public void Setup()
{
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._clustering = new ClusteringService();
this._equitiesParameters = A.Fake <IWashTradeRuleEquitiesParameters>();
this._logger = A.Fake <ILogger>();
this._ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
this._stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
this._loggerEquityCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
this._loggerFixedIncomeCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._orderFilter = A.Fake <IUniverseOrderFilter>();
this._equityFactory = new UniverseEquityMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerEquityCache);
this._fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerFixedIncomeCache);
A.CallTo(() => this._orderFilter.Filter(A <IUniverseEvent> .Ignored))
.ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(true);
A.CallTo(() => this._equitiesParameters.ClusteringPercentageValueDifferenceThreshold).Returns(0.05m);
}
/// <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="parameters">
/// The parameters.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IWashTradeRuleEquitiesParameters parameters)
{
var ctx = operationContext.CreateAndStartRuleRunContext(
Rules.WashTrade.GetDescription(),
EquityRuleWashTradeFactory.Version,
parameters.Id,
(int)Rules.WashTrade,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var washTrade = this.equityRuleWashTradeFactory.Build(parameters, ctx, alertStream, runMode);
var washTradeOrgFactors = this.brokerServiceFactory.Build(
washTrade,
parameters.Factors,
parameters.AggregateNonFactorableIntoOwnCategory);
var washTradeFiltered = this.DecorateWithFilter(
operationContext,
parameters,
washTradeOrgFactors,
universeDataRequestsSubscriber,
ctx,
runMode);
return(washTradeFiltered);
}
public IWashTradeRule Build(
IWashTradeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode)
{
if (ruleCtx == null)
{
throw new ArgumentNullException(nameof(ruleCtx));
}
if (equitiesParameters == null)
{
throw new ArgumentNullException(nameof(equitiesParameters));
}
return(new WashTradeRule(
equitiesParameters,
ruleCtx,
this._clustering,
alertStream,
this._currencyConverterService,
this._orderFilterService,
this._equityFactory,
this._fixedIncomeFactory,
runMode,
this._logger,
this._tradingHistoryLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="WashTradeRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="clustering">
/// The clustering.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="currencyConverterService">
/// The currency converter service.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public WashTradeRule(
IWashTradeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
IClusteringService clustering,
IUniverseAlertStream alertStream,
ICurrencyConverterService currencyConverterService,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.WashTrade,
EquityRuleWashTradeFactory.Version,
"Wash Trade Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.clustering = clustering ?? throw new ArgumentNullException(nameof(clustering));
this.currencyConverterService =
currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The decorate with filter.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="washTrade">
/// The wash trade.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="processOperationRunRuleContext">
/// The process operation run rule context.
/// </param>
/// <param name="ruleRunMode">
/// The rule run mode.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule DecorateWithFilter(
ISystemProcessOperationContext operationContext,
IWashTradeRuleEquitiesParameters parameters,
IUniverseRule washTrade,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISystemProcessOperationRunRuleContext processOperationRunRuleContext,
RuleRunMode ruleRunMode)
{
if (parameters.HasInternalFilters() || parameters.HasReferenceDataFilters() || parameters.HasMarketCapFilters() ||
parameters.HasVenueVolumeFilters())
{
this.logger.LogInformation($"parameters had filters. Inserting filtered universe in {operationContext.Id} OpCtx");
var filteredUniverse = this.universeFilterFactory.Build(
washTrade,
parameters.Accounts,
parameters.Traders,
parameters.Markets,
parameters.Funds,
parameters.Strategies,
parameters.Sectors,
parameters.Industries,
parameters.Regions,
parameters.Countries,
parameters.MarketCapFilter,
ruleRunMode,
"Wash Trade Equity",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
var decoratedFilter = filteredUniverse;
if (parameters.HasVenueVolumeFilters())
{
decoratedFilter = this.decoratorFilterFactory.Build(
parameters.Windows,
filteredUniverse,
parameters.VenueVolumeFilter,
processOperationRunRuleContext,
universeDataRequestsSubscriber,
this.DataSourceForWindow(parameters.Windows),
ruleRunMode);
}
decoratedFilter.Subscribe(washTrade);
return(decoratedFilter);
}
return(washTrade);
}
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>();
}
