/// <summary>
/// The decorate with filters.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="highProfits">
/// The high profits.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="processOperationRunRuleContext">
/// The process operation run rule context.
/// </param>
/// <param name="ruleRunMode">
/// The rule run mode.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule DecorateWithFilters(
ISystemProcessOperationContext operationContext,
IHighProfitsRuleFixedIncomeParameters parameters,
IUniverseRule highProfits,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISystemProcessOperationRunRuleContext processOperationRunRuleContext,
RuleRunMode ruleRunMode)
{
if (parameters.HasInternalFilters())
{
this.logger.LogInformation($"parameters had filters. Inserting filtered universe in {operationContext.Id} OpCtx");
var filteredUniverse = this.universeFilterFactory.Build(
highProfits,
parameters.Accounts,
parameters.Traders,
parameters.Markets,
parameters.Funds,
parameters.Strategies,
null,
null,
null,
null,
null,
ruleRunMode,
"High Profits Fixed Income",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
filteredUniverse.Subscribe(highProfits);
return(filteredUniverse);
}
return(highProfits);
}
public void Setup()
{
this.fixedIncomeHighProfitJudgement = A.Fake <IFixedIncomeHighProfitJudgement>();
this.ruleBreachContext = A.Fake <IRuleBreachContext>();
this.fixedIncomeParameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.profitBreakdown = A.Fake <IExchangeRateProfitBreakdown>();
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsMarketClosureRule"/> class.
/// </summary>
/// <param name="fixedIncomeParameters">
/// The fixed income parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="marketDataCacheFactory">
/// The market data cache factory.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public FixedIncomeHighProfitsMarketClosureRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseFixedIncomeOrderFilterService orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IFixedIncomeHighProfitJudgementService judgementService,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
fixedIncomeParameters,
ruleContext,
costCalculatorFactory,
revenueCalculatorFactory,
exchangeRateProfitCalculator,
orderFilter,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
marketDataCacheFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
logger,
tradingHistoryLogger)
{
this.MarketClosureRule = true;
}
public void Setup()
{
this.streamRule = A.Fake <IFixedIncomeHighProfitsStreamRule>();
this.marketClosureRule = A.Fake <IFixedIncomeHighProfitsMarketClosureRule>();
this.parameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.logger = A.Fake <ILogger <FixedIncomeHighProfitsRule> >();
this.universeEvent = A.Fake <IUniverseEvent>();
}
public void Setup()
{
this.logger = A.Fake <ILogger <FixedIncomeHighProfitJudgementMapper> >();
this.judgementContext = A.Fake <IFixedIncomeHighProfitJudgementContext>();
this.ruleBreachContext = A.Fake <IRuleBreachContext>();
this.parameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.profitBreakdown = A.Fake <IExchangeRateProfitBreakdown>();
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsStreamRule"/> class.
/// Constructor for the high profits stream rule
/// </summary>
/// <param name="fixedIncomeParameters">
/// parameters from the client service user interface
/// </param>
/// <param name="ruleContext">
/// auditing helper
/// </param>
/// <param name="costCalculatorFactory">
/// cost logic service factory
/// </param>
/// <param name="revenueCalculatorFactory">
/// revenue logic service factory
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// exchange rate service
/// </param>
/// <param name="orderFilter">
/// classification financial instruments filtering service
/// </param>
/// <param name="equityMarketCacheFactory">
/// time bar cache factory
/// </param>
/// /// <param name="fixedIncomeMarketCacheFactory">
/// time bar cache factory
/// </param>
/// <param name="marketDataCacheFactory">
/// market time bar cache factory
/// </param>
/// <param name="dataRequestSubscriber">
/// data fetch pattern helper
/// </param>
/// <param name="judgementService">
/// rule analysis service
/// </param>
/// <param name="runMode">
/// forced or validation
/// </param>
/// <param name="logger">
/// logging helper
/// </param>
/// <param name="tradingHistoryLogger">
/// logging helper for trading history
/// </param>
public FixedIncomeHighProfitsStreamRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseFixedIncomeOrderFilterService orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IFixedIncomeHighProfitJudgementService judgementService,
ICurrencyConverterService currencyService,
RuleRunMode runMode,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.FixedIncomeHighProfits,
FixedIncomeHighProfitFactory.Version,
"Fixed Income High Profit Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.FixedIncomeParameters =
fixedIncomeParameters ?? throw new ArgumentNullException(nameof(fixedIncomeParameters));
this.RuleCtx = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this.revenueCalculatorFactory = revenueCalculatorFactory
?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this.marketDataCacheFactory =
marketDataCacheFactory ?? throw new ArgumentNullException(nameof(marketDataCacheFactory));
this.exchangeRateProfitCalculator = exchangeRateProfitCalculator
?? throw new ArgumentNullException(
nameof(exchangeRateProfitCalculator));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.dataRequestSubscriber =
dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.JudgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.currencyConverterService = currencyService ?? throw new ArgumentNullException(nameof(currencyService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsRule"/> class.
/// </summary>
/// <param name="fixedIncomeParameters">
/// The fixed income parameters.
