, currencyLogger);
_universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
_logger = new NullLogger <HighVolumeRule>();
_tradingLogger = new NullLogger <TradingHistoryStack>();
_ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_alertStream = A.Fake <IUniverseAlertStream>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
_equityRuleHighVolumeFactory = new EquityRuleHighVolumeFactory(
_universeOrderFilterService,
_equityMarketCacheFactory,
_fixedIncomeMarketCacheFactory,
_tradingHoursService,
this.currencyConverterService,
_logger,
_tradingLogger);
}
public HighVolumeVenueFilterSteps(
ScenarioContext scenarioContext,
UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
this._observer = A.Fake <IObserver <IUniverseEvent> >();
this._universeDataRequestsSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
var exchangeRateApiRepository = A.Fake <IExchangeRateApiCachingDecorator>();
var exchangeRateDto = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01),
Name = "GBX/USD",
FixedCurrency = "GBX",
VariableCurrency = "USD",
Rate = 0.02d
};
A.CallTo(() => exchangeRateApiRepository.GetAsync(A <DateTime> .Ignored, A <DateTime> .Ignored)).Returns(
new Dictionary <DateTime, IReadOnlyCollection <ExchangeRateDto> >
{
{ new DateTime(2018, 01, 01), new[] { exchangeRateDto } }
});
var repository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => repository.GetAsync()).Returns(
new[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
},
new ExchangeDto
{
Code = "NASDAQ",
MarketOpenTime = TimeSpan.FromHours(15),
MarketCloseTime = TimeSpan.FromHours(23),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
}
});
this._tradingHoursService = new MarketTradingHoursService(
repository,
new NullLogger <MarketTradingHoursService>());
this._interdayUniverseMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._logger = new NullLogger <HighVolumeRule>();
this._tradingLogger = new NullLogger <TradingHistoryStack>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
}
public MarkingTheCloseSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
this._equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._alertStream = A.Fake <IUniverseAlertStream>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
var repository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => repository.GetAsync()).Returns(
new[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
},
new ExchangeDto
{
Code = "NASDAQ",
MarketOpenTime = TimeSpan.FromHours(15),
MarketCloseTime = TimeSpan.FromHours(23),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
}
});
this._tradingHoursService = new MarketTradingHoursService(
repository,
new NullLogger <MarketTradingHoursService>());
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._equityRuleMarkingTheCloseFactory = new EquityRuleMarkingTheCloseFactory(
this._universeOrderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._tradingHoursService,
new NullLogger <MarkingTheCloseRule>(),
new NullLogger <TradingHistoryStack>());
}
