public void Setup()
{
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._clustering = new ClusteringService();
this._equitiesParameters = A.Fake <IWashTradeRuleEquitiesParameters>();
this._logger = A.Fake <ILogger>();
this._ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
this._stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
this._loggerEquityCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
this._loggerFixedIncomeCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._orderFilter = A.Fake <IUniverseOrderFilter>();
this._equityFactory = new UniverseEquityMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerEquityCache);
this._fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerFixedIncomeCache);
A.CallTo(() => this._orderFilter.Filter(A <IUniverseEvent> .Ignored))
.ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(true);
A.CallTo(() => this._equitiesParameters.ClusteringPercentageValueDifferenceThreshold).Returns(0.05m);
}
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 UniverseEquityInterDayCache(IRuleRunDataRequestRepository dataRequestRepository, ILogger logger)
{
this._dataRequestRepository =
dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._latestExchangeFrameBook = new ConcurrentDictionary <string, EquityInterDayTimeBarCollection>();
this._marketHistory = new ConcurrentDictionary <string, IEquityInterDayHistoryStack>();
}
public void Setup()
{
this._awsQueueClient = A.Fake <IAwsQueueClient>();
this._awsConfiguration = A.Fake <IAwsConfiguration>();
this._messageBusSerialiser = A.Fake <IScheduledExecutionMessageBusSerialiser>();
this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
this._repository = A.Fake <ISystemProcessOperationRuleRunRepository>();
this._logger = A.Fake <ILogger <ScheduleRulePublisher> >();
}
public void Setup()
{
this._bmllSynchroniser = A.Fake <IBmllDataSynchroniser>();
this._factsetSynchroniser = A.Fake <IFactsetDataSynchroniser>();
this._markitSynchroniser = A.Fake <IMarkitDataSynchroniser>();
this._dataRequestContext = A.Fake <ISystemProcessOperationThirdPartyDataRequestContext>();
this._scheduleRulePublisher = A.Fake <IScheduleRulePublisher>();
this._repository = A.Fake <IRuleRunDataRequestRepository>();
this._refinitivDataSynchroniser = A.Fake <IRefinitivDataSynchroniser>();
this._logger = A.Fake <ILogger <DataRequestManager> >();
}
public UniverseFixedIncomeMarketCacheFactory(
IStubRuleRunDataRequestRepository stubDataRequestRepository,
IRuleRunDataRequestRepository dataRequestRepository,
ILogger <UniverseFixedIncomeMarketCacheFactory> logger)
{
this._stubDataRequestRepository = stubDataRequestRepository
?? throw new ArgumentNullException(nameof(stubDataRequestRepository));
this._dataRequestRepository =
dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public UniverseFixedIncomeIntraDayCache(
TimeSpan windowSize,
IRuleRunDataRequestRepository dataRequestRepository,
ILogger logger)
{
this._windowSize = windowSize;
this._dataRequestRepository =
dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._latestExchangeFrameBook = new ConcurrentDictionary <string, FixedIncomeIntraDayTimeBarCollection>();
this._marketHistory = new ConcurrentDictionary <string, IFixedIncomeIntraDayHistoryStack>();
}
public DataRequestManager(
IBmllDataSynchroniser bmllSynchroniser,
IFactsetDataSynchroniser factsetSynchroniser,
IMarkitDataSynchroniser markitSynchroniser,
IScheduleRulePublisher rulePublisher,
IRuleRunDataRequestRepository dataRequestRepository,
IRefinitivDataSynchroniser refinitivDataSynchroniser,
ILogger <DataRequestManager> logger)
{
this._bmllSynchroniser = bmllSynchroniser ?? throw new ArgumentNullException(nameof(bmllSynchroniser));
this._factsetSynchroniser = factsetSynchroniser ?? throw new ArgumentNullException(nameof(factsetSynchroniser));
this._markitSynchroniser = markitSynchroniser ?? throw new ArgumentNullException(nameof(markitSynchroniser));
this._rulePublisher = rulePublisher ?? throw new ArgumentNullException(nameof(rulePublisher));
