/// <summary>
/// Receive and cache rule breach in memory
/// </summary>
public void Send(ICancelledOrderRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
// ReSharper disable once InconsistentlySynchronizedField
this._logger.LogInformation(
$"Cancelled Order Rule Cached Message Sender received a null rule breach {ruleBreach.Security.Identifiers}. Returning.");
return;
}
lock (this._lock)
{
this._logger.LogInformation(
$"Cancelled Order Rule Cached Message Sender received rule breach for {ruleBreach.Security.Identifiers}");
var duplicates = this._messages.Where(msg => msg.Trades.PositionIsSubsetOf(ruleBreach.Trades)).ToList();
if (duplicates != null && duplicates.Any())
{
this._logger.LogInformation(
$"Cancelled Order Rule Cached Message Sender removing {duplicates.Count} duplicates for {ruleBreach.Security.Identifiers}");
}
this._messages = this._messages.Except(duplicates).ToList();
this._messages.Add(ruleBreach);
}
}
private string PositionSizeText(
ICancelledOrderRuleEquitiesParameters parameters,
ICancelledOrderRuleBreach ruleBreach,
decimal percentagePositionCancelled)
{
return(ruleBreach.ExceededPercentagePositionCancellations
? $" Position cancelled exceeded threshold at {percentagePositionCancelled}% cancelled. Limit was set at {parameters.CancelledOrderPercentagePositionThreshold * 100}%. {ruleBreach.AmountOfPositionInTotal} orders in the security in during the breach in total of which {ruleBreach.AmountOfPositionCancelled} were cancelled."
: string.Empty);
}
private string OrderRatioText(
ICancelledOrderRuleEquitiesParameters parameters,
ICancelledOrderRuleBreach ruleBreach,
decimal tradeCountCancelled)
{
return(ruleBreach.ExceededPercentageTradeCountCancellations
? $" Number of orders cancelled exceeded threshold at {tradeCountCancelled}% cancelled. Limit was set at {parameters.CancelledOrderCountPercentageThreshold * 100}%."
: string.Empty);
}
public async Task Send(ICancelledOrderRuleBreach ruleBreach)
{
if (ruleBreach?.Trades == null || !ruleBreach.Trades.Get().Any())
{
return;
}
var description = this.BuildDescription(
ruleBreach.Parameters,
ruleBreach,
ruleBreach.Trades.Get().FirstOrDefault());
await this.Send(ruleBreach, description);
}
private string BuildDescription(
ICancelledOrderRuleEquitiesParameters parameters,
ICancelledOrderRuleBreach ruleBreach,
Order anyOrder)
{
var percentagePositionCancelled = Math.Round(
ruleBreach.PercentagePositionCancelled.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var tradeCountCancelled = Math.Round(
ruleBreach.PercentageTradeCountCancelled.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var positionSizeSegment = this.PositionSizeText(parameters, ruleBreach, percentagePositionCancelled);
var orderRatioSegment = this.OrderRatioText(parameters, ruleBreach, tradeCountCancelled);
var description =
$"Cancelled Order Rule Breach. Traded ({anyOrder?.OrderDirection.GetDescription()}) security {anyOrder?.Instrument?.Name} with excessive cancellations in {parameters.Windows.BackwardWindowSize.TotalMinutes} minute time period.{positionSizeSegment}{orderRatioSegment}";
return(description);
}
