/// <summary>
/// The collate subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
public IReadOnlyCollection <IUniverseRule> CollateSubscriptions(
ScheduledExecution execution,
RuleParameterDto ruleParameters,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IUniverseAlertStream alertStream)
{
if (!execution.Rules?.Select(_ => _.Rule)?.Contains(Rules.PlacingOrderWithNoIntentToExecute) ?? true)
{
return(new IUniverseRule[0]);
}
var filteredParameters = execution.Rules.SelectMany(_ => _.Ids).Where(_ => _ != null).ToList();
var dtos = ruleParameters.PlacingOrders
.Where(_ => filteredParameters.Contains(_.Id, StringComparer.InvariantCultureIgnoreCase)).ToList();
var placingOrderParameters = this.ruleParameterMapper.Map(execution, dtos);
var subscriptions = this.SubscribeToUniverse(
execution,
operationContext,
alertStream,
placingOrderParameters,
dataRequestSubscriber);
return(subscriptions);
}
/// <summary>
/// The build subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="player">
/// The player.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="args">
/// The args.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> BuildSubscriptions(
ScheduledExecution execution,
IUniversePlayer player,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
ISystemProcessOperationContext operationContext,
RuleParameterDto ruleParameters,
params Func <ScheduledExecution,
RuleParameterDto,
ISystemProcessOperationContext,
IUniverseDataRequestsSubscriber,
IJudgementService,
IUniverseAlertStream,
IReadOnlyCollection <IUniverseRule> >[] args)
{
var universeRules = new List <IUniverseRule>();
foreach (var func in args)
{
var result = func.Invoke(
execution,
ruleParameters,
operationContext,
dataRequestSubscriber,
judgementService,
alertStream);
universeRules.AddRange(result);
}
return(universeRules);
}
/// <summary>
/// The collate subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <returns>
/// The <see cref="IUniverseEvent"/>.
/// </returns>
public IReadOnlyCollection <IUniverseRule> CollateSubscriptions(
ScheduledExecution execution,
RuleParameterDto ruleParameters,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IUniverseAlertStream alertStream)
{
if (!execution.Rules?.Select(ru => ru.Rule).Contains(Rules.FixedIncomeWashTrades) ?? true)
{
return(new IUniverseRule[0]);
}
var filteredParameters = execution.Rules.SelectMany(ru => ru.Ids).Where(ru => ru != null).ToList();
var dtos = ruleParameters.FixedIncomeWashTrades.Where(
wt => filteredParameters.Contains(wt.Id, StringComparer.InvariantCultureIgnoreCase)).ToList();
var fixedIncomeWashTradeParameters = this.ruleParameterMapper.Map(execution, dtos);
var subscriptions = this.SubscribeToUniverse(
execution,
operationContext,
alertStream,
dataRequestSubscriber,
fixedIncomeWashTradeParameters);
return(subscriptions);
}
/// <summary>
/// The subscribe to universe.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="highProfitParameters">
/// The high profit parameters.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> SubscribeToUniverse(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IReadOnlyCollection <IHighProfitsRuleFixedIncomeParameters> highProfitParameters,
IJudgementService judgementService)
{
var subscriptions = new List <IUniverseRule>();
// ReSharper disable once ConditionIsAlwaysTrueOrFalse
if (highProfitParameters != null && highProfitParameters.Any())
{
foreach (var param in highProfitParameters)
{
var paramSubscriptions = this.SubscribeToParameters(
execution,
operationContext,
dataRequestSubscriber,
param,
judgementService);
subscriptions.Add(paramSubscriptions);
}
}
else
{
var errorMessage =
$"tried to schedule a {nameof(FixedIncomeHighProfitsRule)} rule execution with no parameters set";
this.logger.LogError(errorMessage);
operationContext.EventError(errorMessage);
}
return(subscriptions);
}
/// <summary>
/// The subscribe to universe.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="highProfitParameters">
/// The high profit parameters.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> SubscribeToUniverse(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IReadOnlyCollection <IHighProfitsRuleEquitiesParameters> highProfitParameters)
{
var subscriptions = new List <IUniverseRule>();
if (highProfitParameters != null && highProfitParameters.Any())
{
foreach (var param in highProfitParameters)
{
var cloneableRule = this.SubscribeParameters(
execution,
operationContext,
dataRequestSubscriber,
judgementService,
param);
subscriptions.Add(cloneableRule);
}
}
else
{
const string ErrorMessage = "tried to schedule a high profit rule execution with no parameters set";
this.logger.LogError(ErrorMessage);
operationContext.EventError(ErrorMessage);
}
return(subscriptions);
}
/// <summary>
/// The subscribe parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IHighProfitsRuleEquitiesParameters parameter)
{
