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 void RunRule_RaisesAlertInEschaton_WhenBidirectionalTrade()
{
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, null, null, null, false, true);
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(-1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedTwiceExactly();
}
public HighMarketCapFilter(
IUniverseEquityMarketCacheFactory factory,
RuleRunMode ruleRunMode,
DecimalRangeRuleFilter marketCap,
IMarketTradingHoursService tradingHoursService,
ISystemProcessOperationRunRuleContext operationRunRuleContext,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ICurrencyConverterService currencyConverterService,
string ruleName,
ILogger <HighMarketCapFilter> logger
)
{
_universeEquityInterdayCache =
factory?.BuildInterday(ruleRunMode)
?? throw new ArgumentNullException(nameof(factory));
_ruleRunMode = ruleRunMode;
_marketCapFilter = marketCap ?? DecimalRangeRuleFilter.None();
_tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
_operationRunRuleContext = operationRunRuleContext ?? throw new ArgumentNullException(nameof(operationRunRuleContext));
_universeDataRequestsSubscriber = universeDataRequestsSubscriber;
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
_name = ruleName;
_logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="PlacingOrdersWithNoIntentToExecuteRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </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 PlacingOrdersWithNoIntentToExecuteRule(
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
IUniverseOrderFilter orderFilter,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IMarketTradingHoursService tradingHoursService,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
TimeSpan.FromHours(24),
TimeSpan.FromHours(24),
TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.PlacingOrderWithNoIntentToExecute,
EquityRulePlacingOrdersWithoutIntentToExecuteFactory.Version,
"Placing Orders With No Intent To Execute Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingStackLogger)
{
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
/// <summary>
/// Initializes a new instance of the <see cref="HighVolumeRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </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="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="currencyConverterService">
/// The currency converter service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public HighVolumeRule(
IHighVolumeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext operationContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <IHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.HighVolume,
EquityRuleHighVolumeFactory.Version,
"High Volume Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.EquitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.AlertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.OrderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.TradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.DataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.CurrencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public RevenueMarkingCloseCalculator(
IMarketTradingHoursService tradingHoursService,
ICurrencyConverterService currencyConverterService,
ILogger <RevenueCalculator> logger)
: base(tradingHoursService, currencyConverterService, logger)
{
}
/// <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>
/// Initializes a new instance of the <see cref="MarkingTheCloseRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </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="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public MarkingTheCloseRule(
IMarkingTheCloseEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode,
ILogger <MarkingTheCloseRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.FromMinutes(30),
Domain.Surveillance.Scheduling.Rules.MarkingTheClose,
EquityRuleMarkingTheCloseFactory.Version,
"Marking The Close",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="LayeringRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="operationContext">
/// The op context.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public LayeringRule(
ILayeringRuleEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
ILogger logger,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
ISystemProcessOperationRunRuleContext operationContext,
RuleRunMode runMode,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.Layering,
EquityRuleLayeringFactory.Version,
"Layering Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.ruleContext = operationContext ?? throw new ArgumentNullException(nameof(operationContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
}
public RevenueCurrencyConvertingMarkingCloseCalculator(
Domain.Core.Financial.Money.Currency targetCurrency,
ICurrencyConverterService currencyConverterService,
IMarketTradingHoursService tradingHoursService,
ILogger <RevenueCurrencyConvertingCalculator> logger)
: base(targetCurrency, currencyConverterService, tradingHoursService, logger)
{
}
/// <summary>
/// Initializes a new instance of the <see cref="RevenueCalculator"/> class.
