public SpoofingRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
TimeSpan window,
ITradePosition fulfilledTradePosition,
ITradePosition cancelledTradePosition,
FinancialInstrument security,
Order mostRecentTrade,
ISpoofingRuleEquitiesParameters spoofingEquitiesParameters,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Window = window;
this.Security = security;
this.MostRecentTrade = mostRecentTrade;
var totalTrades = fulfilledTradePosition.Get().ToList();
totalTrades.AddRange(cancelledTradePosition.Get());
this.Trades = new TradePosition(totalTrades);
this.TradesInFulfilledPosition = fulfilledTradePosition;
this.CancelledTrades = cancelledTradePosition;
this.RuleParameterId = spoofingEquitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = spoofingEquitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
public LayeringRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
ILayeringRuleEquitiesParameters equitiesParameters,
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
RuleBreachDescription bidirectionalTradeBreach,
RuleBreachDescription dailyVolumeTradeBreach,
RuleBreachDescription windowVolumeTradeBreach,
RuleBreachDescription priceMovementBreach,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.EquitiesParameters = equitiesParameters;
this.Window = window;
this.Trades = trades;
this.Security = security;
this.BidirectionalTradeBreach = bidirectionalTradeBreach;
this.DailyVolumeTradeBreach = dailyVolumeTradeBreach;
this.WindowVolumeTradeBreach = windowVolumeTradeBreach;
this.PriceMovementBreach = priceMovementBreach;
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
public MarkingTheCloseBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
TimeSpan window,
FinancialInstrument security,
MarketOpenClose marketClose,
ITradePosition tradingPosition,
IMarkingTheCloseEquitiesParameters equitiesParameters,
VolumeBreach dailyBreach,
VolumeBreach windowBreach,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Window = window;
this.Security = security ?? throw new ArgumentNullException(nameof(security));
this.MarketClose = marketClose ?? throw new ArgumentNullException(nameof(marketClose));
this.Trades = tradingPosition ?? new TradePosition(new List <Order>());
this.EquitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.DailyBreach = dailyBreach;
this.WindowBreach = windowBreach;
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// Initializes a new instance of the <see cref="RuleBreach"/> class.
/// </summary>
/// <param name="window">
/// The window.
/// </param>
/// <param name="trades">
/// The trades.
/// </param>
/// <param name="security">
/// The security.
/// </param>
/// <param name="isBackTestRun">
/// The is back test run.
/// </param>
/// <param name="ruleParameterId">
/// The rule parameter id.
/// </param>
/// <param name="systemOperationId">
/// The system operation id.
/// </param>
/// <param name="correlationId">
/// The correlation id.
/// </param>
/// <param name="factorValue">
/// The factor value.
/// </param>
/// <param name="ruleParameter">
/// The rule parameter.
/// </param>
/// <param name="universeDateTime">
/// The universe date time.
/// </param>
/// <param name="description">
/// The description.
/// </param>
/// <param name="caseTitle">
/// The case title.
/// </param>
public RuleBreach(
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
bool isBackTestRun,
string ruleParameterId,
string systemOperationId,
string correlationId,
IFactorValue factorValue,
IRuleParameter ruleParameter,
DateTime universeDateTime,
string description,
string caseTitle)
{
this.Window = window;
this.Trades = trades;
this.Security = security;
this.IsBackTestRun = isBackTestRun;
this.RuleParameterId = ruleParameterId;
this.SystemOperationId = systemOperationId;
this.CorrelationId = correlationId;
this.FactorValue = factorValue;
this.RuleParameters = ruleParameter;
this.UniverseDateTime = universeDateTime;
this.Description = description;
this.CaseTitle = caseTitle;
}
public RampingRuleBreach(
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
string ruleParameterId,
string systemOperationId,
string correlationId,
IFactorValue factorValue,
IRampingStrategySummaryPanel summaryPanel,
IRampingRuleEquitiesParameters parameters,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.Window = window;
this.Trades = trades;
this.Security = security;
this.RuleParameterId = ruleParameterId ?? string.Empty;
this.SystemOperationId = systemOperationId ?? string.Empty;
this.CorrelationId = correlationId ?? string.Empty;
this.FactorValue = factorValue;
this.SummaryPanel = summaryPanel;
this.RuleParameters = parameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
public PlacingOrderWithNoIntentToExecuteRuleRuleBreach(
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
IFactorValue factorValue,
decimal meanPrice,
decimal sdPrice,
IReadOnlyCollection <ProbabilityOfExecution> probabilityForOrders,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
ISystemProcessOperationRunRuleContext ctx,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.Window = window;
this.Trades = trades;
this.Security = security;
this.FactorValue = factorValue;
this.Parameters = parameters;
this.MeanPrice = meanPrice;
this.StandardDeviationPrice = sdPrice;
this.ProbabilityForOrders = probabilityForOrders ?? new List <ProbabilityOfExecution>();
