public void RunRule_RaisesAlertInEschaton_WhenBidirectionalTrade()
{
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, null, null, null, false, true);
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(-1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedTwiceExactly();
}
public void RunRule_DoesNotRaiseAlertInEschaton_WhenBidirectionalTradeAndDoesNotExceedsWindowThreshold_AndNoMarketData()
{
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, 0.1m, null, null, false, true);
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 100;
tradeSell.OrderFilledVolume = 100;
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var marketData = new EquityIntraDayTimeBarCollection(market, tradeBuy.PlacedDate.Value.AddSeconds(-55),
new List <EquityInstrumentIntraDayTimeBar>
{
new EquityInstrumentIntraDayTimeBar(
tradeBuy.Instrument,
new SpreadTimeBar(
tradeBuy.OrderAverageFillPrice.Value,
tradeSell.OrderAverageFillPrice.Value,
tradeSell.OrderAverageFillPrice.Value,
new Volume(2000)),
new DailySummaryTimeBar(
1000,
"USD",
new IntradayPrices(tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value,
tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value),
1000,
new Volume(2000),
tradeBuy.PlacedDate.Value.AddSeconds(-55)),
tradeBuy.PlacedDate.Value.AddSeconds(-55),
market)
});
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var marketDataEvent = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, tradeBuy.PlacedDate.Value.AddSeconds(-55), marketData);
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(marketDataEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedOnceExactly();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
}
public void RunRule_DoesNotRaiseAlertInEschaton_WhenBidirectionalTradeAndNoPriceMovementData()
{
var parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, null, true, null, false, true);
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(parameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 300;
tradeSell.OrderFilledVolume = 5;
tradeBuy.PlacedDate = new DateTime(2018, 10, 14, 10, 30, 0);
tradeSell.PlacedDate = tradeBuy.PlacedDate.Value.AddSeconds(30);
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var initialPrice = tradeBuy.OrderAverageFillPrice.Value.Value;
var marketData5 = SetExchangeFrameToPrice(market, tradeBuy, tradeSell, initialPrice * 1.2m, tradeSell.PlacedDate.Value.AddSeconds(5));
var marketData6 = SetExchangeFrameToPrice(market, tradeBuy, tradeSell, initialPrice * 1.25m, tradeSell.PlacedDate.Value.AddSeconds(10));
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var marketDataEvent5 = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, marketData5.Epoch, marketData5);
var marketDataEvent6 = new UniverseEvent(UniverseStateEvent.EquityIntraDayTick, marketData6.Epoch, marketData6);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(marketDataEvent5);
rule.OnNext(marketDataEvent6);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappenedOnceExactly();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
}
public void Tuner_AdjustsLayeringRuleField_AsExpected()
{
var tuner = new RuleParameterTuner(this._logger);
var ruleParameters = new LayeringRuleEquitiesParameters(
"id",
TimeSpan.FromHours(1),
0.3m,
0.4m,
true,
null,
true,
true);
var result = tuner.ParametersFramework(ruleParameters);
Assert.That(result, Is.Not.Null);
Assert.That(result.Count, Is.EqualTo(18));
}
public void GivenIHaveTheLayeringRuleParameterValues(Table layeringParameters)
{
if (layeringParameters.RowCount != 1)
{
this._scenarioContext.Pending();
return;
}
var parameters = layeringParameters.CreateInstance <LayeringApiParameters>();
this._parameters = new LayeringRuleEquitiesParameters(
"0",
new TimeSpan(parameters.WindowHours, 0, 0),
parameters.PercentageOfMarketDailyVolume,
parameters.PercentageOfMarketWindowVolume,
parameters.CheckForCorrespondingPriceMovement,
new ClientOrganisationalFactors[0],
true,
true);
}
private LayeringRule BuildRule(LayeringRuleEquitiesParameters parameters = null)
{
if (parameters == null)
{
parameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), null, null, true, null, false, true);
}
var rule =
new LayeringRule(
parameters,
_alertStream,
_orderFilter,
_logger,
_equityFactory,
_fixedIncomeFactory,
_tradingHoursService,
_ruleCtx,
RuleRunMode.ValidationRun,
_tradingLogger);
return(rule);
}
