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 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;
}
/// <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 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;
}
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 check daily volume breach.
/// </summary>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription CheckDailyVolumeBreach(
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var tradingHoursManager = this.tradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market.MarketIdentifierCode);
if (!tradingHoursManager.IsValid)
{
this.logger.LogInformation($"unable to fetch market data for ({mostRecentTrade.Market.MarketIdentifierCode}) for the most recent trade {mostRecentTrade?.Instrument?.Identifiers} the market data did not contain the security indicated as trading in that market");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var marketRequest =
new MarketDataRequest(
mostRecentTrade.Market.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHoursManager.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHoursManager.ClosingInUtcForDay(UniverseDateTime),
this.ruleContext?.Id(),
DataSource.AnyInterday);
var marketResult = UniverseEquityInterdayCache.Get(marketRequest);
if (marketResult.HadMissingData)
{
this.logger.LogInformation($"unable to fetch market data for ({mostRecentTrade.Market.MarketIdentifierCode}) for the most recent trade {mostRecentTrade?.Instrument?.Identifiers} the market data did not contain the security indicated as trading in that market");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var marketSecurityData = marketResult.Response;
if (marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded <= 0 ||
opposingPosition.TotalVolumeOrderedOrFilled() <= 0)
{
this.logger.LogInformation($"unable to evaluate for {mostRecentTrade?.Instrument?.Identifiers} either the market daily volume data was not available or the opposing position had a bad total volume value (daily volume){marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded} - (opposing position){opposingPosition.TotalVolumeOrderedOrFilled()}");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var percentageDailyVolume = (decimal)opposingPosition.TotalVolumeOrderedOrFilled() / (decimal)marketSecurityData?.DailySummaryTimeBar?.DailyVolume.Traded;
if (percentageDailyVolume >= this.equitiesParameters.PercentageOfMarketDailyVolume)
{
return(new RuleBreachDescription
{
RuleBreached = true,
Description = $" Percentage of market daily volume traded within a {this.equitiesParameters.Windows.BackwardWindowSize.TotalSeconds} second window exceeded the layering window threshold of {this.equitiesParameters.PercentageOfMarketDailyVolume * 100}%."
});
}
return(RuleBreachDescription.False());
}
/// <summary>
/// Check if the current position (this) is a subset of the provided (arg) position
/// uses BY REFERENCE for comparision
/// </summary>
public bool PositionIsSubsetOf(ITradePosition position)
{
if (position == null)
{
return(false);
}
return(!this._trades.Except(position.Get()).Any());
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeJudgementContext"/> class.
/// </summary>
/// <param name="judgement">
/// The judgement.
/// </param>
/// <param name="raiseRuleViolation">
/// The project to alert.
/// </param>
/// <param name="tradePosition">
/// The trade position.
/// </param>
/// <param name="venue">
/// The venue.
/// </param>
public FixedIncomeHighVolumeJudgementContext(
IFixedIncomeHighVolumeJudgement judgement,
bool raiseRuleViolation,
ITradePosition tradePosition,
Market venue)
{
this.Judgement = judgement ?? throw new ArgumentNullException(nameof(judgement));
this.RaiseRuleViolation = raiseRuleViolation;
this.TradePosition = tradePosition ?? throw new ArgumentNullException(nameof(tradePosition));
this.Venue = venue;
}
/// <summary>
/// Check if the current position (this) is a subset of the provided (argument) position uses BY REFERENCE for comparison
/// </summary>
/// <param name="position">
/// The position.
/// </param>
/// <returns>
/// The <see cref="bool"/>.