/// </param>
/// <param name="streamRule">
/// The stream rule.
/// </param>
/// <param name="marketClosureRule">
/// The market closure rule.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
public FixedIncomeHighProfitsRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
IFixedIncomeHighProfitsStreamRule streamRule,
IFixedIncomeHighProfitsMarketClosureRule marketClosureRule,
ILogger <FixedIncomeHighProfitsRule> logger)
{
this.fixedIncomeParameters =
fixedIncomeParameters ?? throw new ArgumentNullException(nameof(fixedIncomeParameters));
this.streamRule = streamRule ?? throw new ArgumentNullException(nameof(streamRule));
this.marketClosureRule = marketClosureRule ?? throw new ArgumentNullException(nameof(marketClosureRule));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The build rule.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="scheduledExecution">
/// The scheduled execution.
/// </param>
/// <returns>
/// The <see cref="IFixedIncomeHighProfitsRule"/>.
/// </returns>
public IFixedIncomeHighProfitsRule BuildRule(
IHighProfitsRuleFixedIncomeParameters parameters,
ISystemProcessOperationRunRuleContext ruleContext,
IFixedIncomeHighProfitJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode,
ScheduledExecution scheduledExecution)
{
var fixedIncomeStreamRule = new FixedIncomeHighProfitsStreamRule(
parameters,
ruleContext,
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.fixedIncomeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeCacheFactory,
this.marketDataCacheStrategyFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
this.logger,
this.stackLogger);
var fixedIncomeMarketClosureRule = new FixedIncomeHighProfitsMarketClosureRule(
parameters,
ruleContext,
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.fixedIncomeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeCacheFactory,
this.marketDataCacheStrategyFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
this.logger,
this.stackLogger);
return(new FixedIncomeHighProfitsRule(
parameters,
fixedIncomeStreamRule,
fixedIncomeMarketClosureRule,
this.logger));
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IHighProfitsRuleFixedIncomeParameters parameters,
IJudgementService judgementService)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.FixedIncomeHighProfits.GetDescription(),
FixedIncomeHighProfitFactory.Version,
parameters.Id,
(int)Rules.FixedIncomeHighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var highProfits =
this.fixedIncomeRuleHighProfitsFactory.BuildRule(
parameters,
ruleCtx,
judgementService,
universeDataRequestsSubscriber,
runMode,
execution);
var highProfitsOrgFactors = this.brokerServiceFactory.Build(
highProfits,
parameters.Factors,
parameters.AggregateNonFactorableIntoOwnCategory);
var highProfitsFiltered = this.DecorateWithFilters(
operationContext,
parameters,
highProfitsOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(highProfitsFiltered);
}
public void Setup()
{
this.fixedIncomeOrderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this.fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this.marketDataCacheStrategyFactory = A.Fake <IFixedIncomeMarketDataCacheStrategyFactory>();
this.costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this.revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.logger = A.Fake <ILogger <FixedIncomeHighProfitsRule> >();
this.stackLogger = A.Fake <ILogger <TradingHistoryStack> >();
this.parameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.judgementService = A.Fake <IFixedIncomeHighProfitJudgementService>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
this.runMode = RuleRunMode.ValidationRun;
this.scheduledExecution = new ScheduledExecution();
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitJudgementContext"/> class.
/// </summary>
/// <param name="judgement">
/// The judgement.
/// </param>
/// <param name="projectToAlert">
/// The project to alert.
/// </param>
/// <param name="ruleBreachContext">
/// The rule breach context.
/// </param>
/// <param name="fixedIncomeParameters">
/// The fixed income parameters.
/// </param>
/// <param name="absoluteProfits">
/// The absolute profits.
/// </param>
/// <param name="absoluteProfitCurrency">
/// The absolute profit currency.
/// </param>
/// <param name="relativeProfits">
/// The relative profits.
/// </param>
/// <param name="hasAbsoluteProfitBreach">
/// The has absolute profit breach.
/// </param>
/// <param name="hasRelativeProfitBreach">
/// The has relative profit breach.
/// </param>
/// <param name="profitBreakdown">
/// The profit breakdown.
/// </param>
public FixedIncomeHighProfitJudgementContext(
IFixedIncomeHighProfitJudgement judgement,
bool projectToAlert,
IRuleBreachContext ruleBreachContext,
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
Money?absoluteProfits,
string absoluteProfitCurrency,
decimal?relativeProfits,
bool hasAbsoluteProfitBreach,
bool hasRelativeProfitBreach,
IExchangeRateProfitBreakdown profitBreakdown)
{
this.Judgement = judgement;
this.RaiseRuleViolation = projectToAlert;
this.RuleBreachContext = ruleBreachContext;
this.FixedIncomeParameters = fixedIncomeParameters;
this.AbsoluteProfits = absoluteProfits;
this.AbsoluteProfitCurrency = absoluteProfitCurrency;
this.RelativeProfits = relativeProfits;
this.HasAbsoluteProfitBreach = hasAbsoluteProfitBreach;
this.HasRelativeProfitBreach = hasRelativeProfitBreach;
this.ExchangeRateProfits = profitBreakdown;
}