public void InitiateTrading(IStockExchangeStream stockStream, IOrderStream <Order> tradeStream)
{
lock (this._stateTransition)
{
if (stockStream == null)
{
this.Logger.Log(
LogLevel.Error,
"Initiation attempt in order data generator with null stock stream");
return;
}
if (tradeStream == null)
{
this.Logger.Log(
LogLevel.Error,
"Initiation attempt in order data generator with null trade stream");
return;
}
if (this._generatorExecuting)
{
this.Logger.LogInformation("Initiating new trading with predecessor active");
this._TerminateTrading();
}
this.Logger.LogInformation("Order data generator initiated with new stock stream");
this.StockStream = stockStream;
this.TradeStream = tradeStream;
this._unsubscriber = stockStream.Subscribe(this);
this._generatorExecuting = true;
this._InitiateTrading();
}
}
public void ExecuteTradeStrategy(EquityIntraDayTimeBarCollection frame, IOrderStream <Order> tradeOrders)
{
if (tradeOrders == null)
{
this._logger.Log(LogLevel.Error, "Received a null trade orders in the markov trade strategy");
throw new ArgumentNullException(nameof(tradeOrders));
}
if (frame == null)
{
this._logger.LogInformation("A null frame was passed to the markov trade strategy");
return;
}
if (frame.Securities == null || frame.Securities.All(sec => sec == null))
{
this._logger.LogInformation(
"No securities were present on the exchange frame in the markov trade strategy");
return;
}
var tradableSecurities = frame.Securities.Where(sec => sec != null).ToList();
var numberOfTradeOrders = this._tradeVolumeStrategy.CalculateSecuritiesToTrade(tradableSecurities);
if (numberOfTradeOrders <= 0)
{
this._logger.LogInformation("Markov trading strategy decided not to trade on this frame");
return;
}
this.GenerateAndSubmitTrades(frame, tradeOrders, numberOfTradeOrders);
}
public void Setup()
{
this._unsubscriber = A.Fake <IDisposable>();
this._stockStream = A.Fake <IStockExchangeStream>();
this._tradeStream = A.Fake <IOrderStream <Order> >();
this._tradeStrategy = A.Fake <ITradeStrategy <Order> >();
this._logger = A.Fake <ILogger>();
A.CallTo(() => this._stockStream.Subscribe(A <IObserver <EquityIntraDayTimeBarCollection> > .Ignored))
.Returns(this._unsubscriber);
}
/// <summary>
/// Avoid dead locks with initiation terminating old trades
/// </summary>
private void _TerminateTrading()
{
this.Logger.LogInformation("Order data generator terminating trading");
this._unsubscriber?.Dispose();
this.StockStream = null;
this.TradeStream = null;
this._generatorExecuting = false;
this._TerminateTradingStrategy();
}
private void GenerateAndSubmitTrades(
EquityIntraDayTimeBarCollection frame,
IOrderStream <Order> tradeOrders,
int numberOfTradeOrders)
{
var securitiesToTradeIds = this.SecuritiesToTrade(frame, numberOfTradeOrders);
var securitiesToTrade = securitiesToTradeIds.Select(sec => frame.Securities.ElementAt(sec)).ToList();
var trades = securitiesToTrade.Select(sec => this.GenerateTrade(sec, frame)).Where(trade => trade != null)
.ToList();
foreach (var trade in trades)
{
tradeOrders.Add(trade);
}
this._logger.LogInformation($"Submitted {trades.Count} trade orders in frame");
}
public void InitiateTrading(IStockExchangeStream stockStream, IOrderStream <Order> tradeStream)
{
this._unsubscriber = stockStream.Subscribe(this);
this._stream = this._streamFactory.Create();
this._baseGenerator.InitiateTrading(this._stream, tradeStream);
}
public void ExecuteTradeStrategy(EquityIntraDayTimeBarCollection tick, IOrderStream <Order> tradeOrders)
{
}