/// </returns>
public bool PositionIsSubsetOf(ITradePosition position)
{
if (position == null)
{
return(false);
}
if (position.Get().SequenceEqual(this.trades))
{
return(true);
}
return(!this.trades.Except(position.Get()).Any());
}
public ExchangeRateProfitBreakdown(
ITradePosition positionCost,
ITradePosition positionRevenue,
decimal positionCostWer,
decimal positionRevenueWer,
Domain.Core.Financial.Money.Currency fixedCurrency,
Domain.Core.Financial.Money.Currency variableCurrency)
{
this.PositionCost = positionCost;
this.PositionRevenue = positionRevenue;
this.PositionCostWer = positionCostWer;
this.PositionRevenueWer = positionRevenueWer;
this.FixedCurrency = fixedCurrency;
this.VariableCurrency = variableCurrency;
}
public async Task <decimal> WeightedExchangeRate(
ITradePosition position,
Currency targetCurrency,
ISystemProcessOperationRunRuleContext ruleCtx)
{
if (position == null || position.TotalVolume() == 0)
{
this._logger.LogInformation(
"asked to calculate WER for either null position or position with 0 volume. Returning 0");
return(0);
}
var totalVolume = position.TotalVolume();
var weightedRates = new List <WeightedXRate>();
foreach (var order in position.Get())
{
if (order.OrderFilledVolume.GetValueOrDefault() == 0)
{
continue;
}
var weight = order.OrderFilledVolume.GetValueOrDefault(0) / totalVolume;
var rate = await this._exchangeRatesService.GetRate(
order.OrderCurrency,
targetCurrency,
order.MostRecentDateEvent(),
ruleCtx);
weightedRates.Add(new WeightedXRate(weight, (decimal?)rate?.Rate ?? 0m));
}
foreach (var item in weightedRates)
{
if (item == null)
{
continue;
}
this._logger.LogInformation($"had a sub component with {item.Weight} and {item.XRate}");
}
var weightedAverage = weightedRates.Sum(wr => wr.Weight * wr.XRate);
return(weightedAverage);
}
public async Task <ExchangeRateProfitBreakdown> ExchangeRateMovement(
ITradePosition positionCost,
ITradePosition positionRevenue,
Domain.Core.Financial.Money.Currency variableCurrency,
ISystemProcessOperationRunRuleContext ruleCtx)
{
if (string.IsNullOrEmpty(variableCurrency.Code))
{
this._logger.LogInformation(
"ExchangeRateProfitCalculator ExchangeRateMovement had a null or empty variable currency. Returning null.");
return(null);
}
var orderCurrency = positionCost.Get()
.FirstOrDefault(pos => !string.IsNullOrWhiteSpace(pos.OrderCurrency.Code))?.OrderCurrency;
if (string.Equals(orderCurrency?.Code, variableCurrency.Code, StringComparison.InvariantCultureIgnoreCase))
{
this._logger.LogInformation(
"ExchangeRateProfitCalculator ExchangeRateMovement could not find an order currency. Returning null.");
return(null);
}
if (string.IsNullOrWhiteSpace(orderCurrency.GetValueOrDefault().Code))
{
orderCurrency = positionRevenue.Get()
.FirstOrDefault(pos => !string.IsNullOrWhiteSpace(pos.OrderCurrency.Code))?.OrderCurrency;
}
var costRates =
await this._werExchangeRateService.WeightedExchangeRate(positionCost, variableCurrency, ruleCtx);
var revenueRates = await this._werExchangeRateService.WeightedExchangeRate(
positionRevenue,
variableCurrency,
ruleCtx);
var breakdown = new ExchangeRateProfitBreakdown(
positionCost,
positionRevenue,
costRates,
revenueRates,
orderCurrency.GetValueOrDefault(),
variableCurrency);
return(breakdown);
}
/// <summary>
/// The add to positions.
/// </summary>
/// <param name="buyPosition">
/// The buy position.
/// </param>
/// <param name="sellPosition">
/// The sell position.
/// </param>
/// <param name="nextTrade">
/// The next trade.
