/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilterService">
/// The order filter service.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The factory.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public FixedIncomeHighVolumeRule(
IHighVolumeIssuanceRuleFixedIncomeParameters parameters,
IUniverseFixedIncomeOrderFilterService orderFilterService,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IFixedIncomeHighVolumeJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IMarketTradingHoursService tradingHoursService,
RuleRunMode runMode,
ILogger <FixedIncomeHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
parameters.Windows.BackwardWindowSize,
parameters.Windows.BackwardWindowSize,
parameters.Windows.FutureWindowSize,
Rules.FixedIncomeHighVolumeIssuance,
FixedIncomeHighVolumeFactory.Version,
$"{nameof(FixedIncomeHighVolumeRule)}",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.judgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
this.parameters = A.Fake <IHighVolumeIssuanceRuleFixedIncomeParameters>();
this.fixedIncomeOrderFile = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this.fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this.marketTradingHoursService = A.Fake <IMarketTradingHoursService>();
this.tradingStackLogger = new NullLogger <TradingHistoryStack>();
}
/// <summary>
/// The build rule method to return a new high volume issuance rule with each call.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="judgementService">
/// The judgement service/
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <returns>
/// The <see cref="IFixedIncomeHighVolumeRule"/>.
/// </returns>
public IFixedIncomeHighVolumeRule BuildRule(
IHighVolumeIssuanceRuleFixedIncomeParameters parameters,
ISystemProcessOperationRunRuleContext operationContext,
IFixedIncomeHighVolumeJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode)
{
return(new FixedIncomeHighVolumeRule(
parameters,
this.filterService,
operationContext,
this.equityMarketCacheFactory,
this.fixedIncomeMarketCacheFactory,
judgementService,
dataRequestSubscriber,
this.marketTradingHoursService,
runMode,
this.logger,
this.tradingLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighVolumeJudgementContext"/> class.
/// </summary>
/// <param name="judgement">
/// The judgement.
/// </param>
/// <param name="raiseRuleViolation">
/// The raise rule violation.
/// </param>
/// <param name="ruleBreachContext">
/// The rule breach context.
/// </param>
/// <param name="fixedIncomeParameters">
/// The fixed income parameters.
/// </param>
/// <param name="totalOrdersTradedInWindow">
/// The total orders traded in window.
/// </param>
/// <param name="security">
/// The security.
/// </param>
/// <param name="isIssuanceBreach">
/// The is issuance breach.
/// </param>
/// <param name="tradePosition">
/// The trade Position.
/// </param>
/// <param name="venue">
/// The venue.
/// </param>
public FixedIncomeHighVolumeJudgementContext(
IFixedIncomeHighVolumeJudgement judgement,
bool raiseRuleViolation,
IRuleBreachContext ruleBreachContext,
IHighVolumeIssuanceRuleFixedIncomeParameters fixedIncomeParameters,
decimal totalOrdersTradedInWindow,
FinancialInstrument security,
bool isIssuanceBreach,
TradePosition tradePosition,
Market venue)
{
this.Judgement = judgement;
this.RaiseRuleViolation = raiseRuleViolation;
this.RuleBreachContext = ruleBreachContext;
this.FixedIncomeParameters = fixedIncomeParameters;
this.TotalOrdersTradedInWindow = totalOrdersTradedInWindow;
this.Security = security;
this.IsIssuanceBreach = isIssuanceBreach;
this.TradePosition = tradePosition;
this.Venue = venue;
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="judgementService">
/// The judgement Service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IHighVolumeIssuanceRuleFixedIncomeParameters parameters)
{
var ruleContext = operationContext.CreateAndStartRuleRunContext(
Rules.FixedIncomeHighVolumeIssuance.GetDescription(),
FixedIncomeHighVolumeFactory.Version,
parameters.Id,
(int)Rules.FixedIncomeHighVolumeIssuance,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var highVolume = this.fixedIncomeRuleHighVolumeFactory.BuildRule(
parameters,
ruleContext,
judgementService,
dataRequestSubscriber,
runMode);
var highVolumeOrgFactors = this.brokerServiceFactory.Build(
highVolume,
parameters.Factors,
parameters.AggregateNonFactorableIntoOwnCategory);
var highVolumeFilters = this.DecorateWithFilters(
operationContext,
parameters,
highVolumeOrgFactors,
dataRequestSubscriber,
ruleContext,
runMode);
return(highVolumeFilters);
}
/// <summary>
/// The decorate with filters.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="highVolume">
/// The high volume.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="processOperationRunRuleContext">
/// The process operation run rule context.
/// </param>
/// <param name="ruleRunMode">
/// The rule run mode.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule DecorateWithFilters(
ISystemProcessOperationContext operationContext,
IHighVolumeIssuanceRuleFixedIncomeParameters parameters,
IUniverseRule highVolume,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISystemProcessOperationRunRuleContext processOperationRunRuleContext,
RuleRunMode ruleRunMode)
{
if (parameters.HasInternalFilters())
{
this.logger.LogInformation($"parameters had filters. Inserting filtered universe in {operationContext.Id} operation context");
var filteredUniverse = this.universeFilterFactory.Build(
highVolume,
parameters.Accounts,
parameters.Traders,
parameters.Markets,
parameters.Funds,
parameters.Strategies,
null,
null,
null,
null,
null,
ruleRunMode,
"High Volume Fixed Income",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
filteredUniverse.Subscribe(highVolume);
return(filteredUniverse);
}
return(highVolume);
}