this.RuleParameterId = parameters.Id;
this.SystemOperationId = ctx.Id();
this.CorrelationId = ctx.CorrelationId();
this.RuleParameters = parameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
public WashTradeRuleBreach(
TimeSpan windowSize,
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
IWashTradeRuleParameters equitiesParameters,
ITradePosition tradePosition,
FinancialInstrument security,
WashTradeAveragePositionBreach averagePositionBreach,
WashTradeClusteringPositionBreach clusteringPositionBreach,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.EquitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.Window = windowSize;
this.Trades = tradePosition;
this.Security = security;
this.AveragePositionBreach =
averagePositionBreach ?? throw new ArgumentNullException(nameof(averagePositionBreach));
this.ClusteringPositionBreach = clusteringPositionBreach
?? throw new ArgumentNullException(nameof(clusteringPositionBreach));
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var clone = (PlacingOrdersWithNoIntentToExecuteRule)Clone();
clone.OrganisationFactorValue = factor;
return(clone);
}
/// <summary>
/// Typed cloning for factor value splitting over values i.e. fund a, fund b
/// </summary>
/// <param name="factor">fund a</param>
/// <returns>a shallow clone of the rule</returns>
public virtual IUniverseCloneableRule Clone(IFactorValue factor)
{
var clone = (FixedIncomeHighProfitsStreamRule)this.Clone();
clone.OrganisationFactorValue = factor;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var clone = (FixedIncomeWashTradeRule)this.Clone();
clone.OrganisationFactorValue = factor;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var clone = (RampingRule)Clone();
clone.OrganisationFactorValue = factor;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="value">
/// The value.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue value)
{
var clone = (WashTradeRule)this.Clone();
clone.OrganisationFactorValue = value;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var clone = (CancelledOrderRule)this.Clone();
clone.OrganisationFactorValue = factor;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factorValue">
/// The factor value.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public override IUniverseCloneableRule Clone(IFactorValue factorValue)
{
var clone = (HighProfitMarketClosureRule)this.MemberwiseClone();
clone.BaseClone();
clone.OrganisationFactorValue = factorValue;
return(clone);
}
/// <summary>
/// The clone.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var cloneRule = new HighProfitsRule(
this.equitiesParameters,
(IHighProfitStreamRule)this.streamRule.Clone(factor),
(IHighProfitMarketClosureRule)this.marketClosureRule.Clone(factor),
this.logger);
cloneRule.OrganisationFactorValue = factor;
return(cloneRule);
}
/// <summary>
/// The cloning support for factor values.
/// </summary>
/// <param name="factor">
/// The factor.
/// </param>
/// <returns>
/// The <see cref="IUniverseCloneableRule"/>.
/// </returns>
public IUniverseCloneableRule Clone(IFactorValue factor)
{
var cloneRule = new FixedIncomeHighProfitsRule(
this.fixedIncomeParameters,
this.streamRule.Clone(factor) as IFixedIncomeHighProfitsStreamRule,
this.marketClosureRule.Clone(factor) as IFixedIncomeHighProfitsMarketClosureRule,
this.logger);
cloneRule.OrganisationFactorValue = factor;
return(cloneRule);
}
public CancelledOrderRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext ctx,
string correlationId,
ICancelledOrderRuleEquitiesParameters parameters,
ITradePosition trades,
FinancialInstrument security,
bool exceededPercentagePositionCancellations,
decimal?percentagePositionCancelled,
int?amountOfPositionCancelled,
int?amountOfPositionInTotal,
bool exceededPercentageTradeCountCancellations,
decimal?percentageTradeCountCancelled,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Parameters = parameters;
this.Trades = trades;
this.Security = security;
this.ExceededPercentagePositionCancellations = exceededPercentagePositionCancellations;
this.PercentagePositionCancelled = percentagePositionCancelled;
this.AmountOfPositionCancelled = amountOfPositionCancelled;
this.AmountOfPositionInTotal = amountOfPositionInTotal;
this.ExceededPercentageTradeCountCancellations = exceededPercentageTradeCountCancellations;
this.PercentageTradeCountCancelled = percentageTradeCountCancelled;
this.Window = parameters.Windows.BackwardWindowSize;
this.RuleParameterId = this.Parameters?.Id ?? string.Empty;
this.SystemOperationId = ctx.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = this.Parameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
public HighVolumeRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
IHighVolumeRuleEquitiesParameters equitiesParameters,
BreachDetails dailyBreach,
BreachDetails windowBreach,
BreachDetails marketCapBreach,
decimal totalOrdersTradedInWindow,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Window = window;
this.Trades = trades;
this.Security = security;
this.EquitiesParameters = equitiesParameters;
this.DailyBreach = dailyBreach;
this.WindowBreach = windowBreach;
this.MarketCapBreach = marketCapBreach;
this.TotalOrdersTradedInWindow = totalOrdersTradedInWindow;
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
