public SpoofingSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext ?? throw new ArgumentNullException(nameof(scenarioContext));
this._universeSelectionState =
universeSelectionState ?? throw new ArgumentNullException(nameof(universeSelectionState));
this._orderAnalysisService = new OrderAnalysisService();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
var equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
var fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._equityRuleSpoofingFactory = new EquityRuleSpoofingFactory(
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
new UniverseEquityOrderFilterService(new NullLogger <UniverseEquityOrderFilterService>()),
new PortfolioFactory(),
this._orderAnalysisService,
new NullLogger <SpoofingRule>(),
new NullLogger <TradingHistoryStack>());
}
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>());
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeSteps"/> class.
/// </summary>
/// <param name="scenarioContext">
/// The scenario context.
/// </param>
/// <param name="universeSelectionState">
/// The universe selection state.
/// </param>
public FixedIncomeHighVolumeSteps(
ScenarioContext scenarioContext,
UniverseSelectionState universeSelectionState)
{
this.scenarioContext = scenarioContext;
this.universeSelectionState = universeSelectionState;
}
/// <summary>
/// Initializes a new instance of the <see cref="HighProfitSteps"/> class.
/// </summary>
/// <param name="scenarioContext">
/// The scenario context.
/// </param>
/// <param name="universeSelectionState">
/// The universe selection state.
/// </param>
/// <param name="exchangeRateSelection">
/// The exchange rate selection.
/// </param>
public HighProfitSteps(
ScenarioContext scenarioContext,
UniverseSelectionState universeSelectionState,
ExchangeRateSelection exchangeRateSelection)
{
this.scenarioContext = scenarioContext;
this.universeSelectionState = universeSelectionState;
this.exchangeRateSelection = exchangeRateSelection;
}
public UniverseSteps(
ScenarioContext scenarioContext,
UniverseSelectionState universeSelectionState,
SecuritySelection securitySelection)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
this._securitySelection = securitySelection;
}
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 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 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>());
}
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 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 FixedIncomeWashTradeSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
}