var ruleCtxStream = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var ruleCtxMarketClosure = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var highProfitsRule = this.equityRuleHighProfitFactory.Build(
parameter,
ruleCtxStream,
ruleCtxMarketClosure,
dataRequestSubscriber,
judgementService,
execution);
var highProfitsRuleOrgFactor = this.brokerServiceFactory.Build(
highProfitsRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var decoratedHighProfits = this.DecorateWithFilter(
operationContext,
parameter,
highProfitsRuleOrgFactor,
dataRequestSubscriber,
ruleCtxMarketClosure,
runMode);
return(decoratedHighProfits);
}
public IHighProfitRule Build(
IHighProfitsRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtxStream,
ISystemProcessOperationRunRuleContext ruleCtxMarket,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
ScheduledExecution scheduledExecution)
{
var runMode = scheduledExecution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var stream = new HighProfitStreamRule(
equitiesParameters,
ruleCtxStream,
this._costCalculatorFactory,
this._revenueCalculatorFactory,
this._exchangeRateProfitCalculator,
this._orderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._cacheStrategyFactory,
dataRequestSubscriber,
judgementService,
this._currencyConversionService,
runMode,
this._logger,
this._tradingHistoryLogger);
var marketClosure = new HighProfitMarketClosureRule(
equitiesParameters,
ruleCtxMarket,
this._costCalculatorFactory,
this._revenueCalculatorFactory,
this._exchangeRateProfitCalculator,
this._orderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._cacheStrategyFactory,
dataRequestSubscriber,
judgementService,
this._currencyConversionService,
runMode,
this._logger,
this._tradingHistoryLogger);
return(new HighProfitsRule(equitiesParameters, stream, marketClosure, this._logger));
}
public GameService(
GameContext context,
ISocketService socket,
IJudgementService judgement,
IAlphaBetaAlgorithm alphaBetaAlgorithm,
IEngine engine,
IDataAdapter adapter,
IConfigurationRoot config)
{
_context = context;
_socket = socket;
_judgement = judgement;
_alphaBetaAlgorithm = alphaBetaAlgorithm;
_engine = engine;
_adapter = adapter;
_config = config;
}
/// <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._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this._revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this._exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._cacheStrategyFactory = A.Fake <IEquityMarketDataCacheStrategyFactory>();
this._judgementService = A.Fake <IJudgementService>();
this._logger = new NullLogger <HighProfitsRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._equitiesParameters = A.Fake <IHighProfitsRuleEquitiesParameters>();
this._ruleCtxStream = A.Fake <ISystemProcessOperationRunRuleContext>();
this._ruleCtxMarket = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._scheduledExecution = new ScheduledExecution();
}
/// <summary>
/// The subscribe rules.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="player">
/// The player.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <returns>
/// The <see cref="Task"/>.
/// </returns>
public async Task <IUniverseRuleSubscriptionSummary> SubscribeRules(
ScheduledExecution execution,
IUniversePlayer player,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
ISystemProcessOperationContext operationContext,
RuleParameterDto ruleParameters)
{
if (execution == null || player == null)
{
this.logger.LogInformation("received null execution or player. Returning");
return(new UniverseRuleSubscriptionSummary(null, null));
}
var subscriptions = this.BuildSubscriptions(
execution,
player,
alertStream,
dataRequestSubscriber,
judgementService,
operationContext,
ruleParameters,
this.highVolumeEquitySubscriber.CollateSubscriptions,
this.washTradeEquitySubscriber.CollateSubscriptions,
this.highProfitEquitySubscriber.CollateSubscriptions,
this.cancelledOrderEquitySubscriber.CollateSubscriptions,
this.markingTheCloseEquitySubscriber.CollateSubscriptions,
this.spoofingEquitySubscriber.CollateSubscriptions,
this.rampingEquitySubscriber.CollateSubscriptions,
this.placingOrdersEquitySubscriber.CollateSubscriptions,
this.washTradeFixedIncomeSubscriber.CollateSubscriptions,
this.highVolumeFixedIncomeSubscriber.CollateSubscriptions,
this.highProfitFixedIncomeSubscriber.CollateSubscriptions);
foreach (var subscription in subscriptions)
{
if (subscription == null)
{
continue;
}
this.logger.LogInformation($"Subscribe Rules subscribing a {subscription.Rule.GetDescription()}");
player.Subscribe(subscription);
}
var ids = this.idExtractor.ExtractIds(ruleParameters);
if (ids == null || !ids.Any())
{
this.logger.LogError("did not have any ids successfully extracted from the rule parameters");
return(new UniverseRuleSubscriptionSummary(null, null));
}
var jointIds = ids.Aggregate((a, b) => $"{a} {b}");
this.logger.LogInformation($"subscriber processed for the following ids {jointIds}");
return(await Task.FromResult(new UniverseRuleSubscriptionSummary(ids, subscriptions)));
}
