/// <summary>
/// Initializes a new instance of the <see cref="LayeringRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="operationContext">
/// The op context.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public LayeringRule(
ILayeringRuleEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
ILogger logger,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
ISystemProcessOperationRunRuleContext operationContext,
RuleRunMode runMode,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(20),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.Layering,
EquityRuleLayeringFactory.Version,
"Layering Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.ruleContext = operationContext ?? throw new ArgumentNullException(nameof(operationContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
}
/// <summary>
/// The build subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="player">
/// The player.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="args">
/// The args.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> BuildSubscriptions(
ScheduledExecution execution,
IUniversePlayer player,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
ISystemProcessOperationContext operationContext,
RuleParameterDto ruleParameters,
params Func <ScheduledExecution,
RuleParameterDto,
ISystemProcessOperationContext,
IUniverseDataRequestsSubscriber,
IJudgementService,
IUniverseAlertStream,
IReadOnlyCollection <IUniverseRule> >[] args)
{
var universeRules = new List <IUniverseRule>();
foreach (var func in args)
{
var result = func.Invoke(
execution,
ruleParameters,
operationContext,
dataRequestSubscriber,
judgementService,
alertStream);
universeRules.AddRange(result);
}
return(universeRules);
}
/// <summary>
/// The subscribe to universe.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="layeringParameters">
/// The layering parameters.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> SubscribeToUniverse(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IReadOnlyCollection <ILayeringRuleEquitiesParameters> layeringParameters)
{
var subscriptions = new List <IUniverseRule>();
// ReSharper disable once ConditionIsAlwaysTrueOrFalse
if (layeringParameters != null && layeringParameters.Any())
{
foreach (var param in layeringParameters)
{
var paramSubscriptions = this.SubscribeToParameters(
execution,
operationContext,
alertStream,
universeDataRequestsSubscriber,
param);
subscriptions.Add(paramSubscriptions);
}
}
else
{
const string ErrorMessage = "tried to schedule a layering rule execution with no parameters set";
this.logger.LogError(ErrorMessage);
operationContext.EventError(ErrorMessage);
}
return(subscriptions);
}
/// <summary>
/// Initializes a new instance of the <see cref="CancelledOrderRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public CancelledOrderRule(
ICancelledOrderRuleEquitiesParameters parameters,
ISystemProcessOperationRunRuleContext operationContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
ILogger <CancelledOrderRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(60),
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(60),
parameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.CancelledOrders,
Versioner.Version(2, 0),
"Cancelled Order Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.operationContext = operationContext ?? throw new ArgumentNullException(nameof(operationContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
_alertStream = A.Fake <IUniverseAlertStream>();
_equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>();
_ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_opCtx = A.Fake <ISystemProcessOperationContext>();
_dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
_stubDataRequestRepository = A.Fake <IStubRuleRunDataRequestRepository>();
_equityFactoryCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
_equityFactory = new UniverseEquityMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _equityFactoryCache);
_fixedIncomeFactoryCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
_fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _fixedIncomeFactoryCache);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_logger = A.Fake <ILogger <IHighVolumeRule> >();
_tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
_orderFilter = A.Fake <IUniverseOrderFilter>();
A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
A.CallTo(() => _ruleCtx.EndEvent()).Returns(_opCtx);
}
/// <summary>
/// Initializes a new instance of the <see cref="MarkingTheCloseRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public MarkingTheCloseRule(
IMarkingTheCloseEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode,
ILogger <MarkingTheCloseRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.FromMinutes(30),
Domain.Surveillance.Scheduling.Rules.MarkingTheClose,
EquityRuleMarkingTheCloseFactory.Version,
"Marking The Close",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="WashTradeRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="clustering">
/// The clustering.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="currencyConverterService">
/// The currency converter service.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public WashTradeRule(
IWashTradeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
IClusteringService clustering,
IUniverseAlertStream alertStream,
ICurrencyConverterService currencyConverterService,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.WashTrade,
EquityRuleWashTradeFactory.Version,
"Wash Trade Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.clustering = clustering ?? throw new ArgumentNullException(nameof(clustering));
this.currencyConverterService =
currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeWashTradeRule"/> 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="runMode">
/// The run mode.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="clusteringService">
/// The clustering service.
