/// <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 = $" Percentage of market daily volume traded within a {this.equitiesParameters.Windows.BackwardWindowSize.TotalSeconds} second window exceeded the layering window threshold of {this.equitiesParameters.PercentageOfMarketDailyVolume * 100}%."
});
}
return(RuleBreachDescription.False());
}
/// <summary>
/// The daily volume check.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradedVolume">
/// The traded volume.
/// </param>
/// <returns>
/// The <see cref="BreachDetails"/>.
/// </returns>
private HighVolumeRuleBreach.BreachDetails DailyVolumeCheck(Order mostRecentTrade, decimal tradedVolume)
{
if (mostRecentTrade == null)
{
return(HighVolumeRuleBreach.BreachDetails.None());
}
var tradingHours = this.TradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
this.Logger.LogError($"Request for trading hours was invalid. MIC - {mostRecentTrade.Market?.MarketIdentifierCode}");
}
var marketDataRequest = new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
tradingHours.ClosingInUtcForDay(UniverseDateTime),
this.RuleCtx?.Id(),
DataSource.AnyInterday);
var securityResult = UniverseEquityInterdayCache.Get(marketDataRequest);
if (securityResult.HadMissingData)
{
this.HadMissingData = true;
this.Logger.LogWarning($"Missing data for {marketDataRequest}.");
return(HighVolumeRuleBreach.BreachDetails.None());
}
var security = securityResult.Response;
var threshold = (long)Math.Ceiling(
this.EquitiesParameters.HighVolumePercentageDaily.GetValueOrDefault(0) * security.DailySummaryTimeBar.DailyVolume.Traded);
if (threshold <= 0)
{
this.HadMissingData = true;
this.Logger.LogInformation($"Daily volume threshold of {threshold} was recorded.");
return(HighVolumeRuleBreach.BreachDetails.None());
}
var breachPercentage =
security.DailySummaryTimeBar.DailyVolume.Traded != 0 && tradedVolume != 0
? (decimal)tradedVolume / (decimal)security.DailySummaryTimeBar.DailyVolume.Traded
: 0;
if (tradedVolume >= threshold)
{
return(new HighVolumeRuleBreach.BreachDetails(true, breachPercentage, threshold, mostRecentTrade.Market));
}
return(HighVolumeRuleBreach.BreachDetails.None());
}
/// <summary>
/// The check daily volume traded.
/// </summary>
/// <param name="securities">
/// The securities.
/// </param>
/// <returns>
/// The <see cref="VolumeBreach"/>.
/// </returns>
private VolumeBreach CheckDailyVolumeTraded(
Stack <Order> securities)
{
if (!securities.Any())
{
return(new VolumeBreach());
}
var marketDataRequest = new MarketDataRequest(
securities.Peek().Market.MarketIdentifierCode,
securities.Peek().Instrument.Cfi,
securities.Peek().Instrument.Identifiers,
UniverseDateTime.Subtract(this.TradeBackwardWindowSize), // implicitly correct (market closure event trigger)
UniverseDateTime,
this.ruleContext?.Id(),
DataSource.AnyInterday);
var dataResponse = UniverseEquityInterdayCache.Get(marketDataRequest);
if (dataResponse.HadMissingData)
{
this.hadMissingData = true;
this.logger.LogInformation($"had missing data for {securities.Peek().Instrument.Identifiers} on {UniverseDateTime}");
return(new VolumeBreach());
}
var tradedSecurity = dataResponse.Response;
var thresholdVolumeTraded = tradedSecurity.DailySummaryTimeBar.DailyVolume.Traded * this.equitiesParameters.PercentageThresholdDailyVolume;
if (thresholdVolumeTraded == null)
{
this.hadMissingData = true;
return(new VolumeBreach());
}
var result =
this.CalculateVolumeBreaches(
securities,
thresholdVolumeTraded.GetValueOrDefault(0),
tradedSecurity.DailySummaryTimeBar.DailyVolume.Traded);
return(result);
}
