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); }
public void Setup() { _alertStream = A.Fake <IUniverseAlertStream>(); _equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>(); _ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>(); _opCtx = A.Fake <ISystemProcessOperationContext>(); _dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>(); _stubDataRequestRepository = A.Fake <IStubRuleRunDataRequestRepository>(); _equityFactoryCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >(); _equityFactory = new UniverseEquityMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _equityFactoryCache); _fixedIncomeFactoryCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >(); _fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _fixedIncomeFactoryCache); _tradingHoursService = A.Fake <IMarketTradingHoursService>(); _dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>(); this.currencyConverterService = A.Fake <ICurrencyConverterService>(); _logger = A.Fake <ILogger <IHighVolumeRule> >(); _tradingLogger = A.Fake <ILogger <TradingHistoryStack> >(); _orderFilter = A.Fake <IUniverseOrderFilter>(); A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]); A.CallTo(() => _ruleCtx.EndEvent()).Returns(_opCtx); }
public UniverseEquityInterDayCache(IRuleRunDataRequestRepository dataRequestRepository, ILogger logger) { this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository)); this._logger = logger ?? throw new ArgumentNullException(nameof(logger)); this._latestExchangeFrameBook = new ConcurrentDictionary <string, EquityInterDayTimeBarCollection>(); this._marketHistory = new ConcurrentDictionary <string, IEquityInterDayHistoryStack>(); }
public void Setup() { this._awsQueueClient = A.Fake <IAwsQueueClient>(); this._awsConfiguration = A.Fake <IAwsConfiguration>(); this._messageBusSerialiser = A.Fake <IScheduledExecutionMessageBusSerialiser>(); this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>(); this._repository = A.Fake <ISystemProcessOperationRuleRunRepository>(); this._logger = A.Fake <ILogger <ScheduleRulePublisher> >(); }
public void Setup() { this._bmllSynchroniser = A.Fake <IBmllDataSynchroniser>(); this._factsetSynchroniser = A.Fake <IFactsetDataSynchroniser>(); this._markitSynchroniser = A.Fake <IMarkitDataSynchroniser>(); this._dataRequestContext = A.Fake <ISystemProcessOperationThirdPartyDataRequestContext>(); this._scheduleRulePublisher = A.Fake <IScheduleRulePublisher>(); this._repository = A.Fake <IRuleRunDataRequestRepository>(); this._refinitivDataSynchroniser = A.Fake <IRefinitivDataSynchroniser>(); this._logger = A.Fake <ILogger <DataRequestManager> >(); }
public UniverseFixedIncomeMarketCacheFactory( IStubRuleRunDataRequestRepository stubDataRequestRepository, IRuleRunDataRequestRepository dataRequestRepository, ILogger <UniverseFixedIncomeMarketCacheFactory> logger) { this._stubDataRequestRepository = stubDataRequestRepository ?? throw new ArgumentNullException(nameof(stubDataRequestRepository)); this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository)); this._logger = logger ?? throw new ArgumentNullException(nameof(logger)); }
public UniverseFixedIncomeIntraDayCache( TimeSpan windowSize, IRuleRunDataRequestRepository dataRequestRepository, ILogger logger) { this._windowSize = windowSize; this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository)); this._logger = logger ?? throw new ArgumentNullException(nameof(logger)); this._latestExchangeFrameBook = new ConcurrentDictionary <string, FixedIncomeIntraDayTimeBarCollection>(); this._marketHistory = new ConcurrentDictionary <string, IFixedIncomeIntraDayHistoryStack>(); }
public DataRequestManager( IBmllDataSynchroniser bmllSynchroniser, IFactsetDataSynchroniser factsetSynchroniser, IMarkitDataSynchroniser markitSynchroniser, IScheduleRulePublisher rulePublisher, IRuleRunDataRequestRepository dataRequestRepository, IRefinitivDataSynchroniser refinitivDataSynchroniser, ILogger <DataRequestManager> logger) { this._bmllSynchroniser = bmllSynchroniser ?? throw new ArgumentNullException(nameof(bmllSynchroniser)); this._factsetSynchroniser = factsetSynchroniser ?? throw new ArgumentNullException(nameof(factsetSynchroniser)); this._markitSynchroniser = markitSynchroniser ?? throw new ArgumentNullException(nameof(markitSynchroniser)); this._rulePublisher = rulePublisher ?? throw new ArgumentNullException(nameof(rulePublisher)); this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository)); this._refinitivDataSynchroniser = refinitivDataSynchroniser ?? throw new ArgumentNullException(nameof(refinitivDataSynchroniser)); this._logger = logger ?? throw new ArgumentNullException(nameof(logger)); }