/// </param>
/// <param name="portfolioFactory">
/// The portfolio factory.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public FixedIncomeWashTradeRule(
IWashTradeRuleFixedIncomeParameters parameters,
IUniverseFixedIncomeOrderFilterService orderFilterService,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
RuleRunMode runMode,
IUniverseAlertStream alertStream,
IClusteringService clusteringService,
IPortfolioFactory portfolioFactory,
ILogger <FixedIncomeWashTradeRule> logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
parameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.FixedIncomeWashTrades,
Versioner.Version(1, 0),
$"{nameof(FixedIncomeWashTradeRule)}",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.clusteringService = clusteringService ?? throw new ArgumentNullException(nameof(clusteringService));
this.portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The collate subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <returns>
/// The <see cref="IUniverseEvent"/>.
/// </returns>
public IReadOnlyCollection <IUniverseRule> CollateSubscriptions(
ScheduledExecution execution,
RuleParameterDto ruleParameters,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IUniverseAlertStream alertStream)
{
if (!execution.Rules?.Select(ru => ru.Rule).Contains(Rules.FixedIncomeWashTrades) ?? true)
{
return(new IUniverseRule[0]);
}
var filteredParameters = execution.Rules.SelectMany(ru => ru.Ids).Where(ru => ru != null).ToList();
var dtos = ruleParameters.FixedIncomeWashTrades.Where(
wt => filteredParameters.Contains(wt.Id, StringComparer.InvariantCultureIgnoreCase)).ToList();
var fixedIncomeWashTradeParameters = this.ruleParameterMapper.Map(execution, dtos);
var subscriptions = this.SubscribeToUniverse(
execution,
operationContext,
alertStream,
dataRequestSubscriber,
fixedIncomeWashTradeParameters);
return(subscriptions);
}
/// <summary>
/// Initializes a new instance of the <see cref="HighVolumeRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="currencyConverterService">
/// The currency converter service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public HighVolumeRule(
IHighVolumeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext operationContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <IHighVolumeRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows.BackwardWindowSize ?? TimeSpan.FromDays(1),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.HighVolume,
EquityRuleHighVolumeFactory.Version,
"High Volume Rule",
operationContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.EquitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.AlertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.OrderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.TradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.DataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.CurrencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="PlacingOrdersWithNoIntentToExecuteRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </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 PlacingOrdersWithNoIntentToExecuteRule(
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
IUniverseOrderFilter orderFilter,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IMarketTradingHoursService tradingHoursService,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
TimeSpan.FromHours(24),
TimeSpan.FromHours(24),
TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.PlacingOrderWithNoIntentToExecute,
EquityRulePlacingOrdersWithoutIntentToExecuteFactory.Version,
"Placing Orders With No Intent To Execute Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingStackLogger)
{
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IWashTradeRuleFixedIncomeParameters parameter)
{
var ctx = operationContext.CreateAndStartRuleRunContext(
Rules.FixedIncomeWashTrades.GetDescription(),
FixedIncomeWashTradeFactory.Version,
parameter.Id,
(int)Rules.FixedIncomeWashTrades,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var washTrade = this.fixedIncomeRuleWashTradeFactory.BuildRule(parameter, ctx, alertStream, runMode);
var washTradeOrgFactors = this.brokerServiceFactory.Build(
washTrade,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var washTradeFilters = this.DecorateWithFilters(
operationContext,
parameter,
washTradeOrgFactors,
universeDataRequestsSubscriber,
ctx,
runMode);
return(washTradeFilters);
}
public SpoofingSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext ?? throw new ArgumentNullException(nameof(scenarioContext));
this._universeSelectionState =
universeSelectionState ?? throw new ArgumentNullException(nameof(universeSelectionState));
this._orderAnalysisService = new OrderAnalysisService();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
var equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
var fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._equityRuleSpoofingFactory = new EquityRuleSpoofingFactory(
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
new UniverseEquityOrderFilterService(new NullLogger <UniverseEquityOrderFilterService>()),
new PortfolioFactory(),
