public void Setup()
{
this._missingMarketDataResponse =
new MarketDataResponse <EquityInstrumentIntraDayTimeBar>(null, true, false);
this._notMissingMarketDataResponse =
new MarketDataResponse <EquityInstrumentIntraDayTimeBar>(null, false, false);
}
public override async Task <MarketDataResponse> GetMarketData(Empty request, ServerCallContext context)
{
var response = new MarketDataResponse();
var data = await _redisService.GetMarketDataAsync();
response.Items.AddRange(data);
return(response);
}
public void Filter_WhenUniverseEventAndMarketCapFilter_MustFilterCorrectly(
decimal?marketCap,
decimal?min,
decimal?max,
bool mustBeFiltered)
{
A.CallTo(
() => this.currencyConverterService.Convert(
A <IReadOnlyCollection <Money> > .Ignored,
A <Currency> .Ignored,
A <DateTime> .Ignored,
A <ISystemProcessOperationRunRuleContext> .Ignored)).Returns(new Money(marketCap.Value, "GBP"));
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
});
//decimal? marketCap = 150;
var marketDataResponse = new MarketDataResponse <EquityInstrumentInterDayTimeBar>(
new EquityInstrumentInterDayTimeBar(null, new DailySummaryTimeBar(marketCap, "GBP", null, null, new Volume(), DateTime.UtcNow), DateTime.UtcNow, null), false, false);
A.CallTo(() => _universeEquityInterDayCache.Get(
A <MarketDataRequest> .That.Matches(
m => m.MarketIdentifierCode == fundOne.Market.MarketIdentifierCode &&
m.Cfi == fundOne.Instrument.Cfi
)))
.Returns(marketDataResponse);
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Include,
Min = min,
Max = max
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(eventOne);
Assert.AreEqual(result, mustBeFiltered);
}
public MarketDataResponse <EquityInstrumentIntraDayTimeBar> GetForLatestDayOnly(MarketDataRequest request)
{
if (request == null || !request.IsValid())
{
this._logger.LogError("UniverseMarketCache received either a null or invalid request");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache fetching for market {request?.MarketIdentifierCode} from {request?.UniverseEventTimeFrom} to {request?.UniverseEventTimeTo} as part of rule run {request?.SystemProcessOperationRuleRunId}");
if (!this._latestExchangeFrameBook.ContainsKey(request.MarketIdentifierCode))
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._latestExchangeFrameBook.TryGetValue(request.MarketIdentifierCode, out var exchangeFrame);
if (exchangeFrame == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
var security =
exchangeFrame.Securities.FirstOrDefault(sec => Equals(sec.Security.Identifiers, request.Identifiers));
if (security == null)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
if (exchangeFrame.Epoch > request.UniverseEventTimeTo ||
exchangeFrame.Epoch < request.UniverseEventTimeFrom)
{
this._dataRequestRepository.CreateDataRequest(request);
this._logger.LogInformation(
$"UniverseMarketCache was not able to find the security {request.Identifiers} for MIC {request.MarketIdentifierCode} in the latest exchange frame book within a suitable data range to {request.UniverseEventTimeTo} from {request.UniverseEventTimeFrom}. Recording missing data.");
return(MarketDataResponse <EquityInstrumentIntraDayTimeBar> .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache was able to find a match for {request.Identifiers} returning data.");
return(new MarketDataResponse <EquityInstrumentIntraDayTimeBar>(security, false, false));
}
public void Initialize()
{
FakeMarketOrderRepository.Initialize();
_dataResponse = new MarketDataResponse
{
BuyOrders = FakeMarketOrderRepository.BuyOrders,
SellOrders = FakeMarketOrderRepository.SellOrders
};
MarketDataResponse.ResequenceOrders(_dataResponse);
}
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);
}
private void Analyze(IProgress <int> progress)
{
int index = 0;
var itemTasks = new List <Task>();
foreach (var item in _storeItems)
{
itemTasks.Add(Task.Factory.StartNew(() =>
{
using (MarketDataHelper helper = new MarketDataHelper(MarketDataHelper.QuickLook))
{
MarketDataRequest request = new MarketDataRequest
{
TypeId = item.ItemId.ToString(),
SystemId = MarketDataHelper.Jita,
Duration = MarketDataHelper.Freshness
};
var productData = helper.GetData(request);
MarketDataResponse.ResequenceOrders(productData);
var order = productData.HighestBuyOrder;
item.Product.Data = productData;
item.Product.Price = order != null ? order.Price : 0.0;
item.MarketPrice = order != null ? order.Price : 0.0;
item.ProfitMargin = item.MarketPrice - item.StorePrice;
