/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilterService">
/// The order filter service.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The factory.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public FixedIncomeHighVolumeRule(
IHighVolumeIssuanceRuleFixedIncomeParameters parameters,
IUniverseFixedIncomeOrderFilterService orderFilterService,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IFixedIncomeHighVolumeJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IMarketTradingHoursService tradingHoursService,
RuleRunMode runMode,
ILogger <FixedIncomeHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
parameters.Windows.BackwardWindowSize,
parameters.Windows.BackwardWindowSize,
parameters.Windows.FutureWindowSize,
Rules.FixedIncomeHighVolumeIssuance,
FixedIncomeHighVolumeFactory.Version,
$"{nameof(FixedIncomeHighVolumeRule)}",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.judgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The build rule method to return a new high volume issuance rule with each call.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="judgementService">
/// The judgement service/
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <returns>
/// The <see cref="IFixedIncomeHighVolumeRule"/>.
/// </returns>
public IFixedIncomeHighVolumeRule BuildRule(
IHighVolumeIssuanceRuleFixedIncomeParameters parameters,
ISystemProcessOperationRunRuleContext operationContext,
IFixedIncomeHighVolumeJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode)
{
return(new FixedIncomeHighVolumeRule(
parameters,
this.filterService,
operationContext,
this.equityMarketCacheFactory,
this.fixedIncomeMarketCacheFactory,
judgementService,
dataRequestSubscriber,
this.marketTradingHoursService,
runMode,
this.logger,
this.tradingLogger));
}
/// <summary>
/// The test setup.
/// </summary>
private void Setup()
{
this.orderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.marketTradingHoursService = A.Fake <IMarketTradingHoursService>();
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>());
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 = "Diversity",
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.marketTradingHoursService = new MarketTradingHoursService(repository, new NullLogger <MarketTradingHoursService>());
this.equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this.fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
}