this._dataRequestRepository = dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository));
this._refinitivDataSynchroniser = refinitivDataSynchroniser ?? throw new ArgumentNullException(nameof(refinitivDataSynchroniser));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public ScheduleRulePublisher(
IAwsQueueClient awsQueueClient,
IAwsConfiguration awsConfiguration,
IRuleRunDataRequestRepository dataRequestRepository,
IScheduledExecutionMessageBusSerialiser messageBusSerialiser,
ISystemProcessOperationRuleRunRepository ruleRunRepository,
ILogger <ScheduleRulePublisher> logger)
{
this._awsQueueClient = awsQueueClient ?? throw new ArgumentNullException(nameof(awsQueueClient));
this._awsConfiguration = awsConfiguration ?? throw new ArgumentNullException(nameof(awsConfiguration));
this._dataRequestRepository =
dataRequestRepository ?? throw new ArgumentNullException(nameof(dataRequestRepository));
this._messageBusSerialiser =
messageBusSerialiser ?? throw new ArgumentNullException(nameof(messageBusSerialiser));
this._ruleRunRepository = ruleRunRepository ?? throw new ArgumentNullException(nameof(ruleRunRepository));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._parameters = A.Fake <ICancelledOrderRuleEquitiesParameters>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._equityCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
this._stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
this._equityLoggerCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
this._fixedIncomeLoggerCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
this._logger = A.Fake <ILogger <CancelledOrderRule> >();
this._tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._orderFilter = A.Fake <IUniverseOrderFilter>();
A.CallTo(() => this._orderFilter.Filter(A <IUniverseEvent> .Ignored))
.ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
}
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 void Setup()
{
this._stubDataRequestRepository = A.Fake <IStubRuleRunDataRequestRepository>();
this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
this._logger = new NullLogger <UniverseEquityMarketCacheFactory>();
}
public void Setup()
{
this._requestRepository = A.Fake <IRuleRunDataRequestRepository>();
this._logger = A.Fake <ILogger>();
}
public void Setup()
{
this._dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
this._logger = A.Fake <ILogger>();
var xlon = new Market("1", "XLON", "XLON", MarketTypes.STOCKEXCHANGE);
this._instrument1 = new InstrumentIdentifiers(
"1",
"1",
"1",
"client-id-1",
"abcd123",
"abcd12345678",
"abcd12345678",
"abc123",
"TEST",
"TEST INC",
"TSTY",
"testRic");
this._instrument2 = new InstrumentIdentifiers(
"2",
"2",
"2",
"client-id-2",
"abcd122",
"abcd12345672",
"abcd12345672",
"abc122",
"TES2",
"TEST2 INC",
"TST2Y",
"test2Ric");
this._mdr1 = new MarketDataRequest(
"1",
"XLON",
"entspb",
this._instrument1,
DateTime.UtcNow,
DateTime.UtcNow.AddDays(1),
"1",
false,
DataSource.AnyInterday);
this._mdr2 = new MarketDataRequest(
"2",
"XLON",
"entspb",
this._instrument1,
DateTime.UtcNow.AddDays(-5),
DateTime.UtcNow.AddDays(-4),
"1",
false,
DataSource.AnyInterday);
this._interdayTimeBarCollectionNasdaq = new EquityInterDayTimeBarCollection(
new Market("1", "NASDAQ", "NASDAQ", MarketTypes.STOCKEXCHANGE),
DateTime.UtcNow,
new EquityInstrumentInterDayTimeBar[0]);
this._interdayTimeBarCollectionXlon = new EquityInterDayTimeBarCollection(
xlon,
DateTime.UtcNow,
new[]
{
new EquityInstrumentInterDayTimeBar(
new FinancialInstrument(
InstrumentTypes.Equity,
this._instrument1,
"test",
"entspb",
"GBX",
"TEST"),
new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now),
DateTime.UtcNow,
xlon)
});
this._interdayTimeBarCollectionXlon2 = new EquityInterDayTimeBarCollection(
xlon,
DateTime.UtcNow,
new[]
{
new EquityInstrumentInterDayTimeBar(
new FinancialInstrument(
InstrumentTypes.Equity,
this._instrument2,
"test",
"entspb",
"GBX",
"TEST"),
new DailySummaryTimeBar(null, null, null, null, new Volume(1), DateTime.Now),
DateTime.UtcNow,
xlon)
});
}