item.ProfitEfficiency = item.ProfitMargin / item.Points;
item.UpdateProperties();
var currentProgress = ((double)++index / _storeItems.Count) * 100;
progress.Report((int)currentProgress);
}
}, TaskCreationOptions.AttachedToParent));
}
Task.Factory.ContinueWhenAll(itemTasks.ToArray(), groupedTasks => {
AnalysisInProgress = false;
});
}
/// <summary>
/// Assumes that any data implies that the whole data set/range is covered
/// </summary>
public MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > GetMarkets(MarketDataRequest request)
{
if (request == null || !request.IsValid())
{
this._logger.LogError("UniverseMarketCache received either a null or invalid request");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (!this._marketHistory.TryGetValue(request.MarketIdentifierCode, out var marketStack))
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was not able to find a market history entry for {request.MarketIdentifierCode}");
this._dataRequestRepository.CreateDataRequest(request);
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var securityDataTicks = marketStack.ActiveMarketHistory().Where(amh => amh != null)
.Select(
amh => amh.Securities?.FirstOrDefault(sec => Equals(sec.Security.Identifiers, request.Identifiers)))
.Where(sec => sec != null).Where(sec => sec.TimeStamp <= request.UniverseEventTimeTo)
.Where(sec => sec.TimeStamp >= request.UniverseEventTimeFrom).ToList();
if (!securityDataTicks.Any())
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was not able to find market data for the security on {request.MarketIdentifierCode} with ids {request.Identifiers}");
this._dataRequestRepository.CreateDataRequest(request);
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
this._logger.LogInformation(
$"UniverseMarketCache GetMarkets was able to find a market history entry for {request.MarketIdentifierCode} and id {request.Identifiers}");
return(new MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> >(securityDataTicks, false, false));
}
public FixedIncomeInterDayMarketDataResponse(MarketDataResponse <FixedIncomeInstrumentInterDayTimeBar> response)
{
this._response = response ?? throw new ArgumentNullException(nameof(response));
}
public void Setup()
{
_responseMissingData = new MarketDataResponse <EquityInstrumentInterDayTimeBar>(null, true, false);
_responseNoMissingData = new MarketDataResponse <EquityInstrumentInterDayTimeBar>(null, false, false);
}
private void Analyze(IProgress <AnalysisResult> progress)
{
int index = 0;
var itemTasks = new List <Task>();
foreach (var item in AnalysisItems)
{
itemTasks.Add(Task.Factory.StartNew(() =>
{
using (MarketDataHelper helper = new MarketDataHelper(MarketDataHelper.QuickLook))
{
MarketDataRequest request = new MarketDataRequest
{
TypeId = item.Product.ItemId.ToString(),
SystemId = MarketDataHelper.Jita,
Duration = MarketDataHelper.Freshness
};
var productData = helper.GetData(request);
MarketDataResponse.ResequenceOrders(productData);
var order = productData.HighestBuyOrder;
item.Product.Price = order != null ? order.Price : 0.0;
item.Product.ExportCost = ProductionHelper.GetExportCost(ProductionLevel);
item.Product.OutputBatchSize = ProductionHelper.GetOutputBatchSize(ProductionLevel);
item.Product.Data = productData;
foreach (var input in item.Materials)
{
request = new MarketDataRequest
{
TypeId = input.ItemId.ToString(),
Duration = MarketDataHelper.Freshness,
SystemId = MarketDataHelper.Jita
};
var materialData = helper.GetData(request);
MarketDataResponse.ResequenceOrders(materialData);
order = materialData.LowestSellOrder(null);
input.Price = order != null ? order.Price : 0.0;
input.ImportCost = ProductionHelper.GetImportCost(input.InputLevel);
input.InputBatchSize = ProductionHelper.GetInputBatchSize(input.InputLevel);
input.Data = materialData;
}
var productionResult = ProductionHelper.Calculate(item.Product, item.Materials);
item.ProductionCost = productionResult.PurchaseCost;
item.SaleValue = productionResult.SaleCost;
item.ProfitMargin = productionResult.ProfitMargin;
item.UpdateProperties();
var currentProgress = ((double)++index / AnalysisItems.Count) * 100;
progress.Report(new AnalysisResult
{
ProgressIndex = (int)currentProgress,
Item = item
});
Task.Delay(2000).Wait();
}
}, TaskCreationOptions.AttachedToParent));
}
Task.Factory.ContinueWhenAll(itemTasks.ToArray(), groupedTasks => {
});
}
/// <summary>
/// The interday market traded volume.
