public void GivenTheFixedIncomeClosePrices(Table table)
{
var rows = TableHelpers.ToEnumerableDictionary(table);
foreach (var row in rows)
{
var item = new SecurityTimeBarQuerySubResponse
{
Identifiers = new SecurityIdentifiers
{
Ric = row["_FixedIncomeSecurity"],
Isin = row["_FixedIncomeSecurity"],
Sedol = row["_FixedIncomeSecurity"],
ExternalIdentifiers = row["_FixedIncomeSecurity"]
},
Timebars =
{
new TimeBar
{
CloseAsk = double.Parse(row["ClosePrice"]),
CloseBid = double.Parse(row["ClosePrice"]),
CurrencyCode = "GBP",
EpochUtc = DateTime.Parse(row["Date"]).ToUniversalTime().ToTimestamp()
}
}
};
_ruleRunner.FixedIncomeClosePriceMock.Add(item);
}
}
public void GivenTheEquityClosePrices(Table table)
{
var rows = TableHelpers.ToEnumerableDictionary(table);
foreach (var row in rows)
{
var item = new FactsetSecurityDailyResponseItem
{
Epoch = DateTime.Parse(row["Date"], null, DateTimeStyles.AssumeUniversal),
ClosePrice = Convert.ToDecimal(row["ClosePrice"]),
Figi = IdentifierHelpers.ToIsinOrFigi(row["_EquitySecurity"]),
Currency = "GBP",
DailyVolume = row.ValueOrNull("DailyVolume") != null?Convert.ToInt64(row.ValueOrNull("DailyVolume")) : 0
};
_ruleRunner.EquityClosePriceMock.Add(item);
}
}
public void GivenTheAllocations(Table table)
{
var rows = TableHelpers.ToEnumerableDictionary(table);
_ruleRunner.AllocationCsvContent = MakeCsv(rows);
}
public void GivenTheOrders(Table table)
{
var rows = TableHelpers.ToEnumerableDictionary(table);
// expand special columns
foreach (var row in rows)
{
if (row.ContainsKey("_Date"))
{
var value = row["_Date"];
row.AddIfNotExists("OrderPlacedDate", value);
row.AddIfNotExists("OrderBookedDate", value);
row.AddIfNotExists("OrderAmendedDate", value);
row.AddIfNotExists("OrderFilledDate", value);
}
if (row.ContainsKey("_Volume"))
{
var value = row["_Volume"];
row.AddIfNotExists("OrderOrderedVolume", value);
row.AddIfNotExists("OrderFilledVolume", value);
}
if (row.ContainsKey("_EquitySecurity"))
{
var value = row["_EquitySecurity"];
var identifier = IdentifierHelpers.ToIsinOrFigi(value);
row.AddIfNotExists("MarketType", "STOCKEXCHANGE");
row.AddIfNotExists("OrderCurrency", "GBP");
row.AddIfNotExists("OrderType", "MARKET");
row.AddIfNotExists("InstrumentIsin", identifier);
row.AddIfNotExists("InstrumentFigi", identifier);
row.AddIfNotExists("MarketIdentifierCode", "XLON");
row.AddIfNotExists("InstrumentCfi", "e");
}
if (row.ContainsKey("_FixedIncomeSecurity"))
{
var value = row["_FixedIncomeSecurity"];
row.AddIfNotExists("MarketType", "STOCKEXCHANGE");
row.AddIfNotExists("OrderCurrency", "GBP");
row.AddIfNotExists("OrderType", "MARKET");
row.AddIfNotExists("InstrumentRic", value);
row.AddIfNotExists("MarketIdentifierCode", "RDFI");
row.AddIfNotExists("MarketName", "RDFI");
row.AddIfNotExists("InstrumentCfi", "d");
var identifier = IdentifierHelpers.ToIsinOrFigi(value);
row.AddIfNotExists("InstrumentIsin", identifier);
}
}
_ruleRunner.TradeCsvContent = MakeCsv(rows);
// default allocations
if (_ruleRunner.AllocationCsvContent == null)
{
var allocationRows = rows.Select(x => new Dictionary <string, string>
{
["OrderId"] = x["OrderId"],
["Fund"] = "",
["Strategy"] = "",
["ClientAccountId"] = "",
["OrderFilledVolume"] = x.ValueOrNull("OrderFilledVolume")
});
_ruleRunner.AllocationCsvContent = MakeCsv(allocationRows);
}
}