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;
}
/// <summary>
/// The build description.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="priceMovement">
/// The price movement.
/// </param>
/// <param name="startTick">
/// The start tick.
/// </param>
/// <param name="endTick">
/// The end tick.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription BuildDescription(
Order mostRecentTrade,
decimal priceMovement,
EquityInstrumentIntraDayTimeBar startTick,
EquityInstrumentIntraDayTimeBar endTick)
{
switch (mostRecentTrade.OrderDirection)
{
case OrderDirections.BUY:
case OrderDirections.COVER:
return(priceMovement < 0
? new RuleBreachDescription {
RuleBreached = true, Description = $" Prices in {mostRecentTrade.Instrument.Name} moved from ({endTick.SpreadTimeBar.Price.Currency}) {endTick.SpreadTimeBar.Price.Value} to ({startTick.SpreadTimeBar.Price.Currency}) {startTick.SpreadTimeBar.Price.Value} for a net change of {startTick.SpreadTimeBar.Price.Currency} {priceMovement} in line with the layering price pressure influence."
}
: RuleBreachDescription.False());
case OrderDirections.SELL:
case OrderDirections.SHORT:
return(priceMovement > 0
? new RuleBreachDescription {
RuleBreached = true, Description = $" Prices in {mostRecentTrade.Instrument.Name} moved from ({endTick.SpreadTimeBar.Price.Currency}) {endTick.SpreadTimeBar.Price.Value} to ({startTick.SpreadTimeBar.Price.Currency}) {startTick.SpreadTimeBar.Price.Value} for a net change of {startTick.SpreadTimeBar.Price.Currency} {priceMovement} in line with the layering price pressure influence."
} : RuleBreachDescription.False());
default:
this.logger.LogError($"Layering rule is not taking into account a new order position value (handles buy/sell) {mostRecentTrade.OrderDirection} (Arg Out of Range)");
this.ruleContext.EventException($"Layering rule is not taking into account a new order position value (handles buy/sell) {mostRecentTrade.OrderDirection} (Arg Out of Range)");
return(RuleBreachDescription.False());
}
}
/// <summary>
/// The check daily volume breach.
/// </summary>
/// <param name="opposingPosition">
/// The opposing position.
/// </param>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <returns>
/// The <see cref="RuleBreachDescription"/>.
/// </returns>
private RuleBreachDescription CheckDailyVolumeBreach(
ITradePosition opposingPosition,
Order mostRecentTrade)
{
var tradingHoursManager = this.tradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market.MarketIdentifierCode);
if (!tradingHoursManager.IsValid)
{
this.logger.LogInformation($"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 has rule breach.
/// </summary>
/// <param name="hasBidirectionalBreach">
/// The has bidirectional breach.
/// </param>
/// <param name="hasDailyVolumeBreach">
/// The has daily volume breach.
/// </param>
/// <param name="hasWindowVolumeBreach">
/// The has window volume breach.
/// </param>
/// <param name="priceMovementBreach">
/// The price movement breach.
/// </param>
/// <returns>
/// The <see cref="bool"/>.
/// </returns>
private bool HasRuleBreach(
RuleBreachDescription hasBidirectionalBreach,
RuleBreachDescription hasDailyVolumeBreach,
RuleBreachDescription hasWindowVolumeBreach,
RuleBreachDescription priceMovementBreach)
{
return((hasBidirectionalBreach?.RuleBreached ?? false) ||
(hasDailyVolumeBreach?.RuleBreached ?? false) ||
(hasWindowVolumeBreach?.RuleBreached ?? false) ||
(priceMovementBreach?.RuleBreached ?? false));
}
/// <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));
}