/// </summary>
/// <param name="securityResult">
/// The security result.
/// </param>
/// <returns>
/// The <see cref="long"/>.
/// </returns>
private long InterdayMarketTradedVolume(MarketDataResponse <List <EquityInstrumentInterDayTimeBar> > securityResult)
{
var marketTradedVolume = securityResult.Response.Sum(_ => _.DailySummaryTimeBar.DailyVolume.Traded);
return(marketTradedVolume);
}
/// <summary>
/// The intraday market traded volume.
/// </summary>
/// <param name="securityResult">
/// The security result.
/// </param>
/// <returns>
/// The <see cref="long"/>.
/// </returns>
private long IntradayMarketTradedVolume(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > securityResult)
{
var marketTradedVolume = securityResult.Response.Sum(_ => _.SpreadTimeBar.Volume.Traded);
return(marketTradedVolume);
}
public MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > GetMarketsForRange(
MarketDataRequest request,
IReadOnlyCollection <DateRange> dates,
RuleRunMode runMode)
{
dates = dates?.Where(dat => dat != null)?.ToList();
if (dates == null || !dates.Any())
{
this._logger.LogError(
"UniverseMarketCache GetMarketsForRange received either a null or invalid request (dates)");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (request == null || !request.IsValid())
{
this._logger.LogError(
"UniverseMarketCache GetMarketsForRange received either a null or invalid request");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var projectedRequests = dates.Select(
i => new MarketDataRequest(
null,
request.MarketIdentifierCode,
request.Cfi,
request.Identifiers,
i.Start,
i.End,
request.SystemProcessOperationRuleRunId,
request.IsCompleted,
DataSource.AnyIntraday)).ToList();
var responseList = new List <MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > >();
foreach (var paramSet in projectedRequests)
{
responseList.Add(this.GetMarkets(paramSet));
}
if (!responseList.Any())
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange had missing data for rule run id {request.SystemProcessOperationRuleRunId}");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
if (runMode == RuleRunMode.ValidationRun && responseList.Any(o => o.HadMissingData))
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange was running a validation run and had missing data for rule run id {request.SystemProcessOperationRuleRunId}");
return(MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> > .MissingData());
}
var isMissingData = responseList.Any(o => o.HadMissingData);
var responses = responseList.Where(i => i.Response != null).SelectMany(i => i.Response).ToList();
if (isMissingData)
{
this._logger.LogInformation(
$"UniverseMarketCache GetMarketsForRange was running and had missing data for rule run id {request.SystemProcessOperationRuleRunId} but is proceeding on a best effort basis");
}
// hide that we're missing data from the consumer
return(new MarketDataResponse <List <EquityInstrumentIntraDayTimeBar> >(responses, false, true));
}
public EquityIntraDayMarketDataResponse(MarketDataResponse <EquityInstrumentIntraDayTimeBar> response)
{
this._response = response ?? throw new ArgumentNullException(nameof(response));
}