this._orderAnalysisService,
new NullLogger <SpoofingRule>(),
new NullLogger <TradingHistoryStack>());
}
/// <summary>
/// The subscribe to universe.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="rampingParameters">
/// The ramping parameters.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> SubscribeToUniverse(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IReadOnlyCollection <IRampingRuleEquitiesParameters> rampingParameters,
IUniverseDataRequestsSubscriber dataRequestSubscriber)
{
var subscriptions = new List <IUniverseRule>();
if (rampingParameters != null && rampingParameters.Any())
{
foreach (var param in rampingParameters)
{
var baseSubscriber = this.SubscribeParameterToUniverse(
execution,
operationContext,
alertStream,
param,
dataRequestSubscriber);
subscriptions.Add(baseSubscriber);
}
}
else
{
const string ErrorMessage = "tried to schedule a cancelled order rule execution with no parameters set";
this.logger.LogError(ErrorMessage);
operationContext.EventError(ErrorMessage);
}
return(subscriptions);
}
/// <summary>
/// The subscribe for parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeForParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISpoofingRuleEquitiesParameters parameter)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.Spoofing.GetDescription(),
EquityRuleSpoofingFactory.Version,
parameter.Id,
(int)Rules.Spoofing,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var spoofingRule = this.equityRuleSpoofingFactory.Build(parameter, ruleCtx, alertStream, runMode);
var spoofingRuleOrgFactors = this.brokerServiceFactory.Build(
spoofingRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var filteredSpoofingRule = this.DecorateWithFilters(
operationContext,
parameter,
spoofingRuleOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(filteredSpoofingRule);
}
public IWashTradeRule Build(
IWashTradeRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode)
{
if (ruleCtx == null)
{
throw new ArgumentNullException(nameof(ruleCtx));
}
if (equitiesParameters == null)
{
throw new ArgumentNullException(nameof(equitiesParameters));
}
return(new WashTradeRule(
equitiesParameters,
ruleCtx,
this._clustering,
alertStream,
this._currencyConverterService,
this._orderFilterService,
this._equityFactory,
this._fixedIncomeFactory,
runMode,
this._logger,
this._tradingHistoryLogger));
}
/// <summary>
/// Initializes a new instance of the <see cref="SpoofingRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="portfolioFactory">
/// The portfolio factory.
/// </param>
/// <param name="analysisService">
/// The analysis service.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public SpoofingRule(
ISpoofingRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.Spoofing,
EquityRuleSpoofingFactory.Version,
"Spoofing Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this.analysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
}
/// <summary>
/// The collate subscriptions.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="ruleParameters">
/// The rule parameters.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
public IReadOnlyCollection <IUniverseRule> CollateSubscriptions(
ScheduledExecution execution,
RuleParameterDto ruleParameters,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IUniverseAlertStream alertStream)
{
if (!execution.Rules?.Select(_ => _.Rule)?.Contains(Rules.PlacingOrderWithNoIntentToExecute) ?? true)
{
return(new IUniverseRule[0]);
}
var filteredParameters = execution.Rules.SelectMany(_ => _.Ids).Where(_ => _ != null).ToList();
var dtos = ruleParameters.PlacingOrders
.Where(_ => filteredParameters.Contains(_.Id, StringComparer.InvariantCultureIgnoreCase)).ToList();
var placingOrderParameters = this.ruleParameterMapper.Map(execution, dtos);
var subscriptions = this.SubscribeToUniverse(
execution,
operationContext,
alertStream,
placingOrderParameters,
dataRequestSubscriber);
return(subscriptions);
}
public void Setup()
{
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._clustering = new ClusteringService();
this._equitiesParameters = A.Fake <IWashTradeRuleEquitiesParameters>();
this._logger = A.Fake <ILogger>();
this._ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
this._stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
this._loggerEquityCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
this._loggerFixedIncomeCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
this._tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._orderFilter = A.Fake <IUniverseOrderFilter>();
this._equityFactory = new UniverseEquityMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerEquityCache);
this._fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(
this._stubRuleRunRepository,
this._ruleRunRepository,
this._loggerFixedIncomeCache);
A.CallTo(() => this._orderFilter.Filter(A <IUniverseEvent> .Ignored))
.ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(true);
A.CallTo(() => this._equitiesParameters.ClusteringPercentageValueDifferenceThreshold).Returns(0.05m);
}
public CancelledOrdersSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
