public void Filter_WhenUniverseEventAndHadMissingDataInUniverseEquityInterdayCache_MustBeFiltered()
{
var fundOne = ((Order)null).Random();
var eventOne = new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, fundOne);
A.CallTo(() => _tradingHoursService.GetTradingHoursForMic(fundOne.Market.MarketIdentifierCode))
.Returns(new TradingHours()
{
IsValid = true
});
A.CallTo(() => _universeEquityInterDayCache.Get(
A <MarketDataRequest> .That.Matches(
m => m.MarketIdentifierCode == fundOne.Market.MarketIdentifierCode &&
m.Cfi == fundOne.Instrument.Cfi
)))
.Returns(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Include
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(eventOne);
Assert.IsTrue(result);
}
public bool Filter(IUniverseEvent universeEvent)
{
if (universeEvent == null)
{
return(false);
}
if (universeEvent.StateChange == UniverseStateEvent.EquityInterDayTick)
{
EquityInterDay(universeEvent);
}
if (universeEvent.StateChange == UniverseStateEvent.Eschaton &&
_requestData &&
_ruleRunMode == RuleRunMode.ValidationRun)
{
_universeDataRequestsSubscriber.SubmitRequest();
}
if (universeEvent.StateChange != UniverseStateEvent.Order &&
universeEvent.StateChange != UniverseStateEvent.OrderPlaced)
{
return(false);
}
if (!(universeEvent.UnderlyingEvent is Order mostRecentTrade))
{
return(false);
}
if (_marketCapFilter?.Type != RuleFilterType.Include)
{
return(false);
}
var tradingHours = _tradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
_logger.LogError($"Request for trading hours was invalid. MIC - {mostRecentTrade.Market?.MarketIdentifierCode}");
return(true);
}
var universeDateTime = universeEvent.EventTime;
var marketDataRequest = new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(universeDateTime),
tradingHours.MinimumOfCloseInUtcForDayOrUniverse(universeDateTime),
_operationRunRuleContext?.Id(),
DataSource.AnyInterday);
var securityResult = _universeEquityInterdayCache.Get(marketDataRequest);
if (securityResult.HadMissingData && _ruleRunMode == RuleRunMode.ValidationRun)
{
_requestData = true;
}
if (securityResult.HadMissingData)
{
_logger.LogInformation($"Missing data for {marketDataRequest}.");
return(true);
}
var security = securityResult.Response;
var marketCap = security.DailySummaryTimeBar.MarketCap;
if (marketCap == null)
{
this._logger.LogInformation($"Missing data for market cap from daily summary time bar {marketDataRequest}.");
return(true);
}
var marketCapInUsd = this.currencyConverterService.Convert(
new[] { marketCap.Value },
new Currency("USD"),
universeDateTime,
this._operationRunRuleContext).Result;
if (marketCapInUsd == null)
{
this._logger.LogInformation($"Missing data for market cap currency conversion into USD at {universeEvent} from daily summary time bar {marketDataRequest}.");
return(true);
}
var min = this._marketCapFilter.Min ?? marketCap.Value.Value;
var max = this._marketCapFilter.Max ?? marketCap.Value.Value;
return(!(marketCap.Value.Value >= min && marketCap.Value.Value <= max));
}