/// </summary>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
public RevenueCalculator(
IMarketTradingHoursService tradingHoursService,
ICurrencyConverterService currencyConverterService,
ILogger <RevenueCalculator> logger)
{
this.TradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.CurrencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
this.parameters = A.Fake <IHighVolumeIssuanceRuleFixedIncomeParameters>();
this.fixedIncomeOrderFile = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this.fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this.marketTradingHoursService = A.Fake <IMarketTradingHoursService>();
this.tradingStackLogger = new NullLogger <TradingHistoryStack>();
}
public void RunRule_DoesNotRaiseAlertInEschaton_WhenBidirectionalTradeAndDoesNotExceedsWindowThreshold_AndNoMarketData()
{
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, 0.1m, null, null, false, true);
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 100;
tradeSell.OrderFilledVolume = 100;
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var marketData = new EquityIntraDayTimeBarCollection(market, tradeBuy.PlacedDate.Value.AddSeconds(-55),
new List <EquityInstrumentIntraDayTimeBar>
{
new EquityInstrumentIntraDayTimeBar(
tradeBuy.Instrument,
new SpreadTimeBar(
tradeBuy.OrderAverageFillPrice.Value,
tradeSell.OrderAverageFillPrice.Value,
tradeSell.OrderAverageFillPrice.Value,
new Volume(2000)),
new DailySummaryTimeBar(
1000,
"USD",
new IntradayPrices(tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value,
tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value),
1000,
new Volume(2000),
tradeBuy.PlacedDate.Value.AddSeconds(-55)),
tradeBuy.PlacedDate.Value.AddSeconds(-55),
market)
});
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var marketDataEvent = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, tradeBuy.PlacedDate.Value.AddSeconds(-55), marketData);
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(marketDataEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedOnceExactly();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
}
public void Setup()
{
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._ruleRunContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this._ruleRunMode = RuleRunMode.ValidationRun;
this._universeOrderFilter = A.Fake <IUniverseOrderFilter>();
this._timeWindows = new TimeWindows("id-1", TimeSpan.FromDays(1));
this._decimalRangeRuleFilter = new DecimalRangeRuleFilter();
this._marketTradingHoursService = A.Fake <IMarketTradingHoursService>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._baseLogger = A.Fake <ILogger>();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._logger = A.Fake <ILogger <HighVolumeVenueFilter> >();
A.CallTo(() => this._universeOrderFilter.Filter(A <IUniverseEvent> .Ignored))
.ReturnsLazily(_ => _.Arguments.First() as IUniverseEvent);
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>());
}
public RevenueCurrencyConvertingCalculator(
Domain.Core.Financial.Money.Currency targetCurrency,
ICurrencyConverterService currencyConverterService,
IMarketTradingHoursService tradingHoursService,
ILogger <RevenueCurrencyConvertingCalculator> logger)
{
_targetCurrency = targetCurrency;
_currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
TradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public HighMarketCapFilterFactory(
ICurrencyConverterService currencyConverterService,
IUniverseEquityMarketCacheFactory universeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
ILoggerFactory loggerFactory)
{
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
_universeMarketCacheFactory = universeMarketCacheFactory ?? throw new ArgumentNullException(nameof(universeMarketCacheFactory));
_tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
_loggerFactory = loggerFactory ?? throw new ArgumentNullException(nameof(loggerFactory));
}
public void Setup()
{
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._logger = A.Fake <ILogger <EquityRuleLayeringFactory> >();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._equitiesParameters = A.Fake <ILayeringRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void SetUp()
{
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_universeMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
_universeEquityInterDayCache = A.Fake <IUniverseEquityInterDayCache>();
_universeDataRequestsSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
A.CallTo(() => _universeMarketCacheFactory.BuildInterday(Engine.Rules.Rules.RuleRunMode.ValidationRun))
.Returns(_universeEquityInterDayCache);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_operationRunRuleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
_logger = A.Fake <ILogger <HighMarketCapFilter> >();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._logger = new NullLogger <MarkingTheCloseRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._equitiesParameters = A.Fake <IMarkingTheCloseEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
_orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
_equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
_fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_logger = A.Fake <ILogger <IHighVolumeRule> >();
_tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
_equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>();
_opCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_alertStream = A.Fake <IUniverseAlertStream>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
}
public EquityRuleHighVolumeFactory(
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ICurrencyConverterService currencyConverterService,
ILogger <IHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this.fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHistoryLogger = tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeFactory"/> class.
/// </summary>
/// <param name="filterService">
/// The filter service.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingLogger">
/// The trading logger.
