private IReadOnlyCollection <DataGenerationPlan> Plan(
IReadOnlyCollection <string> sedols,
ExchangeDto dto,
DateTime from)
{
if (!sedols?.Any() ?? true)
{
return(new DataGenerationPlan[0]);
}
var result = new List <DataGenerationPlan>();
var i = 1;
foreach (var sedol in sedols)
{
var openTime = from.Add(dto.MarketOpenTime).AddMinutes(i * 60);
var intervalInstruction = new IntervalEquityPriceInstruction(
sedol,
openTime.TimeOfDay,
openTime.TimeOfDay.Add(TimeSpan.FromMinutes(45)),
TimeSpan.FromMinutes(1),
from.Date.Add(openTime.TimeOfDay),
from.Date.Add(openTime.TimeOfDay.Add(TimeSpan.FromMinutes(45))),
PriceManipulation.Increase,
0.03m);
var newPlan = new DataGenerationPlan(sedol, intervalInstruction);
result.Add(newPlan);
i++;
}
return(result);
}
private DataGenerationPlan BuildPlan(IReadOnlyCollection <string> sedols, DateTime from, ExchangeDto dto)
{
if (sedols == null || !sedols.Any())
{
return(new DataGenerationPlan(
null,
new IntervalEquityPriceInstruction(
string.Empty,
TimeSpan.MinValue,
TimeSpan.MinValue,
TimeSpan.FromDays(1),
DateTime.MinValue,
DateTime.MinValue,
PriceManipulation.Consistent,
0m)));
}
var sedol = sedols.FirstOrDefault();
var openTime = from.Add(dto.MarketOpenTime).AddMinutes(60);
var plan = new DataGenerationPlan(
sedol,
new IntervalEquityPriceInstruction(
sedol,
openTime.TimeOfDay,
openTime.TimeOfDay.Add(TimeSpan.FromMinutes(30)),
TimeSpan.FromMinutes(1),
from.Date.Add(openTime.TimeOfDay),
from.Date.Add(openTime.TimeOfDay.Add(TimeSpan.FromMinutes(30))),
PriceManipulation.Increase,
0.01m));
return(plan);
}
public TradingWashTradeProcess(ITradeStrategy <Order> orderStrategy, DataGenerationPlan plan, ILogger logger)
: base(logger, orderStrategy)
{
this._plan = plan;
this._thirdGroupActivation = this._plan.EquityInstructions.TerminationInUtc.AddHours(4);
}
public IOrderDataGenerator Build(DataGenerationPlan plan)
{
return(new TradingWashTradeProcess(new StubTradeStrategy(), plan, this._logger));
}
public PlanEquityStrategy(DataGenerationPlan plan, IEquityDataGeneratorStrategy baseStrategy)
{
this._plan = plan ?? throw new ArgumentNullException(nameof(plan));
this._baseStrategy = baseStrategy ?? throw new ArgumentNullException(nameof(baseStrategy));
}
