public async Task Send(IPlacingOrdersWithNoIntentToExecuteRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
this.Logger?.LogInformation(
"SpoofingRuleMessageSender Send received a null rule breach for op ctx. Returning.");
return;
}
var description = this.BuildDescription(ruleBreach);
await this.Send(ruleBreach, description);
}
public void Send(IPlacingOrdersWithNoIntentToExecuteRuleBreach ruleBreach)
{
if (ruleBreach == null)
{
// ReSharper disable once InconsistentlySynchronizedField
this._logger.LogInformation("received a null rule breach. Returning.");
return;
}
lock (this._lock)
{
this._logger.LogInformation($"received rule breach for {ruleBreach.Security.Identifiers}");
var duplicates = this._messages.Where(msg => msg.Trades.PositionIsSubsetOf(ruleBreach.Trades)).ToList();
this._messages = this._messages.Except(duplicates).ToList();
this._messages.Add(ruleBreach);
}
}
private string BuildDescription(IPlacingOrdersWithNoIntentToExecuteRuleBreach ruleBreach)
{
var sdBreakdown =
ruleBreach?.ProbabilityForOrders?.Select(_ => _.Sd).GroupBy(_ => (int)_)
.Select(_ => new StandardDeviationCount(_.Count(), _.Key)).ToList()
?? new List <StandardDeviationCount>();
var sdBreakdownText = !sdBreakdown.Any()
? string.Empty
: sdBreakdown.Aggregate(
string.Empty,
(a, b) => $"{a} SD-{b.StandardDeviation} Trades-{b.Count}");
var fullSdText = !sdBreakdown.Any()
? string.Empty
: $"The distribution of trades by standard deviation from the mean was {sdBreakdownText}.";
var description =
$"Placing Orders With No Intent To Execute Rule Breach. Traded {ruleBreach?.Trades?.Get()?.Count} trades separately over configured sigma {ruleBreach?.Parameters?.Sigma} probability of reaching their limit price. The standard deviation for the trading day was {ruleBreach?.StandardDeviationPrice} and the mean price was {ruleBreach?.MeanPrice}. {fullSdText}";
return(description);
}