/// </param>
private void AddToPositions(ITradePosition buyPosition, ITradePosition sellPosition, Order nextTrade)
{
switch (nextTrade.OrderDirection)
{
case OrderDirections.BUY:
case OrderDirections.COVER:
buyPosition.Add(nextTrade);
break;
case OrderDirections.SELL:
case OrderDirections.SHORT:
sellPosition.Add(nextTrade);
break;
default:
this.logger.LogError("not considering an out of range order direction");
this.ruleContext.EventException("not considering an out of range order direction");
throw new ArgumentOutOfRangeException(nameof(nextTrade));
}
}
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;
}
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 void Setup()
{
this.tradePosition = A.Fake <ITradePosition>();
this.judgement = A.Fake <IFixedIncomeHighVolumeJudgement>();
this.market = new Market("id-1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
}
/// <summary>
/// The check for price movement.
/// </summary>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription CheckForPriceMovement(
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var startDate = opposingPosition.Get().Where(op => op.PlacedDate != null).Min(op => op.PlacedDate).GetValueOrDefault();
var endDate = opposingPosition.Get().Where(op => op.PlacedDate != null).Max(op => op.PlacedDate).GetValueOrDefault();
if (endDate.Subtract(startDate) < TimeSpan.FromMinutes(1))
{
endDate = endDate.AddMinutes(1);
}
var marketRequest =
new MarketDataRequest(
mostRecentTrade.Market.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
startDate.Subtract(this.TradeBackwardWindowSize),
endDate,
this.ruleContext?.Id(),
DataSource.AnyIntraday);
var tradingDays =
this.tradingHoursService.GetTradingDaysWithinRangeAdjustedToTime(
UniverseDateTime.Subtract(this.TradeBackwardWindowSize),
UniverseDateTime,
mostRecentTrade.Market.MarketIdentifierCode);
var marketResult = UniverseEquityIntradayCache.GetMarketsForRange(marketRequest, tradingDays, RunMode);
if (marketResult.HadMissingData)
{
this.logger.LogInformation($"unable to fetch market data frames for {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
if (mostRecentTrade.PlacedDate > endDate)
{
endDate = mostRecentTrade.PlacedDate.GetValueOrDefault();
}
var securityDataTicks = marketResult.Response;
var startTick = this.StartTick(securityDataTicks, startDate);
if (startTick == null)
{
this.logger.LogInformation($"unable to fetch starting exchange tick data for ({startDate}) {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var endTick = this.EndTick(securityDataTicks, endDate);
if (endTick == null)
{
this.logger.LogInformation($"unable to fetch ending exchange tick data for ({endDate}) {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var priceMovement = endTick.SpreadTimeBar.Price.Value - startTick.SpreadTimeBar.Price.Value;
return(this.BuildDescription(mostRecentTrade, priceMovement, startTick, endTick));
}
/// <summary>
/// The check window volume breach.
/// </summary>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription CheckWindowVolumeBreach(
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var marketDataRequest =
new MarketDataRequest(
mostRecentTrade.Market.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
UniverseDateTime.Subtract(this.TradeBackwardWindowSize),
UniverseDateTime,
this.ruleContext?.Id(),
DataSource.AnyIntraday);
var tradingDays =
this.tradingHoursService.GetTradingDaysWithinRangeAdjustedToTime(
UniverseDateTime.Subtract(this.TradeBackwardWindowSize),
UniverseDateTime,
mostRecentTrade.Market.MarketIdentifierCode);
var securityResult = UniverseEquityIntradayCache.GetMarketsForRange(marketDataRequest, tradingDays, RunMode);
if (securityResult.HadMissingData)
{
this.logger.LogWarning($"unable to fetch market data frames for {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var windowVolume = securityResult.Response.Sum(sdt => sdt?.SpreadTimeBar.Volume.Traded);
if (windowVolume <= 0)
{
this.logger.LogInformation($"unable to sum meaningful volume from market data frames for volume window in {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
if (opposingPosition.TotalVolumeOrderedOrFilled() <= 0)
{
this.logger.LogInformation($"unable to calculate opposing position volume window in {mostRecentTrade.Market.MarketIdentifierCode} at {UniverseDateTime}.");
this.hadMissingData = true;
return(RuleBreachDescription.False());
}
var percentageWindowVolume = (decimal)opposingPosition.TotalVolumeOrderedOrFilled() / (decimal)windowVolume;
if (percentageWindowVolume >= this.equitiesParameters.PercentageOfMarketWindowVolume)
{
return(new RuleBreachDescription
{
RuleBreached = true,
Description = $" Percentage of market volume traded within a {this.equitiesParameters.Windows.BackwardWindowSize.TotalSeconds} second window exceeded the layering window threshold of {this.equitiesParameters.PercentageOfMarketWindowVolume * 100}%."
