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>());
}
/// <summary>
/// Initializes a new instance of the <see cref="SpoofingRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule 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="runMode">
/// The run mode.
/// </param>
/// <param name="portfolioFactory">
/// The portfolio factory.
/// </param>
/// <param name="analysisService">
/// The analysis service.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public SpoofingRule(
ISpoofingRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.Spoofing,
EquityRuleSpoofingFactory.Version,
"Spoofing Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this.analysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._orderAnalysisService = A.Fake <IOrderAnalysisService>();
this._logger = new NullLogger <SpoofingRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._spoofingEquitiesParameters = A.Fake <ISpoofingRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public EquityRuleSpoofingFactory(
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IUniverseEquityOrderFilterService orderFilterService,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger <SpoofingRule> 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._portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this._orderAnalysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
public LayeringSteps(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>());
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._equityRuleLayeringFactory = new EquityRuleLayeringFactory(
new UniverseEquityOrderFilterService(new NullLogger <UniverseEquityOrderFilterService>()),
_tradingHoursService,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
new NullLogger <EquityRuleLayeringFactory>(),
new NullLogger <TradingHistoryStack>());
}