this._equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._alertStream = A.Fake <IUniverseAlertStream>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityRuleCancelledOrderFactory = new EquityRuleCancelledOrderFactory(
this._universeOrderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
new NullLogger <CancelledOrderRule>(),
new NullLogger <TradingHistoryStack>());
}
/// <summary>
/// The subscribe to universe.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="washTradeParameters">
/// The wash trade parameters.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IReadOnlyCollection <IUniverseRule> SubscribeToUniverse(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
IReadOnlyCollection <IWashTradeRuleFixedIncomeParameters> washTradeParameters)
{
var subscriptions = new List <IUniverseRule>();
if (washTradeParameters != null && washTradeParameters.Any())
{
foreach (var param in washTradeParameters)
{
var paramSubscriptions = this.SubscribeToParameters(
execution,
operationContext,
alertStream,
universeDataRequestsSubscriber,
param);
subscriptions.Add(paramSubscriptions);
}
}
else
{
const string ErrorMessage = "tried to schedule a wash trade rule execution with no parameters set";
this.logger.LogError(ErrorMessage);
operationContext.EventError(ErrorMessage);
}
return(subscriptions);
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = A.Fake <ILogger <CancelledOrderRule> >();
this._tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
this._parameters = A.Fake <ICancelledOrderRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
this._parameters = A.Fake <IWashTradeRuleFixedIncomeParameters>();
this._fixedIncomeOrderFile = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._clusteringService = A.Fake <IClusteringService>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._logger = new NullLogger <FixedIncomeHighProfitsRule>();
this._tradingStackLogger = new NullLogger <TradingHistoryStack>();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._orderAnalysisService = A.Fake <IOrderAnalysisService>();
this._logger = new NullLogger <SpoofingRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._spoofingEquitiesParameters = A.Fake <ISpoofingRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._logger = new NullLogger <MarkingTheCloseRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._equitiesParameters = A.Fake <IMarkingTheCloseEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._clustering = A.Fake <IClusteringService>();
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = new NullLogger <WashTradeRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._equitiesParameters = A.Fake <IWashTradeRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public void Setup()
{
_orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
_equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
_fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_logger = A.Fake <ILogger <IHighVolumeRule> >();
_tradingHistoryLogger = A.Fake <ILogger <TradingHistoryStack> >();
_equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>();
_opCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_alertStream = A.Fake <IUniverseAlertStream>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
}
private void Setup()
{
this._orderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._portfolioFactory = new PortfolioFactory();
this._clusteringService = new ClusteringService();
this._equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
}
public ICancelledOrderRule Build(
ICancelledOrderRuleEquitiesParameters parameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode)
{
return(new CancelledOrderRule(
parameters,
ruleCtx,
alertStream,
this._orderFilterService,
this._equityFactory,
this._fixedIncomeFactory,
runMode,
this._logger,
this._tradingHistoryLogger));
}
public WashTradeSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext;
this._universeSelectionState = universeSelectionState;
var exchangeRateApiRepository = A.Fake <IExchangeRateApiCachingDecorator>();
var exchangeRateDto = new ExchangeRateDto
{
DateTime = new DateTime(2018, 01, 01),
Name = "GBX/USD",
FixedCurrency = "GBX",
VariableCurrency = "USD",
Rate = 200d
};
A.CallTo(() => exchangeRateApiRepository.GetAsync(A <DateTime> .Ignored, A <DateTime> .Ignored)).Returns(
new Dictionary <DateTime, IReadOnlyCollection <ExchangeRateDto> >
{
{ new DateTime(2018, 01, 01), new[] { exchangeRateDto } }
});
var currencyLogger = new NullLogger <CurrencyConverterService>();
this._currencyConverterService = new CurrencyConverterService(exchangeRateApiRepository, currencyLogger);
this._washTradeClustering = new ClusteringService();
this._universeOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._logger = new NullLogger <WashTradeRule>();
this._tradingLogger = new NullLogger <TradingHistoryStack>();
this._equityRuleWashTradeFactory = new EquityRuleWashTradeFactory(
this._currencyConverterService,
this._washTradeClustering,
this._universeOrderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._logger,
this._tradingLogger);
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