public ScheduleRulePublisher( IAwsQueueClient awsQueueClient, IAwsConfiguration awsConfiguration, IRuleRunDataRequestRepository dataRequestRepository, IScheduledExecutionMessageBusSerialiser messageBusSerialiser, ISystemProcessOperationRuleRunRepository ruleRunRepository, ILogger <ScheduleRulePublisher> logger) { this._awsQueueClient = awsQueueClient ?? throw new ArgumentNullException(nameof(awsQueueClient)); this._awsConfiguration = awsConfiguration ?? throw new ArgumentNullException(nameof(awsConfiguration)); this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository)); this._messageBusSerialiser = messageBusSerialiser ?? throw new ArgumentNullException(nameof(messageBusSerialiser)); this._ruleRunRepository = ruleRunRepository ?? throw new ArgumentNullException(nameof(ruleRunRepository)); this._logger = logger ?? throw new ArgumentNullException(nameof(logger)); }
public void Setup() { this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>(); this._parameters = A.Fake <ICancelledOrderRuleEquitiesParameters>(); this._alertStream = A.Fake <IUniverseAlertStream>(); this._equityCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>(); this._fixedIncomeCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>(); this._ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>(); this._stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>(); this._equityLoggerCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >(); this._fixedIncomeLoggerCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >(); this._logger = A.Fake <ILogger <CancelledOrderRule> >(); this._tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >(); this._orderFilter = A.Fake <IUniverseOrderFilter>(); A.CallTo(() => this._orderFilter.Filter(A <IUniverseEvent> .Ignored)) .ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]); }
public void Setup() { _logger = A.Fake <ILogger>(); _tradingLogger = A.Fake <ILogger <TradingHistoryStack> >(); _alertStream = A.Fake <IUniverseAlertStream>(); _ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>(); _operationCtx = A.Fake <ISystemProcessOperationContext>(); _equitiesParameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), 0.2m, null, null, null, false, true); _orderFilter = A.Fake <IUniverseOrderFilter>(); A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]); _ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>(); _stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>(); _equityFactoryLogger = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >(); _equityFactory = new UniverseEquityMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _equityFactoryLogger); _fixedIncomeFactoryLogger = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >(); _fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _fixedIncomeFactoryLogger); _tradingHoursService = A.Fake <IMarketTradingHoursService>(); _tradingHoursRepository = A.Fake <IMarketOpenCloseApiCachingDecorator>(); A.CallTo(() => _tradingHoursRepository.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, } }); A.CallTo(() => _ruleCtx.EndEvent()).Returns(_operationCtx); }
public void Setup() { this._stubDataRequestRepository = A.Fake <IStubRuleRunDataRequestRepository>(); this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>(); this._logger = new NullLogger <UniverseEquityMarketCacheFactory>(); }
public void Setup() { this._requestRepository = A.Fake <IRuleRunDataRequestRepository>(); this._logger = A.Fake <ILogger>(); }
public void Setup() { this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>(); this._logger = A.Fake <ILogger>(); var xlon = new Market("1", "XLON", "XLON", MarketTypes.STOCKEXCHANGE); this._instrument1 = new InstrumentIdentifiers( "1", "1", "1", "client-id-1", "abcd123", "abcd12345678", "abcd12345678", "abc123", "TEST", "TEST INC", "TSTY", "testRic"); this._instrument2 = new InstrumentIdentifiers( "2", "2", "2", "client-id-2", "abcd122", "abcd12345672", "abcd12345672", "abc122", "TES2", "TEST2 INC", "TST2Y", "test2Ric"); this._mdr1 = new MarketDataRequest( "1", "XLON", "entspb", this._instrument1, DateTime.UtcNow, DateTime.UtcNow.AddDays(1), "1", false, DataSource.AnyInterday); this._mdr2 = new MarketDataRequest( "2", "XLON", "entspb", this._instrument1, DateTime.UtcNow.AddDays(-5), DateTime.UtcNow.AddDays(-4), "1", false, DataSource.AnyInterday); this._interdayTimeBarCollectionNasdaq = new EquityInterDayTimeBarCollection( new Market("1", "NASDAQ", "NASDAQ", MarketTypes.STOCKEXCHANGE), DateTime.UtcNow, new EquityInstrumentInterDayTimeBar[0]); this._interdayTimeBarCollectionXlon = new EquityInterDayTimeBarCollection( xlon, DateTime.UtcNow, new[] { new EquityInstrumentInterDayTimeBar( new FinancialInstrument( InstrumentTypes.Equity, this._instrument1, "test", "entspb", "GBX", "TEST"), new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now), DateTime.UtcNow, xlon) }); this._interdayTimeBarCollectionXlon2 = new EquityInterDayTimeBarCollection( xlon, DateTime.UtcNow, new[] { new EquityInstrumentInterDayTimeBar( new FinancialInstrument( InstrumentTypes.Equity, this._instrument2, "test", "entspb", "GBX", "TEST"), new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now), DateTime.UtcNow, xlon) }); }