});
}
return(RuleBreachDescription.False());
}
/// <summary>
/// The check position for layering.
/// </summary>
/// <param name="tradeWindow">
/// The trade window.
/// </param>
/// <param name="buyPosition">
/// The buy position.
/// </param>
/// <param name="sellPosition">
/// The sell position.
/// </param>
/// <param name="tradingPosition">
/// The trading position.
/// </param>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="ILayeringRuleBreach"/>.
/// </returns>
private ILayeringRuleBreach CheckPositionForLayering(
Stack <Order> tradeWindow,
ITradePosition buyPosition,
ITradePosition sellPosition,
ITradePosition tradingPosition,
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var hasTradesInWindow = tradeWindow.Any();
RuleBreachDescription hasBidirectionalBreach = RuleBreachDescription.False();
RuleBreachDescription hasDailyVolumeBreach = RuleBreachDescription.False();
RuleBreachDescription hasWindowVolumeBreach = RuleBreachDescription.False();
RuleBreachDescription priceMovementBreach = RuleBreachDescription.False();
// ReSharper disable once LoopVariableIsNeverChangedInsideLoop
while (hasTradesInWindow)
{
if (!tradeWindow.Any())
{
// ReSharper disable once RedundantAssignment
hasTradesInWindow = false;
break;
}
var nextTrade = tradeWindow.Pop();
this.AddToPositions(buyPosition, sellPosition, nextTrade);
if (!tradingPosition.Get().Any() ||
!opposingPosition.Get().Any())
{
continue;
}
// IF ALL PARAMETERS ARE NULL JUST DO THE BIDIRECTIONAL TRADE CHECK
if (this.equitiesParameters.PercentageOfMarketDailyVolume == null &&
this.equitiesParameters.PercentageOfMarketWindowVolume == null &&
this.equitiesParameters.CheckForCorrespondingPriceMovement == null)
{
hasBidirectionalBreach = new RuleBreachDescription
{
RuleBreached = true,
Description = " Trading in both buy/sell positions simultaneously was detected."
};
}
if (this.equitiesParameters.PercentageOfMarketDailyVolume != null)
{
hasDailyVolumeBreach = this.CheckDailyVolumeBreach(opposingPosition, mostRecentTrade);
}
if (this.equitiesParameters.PercentageOfMarketWindowVolume != null)
{
hasWindowVolumeBreach = this.CheckWindowVolumeBreach(opposingPosition, mostRecentTrade);
}
if (this.equitiesParameters.CheckForCorrespondingPriceMovement != null &&
this.equitiesParameters.CheckForCorrespondingPriceMovement.Value)
{
priceMovementBreach = this.CheckForPriceMovement(opposingPosition, mostRecentTrade);
}
}
var allTradesInPositions = opposingPosition.Get().Concat(tradingPosition.Get()).ToList();
var allTrades = new TradePosition(allTradesInPositions);
if (!this.HasRuleBreach(
hasBidirectionalBreach,
hasDailyVolumeBreach,
hasWindowVolumeBreach,
priceMovementBreach))
{
return(null);
}
return(new LayeringRuleBreach(
this.OrganisationFactorValue,
this.ruleContext.SystemProcessOperationContext(),
this.ruleContext.CorrelationId(),
this.equitiesParameters,
this.equitiesParameters.Windows?.BackwardWindowSize ?? TimeSpan.Zero,
allTrades,
mostRecentTrade.Instrument,
hasBidirectionalBreach,
hasDailyVolumeBreach,
hasWindowVolumeBreach,
priceMovementBreach,
null,
null,
UniverseDateTime));
}
