/// <summary>
/// The run post order event.
/// </summary>
/// <param name="history">
/// The history.
/// </param>
protected override void RunPostOrderEvent(ITradingHistoryStack history)
{
var activeTrades = history.ActiveTradeHistory();
if (!activeTrades.Any())
{
return;
}
var liveTrades = this.FilterByClientAccount(
history.ActiveTradeHistory().Pop(),
history.ActiveTradeHistory());
if (!liveTrades?.Any() ?? true)
{
return;
}
var tradePosition = new TradePosition(
this.FilterByClientAccount(history.ActiveTradeHistory().Pop(), history.ActiveTradeHistory()));
// Net change analysis
var averagePositionCheckTask = this.NettingTrades(liveTrades);
averagePositionCheckTask.Wait();
var averagePositionCheck = averagePositionCheckTask.Result;
// Clustering trade analysis
var clusteringPositionCheck = this.ClusteringTrades(liveTrades);
if ((averagePositionCheck == null || !averagePositionCheck.AveragePositionRuleBreach) &&
(clusteringPositionCheck == null || !clusteringPositionCheck.ClusteringPositionBreach))
{
return;
}
var security = liveTrades?.FirstOrDefault()?.Instrument;
this.logger.LogInformation(
$"incrementing alerts because of security {security?.Name} at {this.UniverseDateTime}");
// wrong but should be a judgement anyway
var breach = new WashTradeRuleBreach(
this.equitiesParameters.Windows.BackwardWindowSize,
this.OrganisationFactorValue,
this.RuleCtx.SystemProcessOperationContext(),
this.RuleCtx.CorrelationId(),
this.equitiesParameters,
tradePosition,
security,
averagePositionCheck,
clusteringPositionCheck,
null,
null,
this.UniverseDateTime);
var universeAlert = new UniverseAlertEvent(Rules.WashTrade, breach, this.RuleCtx);
this.alertStream.Add(universeAlert);
}
/// <summary>
/// The run post order event.
/// </summary>
/// <param name="history">
/// The history.
/// </param>
protected override void RunPostOrderEvent(ITradingHistoryStack history)
{
this.logger.LogInformation($"RunPostOrderEvent called at {this.UniverseDateTime}");
var filteredOrders = this.FilterByClientAccount(
history.ActiveTradeHistory().Any() ? history.ActiveTradeHistory().Peek() : null,
history.ActiveTradeHistory().ToList());
var clusteringAnalysis = this.ClusteringAnalysis(filteredOrders);
var averageNettingAnalysis = this.NettingTrades(filteredOrders);
if ((clusteringAnalysis == null || !clusteringAnalysis.ClusteringPositionBreach) &&
(averageNettingAnalysis == null || !averageNettingAnalysis.AveragePositionRuleBreach))
{
return;
}
var security = filteredOrders?.FirstOrDefault()?.Instrument;
// wrong but should be a judgement anyway
var breach = new WashTradeRuleBreach(
this.parameters.Windows.BackwardWindowSize,
this.OrganisationFactorValue,
this.RuleCtx.SystemProcessOperationContext(),
this.RuleCtx.CorrelationId(),
this.parameters,
new TradePosition(filteredOrders),
security,
averageNettingAnalysis,
clusteringAnalysis,
null,
null,
this.UniverseDateTime);
var universeAlert = new UniverseAlertEvent(Rules.FixedIncomeWashTrades, breach, this.RuleCtx);
this.alertStream.Add(universeAlert);
this.logger.LogInformation($"RunPostOrderEvent completed for {this.UniverseDateTime}");
}