/// </param>
/// <param name="marketTradingHoursService">
/// The trading hours service.
/// </param>
public FixedIncomeHighVolumeFactory(
IUniverseFixedIncomeOrderFilterService filterService,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
ILogger <FixedIncomeHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingLogger,
IMarketTradingHoursService marketTradingHoursService)
{
this.filterService = filterService ?? throw new ArgumentNullException(nameof(filterService));
this.equityMarketCacheFactory =
equityMarketCacheFactory ?? throw new ArgumentNullException(nameof(this.equityMarketCacheFactory));
this.fixedIncomeMarketCacheFactory =
fixedIncomeMarketCacheFactory ?? throw new ArgumentNullException(nameof(this.fixedIncomeMarketCacheFactory));
this.marketTradingHoursService = marketTradingHoursService ?? throw new ArgumentNullException(nameof(marketTradingHoursService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingLogger = tradingLogger ?? throw new ArgumentNullException(nameof(tradingLogger));
}
public void RunRule_DoesNotRaiseAlertInEschaton_WhenBidirectionalTradeAndNoPriceMovementData()
{
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, null, true, null, false, true);
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 300;
tradeSell.OrderFilledVolume = 5;
tradeBuy.PlacedDate = new DateTime(2018, 10, 14, 10, 30, 0);
tradeSell.PlacedDate = tradeBuy.PlacedDate.Value.AddSeconds(30);
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var initialPrice = tradeBuy.OrderAverageFillPrice.Value.Value;
var marketData5 = SetExchangeFrameToPrice(market, tradeBuy, tradeSell, initialPrice * 1.2m, tradeSell.PlacedDate.Value.AddSeconds(5));
var marketData6 = SetExchangeFrameToPrice(market, tradeBuy, tradeSell, initialPrice * 1.25m, tradeSell.PlacedDate.Value.AddSeconds(10));
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var marketDataEvent5 = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, marketData5.Epoch, marketData5);
var marketDataEvent6 = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, marketData6.Epoch, marketData6);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(marketDataEvent5);
rule.OnNext(marketDataEvent6);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedOnceExactly();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
}
public EquityRuleMarkingTheCloseFactory(
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ILogger <MarkingTheCloseRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._tradingHoursService =
tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
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 HighVolumeVenueDecoratorFilterFactory(
IUniverseEquityOrderFilterService equityOrderFilterService,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService marketTradingHoursService,
ILogger <TradingHistoryStack> tradingHistoryLogger,
ILogger <HighVolumeVenueFilter> venueLogger)
{
this._equityOrderFilterService = equityOrderFilterService
?? throw new ArgumentNullException(nameof(equityOrderFilterService));
this._equityMarketCacheFactory = equityMarketCacheFactory
?? throw new ArgumentNullException(nameof(equityMarketCacheFactory));
this._fixedIncomeMarketCacheFactory = fixedIncomeMarketCacheFactory
?? throw new ArgumentNullException(nameof(fixedIncomeMarketCacheFactory));
this._marketTradingHoursService = marketTradingHoursService
?? throw new ArgumentNullException(nameof(marketTradingHoursService));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._venueLogger = venueLogger ?? throw new ArgumentNullException(nameof(venueLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="HighVolumeVenueFilter"/> class.
/// </summary>
/// <param name="timeWindows">
/// The time windows.
/// </param>
/// <param name="decimalRangeRuleFilter">
/// The decimal range rule filter.
/// </param>
/// <param name="universeOrderFilter">
/// The universe order filter.
/// </param>
/// <param name="runRuleContext">
/// The run rule context.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The universe market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The universe market cache factory.
/// </param>
/// <param name="ruleRunMode">
/// The rule run mode.
/// </param>
/// <param name="marketTradingHoursService">
/// The market trading hours service.
/// </param>
/// <param name="dataRequestsSubscriber">
/// The data requests subscriber.
/// </param>
/// <param name="source">
/// The source.
/// </param>
/// <param name="stackLogger">
/// The stack logger.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
public HighVolumeVenueFilter(
TimeWindows timeWindows,
DecimalRangeRuleFilter decimalRangeRuleFilter,
IUniverseOrderFilter universeOrderFilter,
ISystemProcessOperationRunRuleContext runRuleContext,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode ruleRunMode,
IMarketTradingHoursService marketTradingHoursService,
IUniverseDataRequestsSubscriber dataRequestsSubscriber,
DataSource source,
ILogger <TradingHistoryStack> stackLogger,
ILogger <HighVolumeVenueFilter> logger)
: base(
timeWindows.BackwardWindowSize,
timeWindows.BackwardWindowSize,
timeWindows.FutureWindowSize,
Domain.Surveillance.Scheduling.Rules.UniverseFilter,
Versioner.Version(1, 0),
nameof(HighVolumeVenueFilter),
runRuleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
ruleRunMode,
logger,
stackLogger)
{
this.eventExpiration = this.TradeBackwardWindowSize + this.TradeBackwardWindowSize + TimeSpan.FromDays(3);
this.tradingHoursService = marketTradingHoursService ?? throw new ArgumentNullException(nameof(marketTradingHoursService));
this.decimalRangeRuleFilter = decimalRangeRuleFilter ?? DecimalRangeRuleFilter.None();
this.orderFilter = universeOrderFilter ?? throw new ArgumentNullException(nameof(universeOrderFilter));
this.dataRequestSubscriber = dataRequestsSubscriber ?? throw new ArgumentNullException(nameof(dataRequestsSubscriber));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.UniverseEventsPassedFilter = new HashSet <Order>();
this.source = source;
}
/// <summary>
/// Initializes a new instance of the <see cref="RampingRule"/> class.
/// </summary>
/// <param name="rampingParameters">
/// The ramping parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The factory.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="rampingAnalyzer">
/// The ramping analyzer.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public RampingRule(
IRampingRuleEquitiesParameters rampingParameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IUniverseOrderFilter orderFilter,
RuleRunMode runMode,
IRampingAnalyser rampingAnalyzer,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
rampingParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(7),
TimeSpan.FromDays(30),
rampingParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.Ramping,
EquityRuleRampingFactory.Version,
"Ramping Rule",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.rampingParameters = rampingParameters ?? throw new ArgumentNullException(nameof(rampingParameters));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.rampingAnalyzer = rampingAnalyzer ?? throw new ArgumentNullException(nameof(rampingAnalyzer));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
}
/// <summary>
/// The test setup.
/// </summary>
private void Setup()
{
this.tradingHoursService = A.Fake <IMarketTradingHoursService>();
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("XLON")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(16),
IsValid = true,
Mic = "XLON",
OpenOffsetInUtc = TimeSpan.FromHours(8)
});
A.CallTo(() => this.tradingHoursService.GetTradingHoursForMic("NASDAQ")).Returns(
new TradingHours
{
CloseOffsetInUtc = TimeSpan.FromHours(23),
IsValid = true,
Mic = "NASDAQ",
OpenOffsetInUtc = TimeSpan.FromHours(15)
});
this.equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this.fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this.universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this.logger = new NullLogger <HighProfitsRule>();
this.tradingLogger = new NullLogger <TradingHistoryStack>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
this.costCalculatorFactory = new CostCalculatorFactory(
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <CostCalculator>(),
new NullLogger <CostCurrencyConvertingCalculator>());
this.revenueCalculatorFactory = new RevenueCalculatorFactory(
this.tradingHoursService,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
new NullLogger <RevenueCurrencyConvertingCalculator>(),
new NullLogger <RevenueCalculator>());
this.equityRuleHighProfitFactory = new EquityRuleHighProfitFactory(
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.universeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeMarketCacheFactory,
this.marketDataCacheStrategyFactory,
new CurrencyConverterService(
this.exchangeRateSelection.ExchangeRateRepository,
new NullLogger <CurrencyConverterService>()),
this.logger,
this.tradingLogger);
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>());
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.marketDataCacheStrategyFactory = new EquityMarketDataCacheStrategyFactory();
}
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);
}