/// <summary>
/// The data constraints.
/// </summary>
/// <returns>
/// The <see cref="IRuleDataConstraint"/>.
/// </returns>
public override IRuleDataConstraint DataConstraints()
{
if (this.EquitiesParameters == null)
{
return(RuleDataConstraint.Empty().Case);
}
var constraints = new List <RuleDataSubConstraint>();
if (this.EquitiesParameters.HighVolumePercentageDaily != null)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyInterday,
_ => true);
constraints.Add(constraint);
}
if (this.EquitiesParameters.HighVolumePercentageMarketCap != null)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyInterday,
_ => !this.OrderFilter.Filter(_));
constraints.Add(constraint);
}
if (this.EquitiesParameters.HighVolumePercentageWindow != null)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyIntraday,
_ => !this.OrderFilter.Filter(_));
constraints.Add(constraint);
}
return(new RuleDataConstraint(
this.Rule,
this.EquitiesParameters.Id,
constraints));
}
/// <summary>
/// The data constraints.
/// </summary>
/// <returns>
/// The <see cref="IRuleDataConstraint"/>.
/// </returns>
public override IRuleDataConstraint DataConstraints()
{
if (this.rampingParameters == null)
{
return(RuleDataConstraint.Empty().Case);
}
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyIntraday,
_ => !this.orderFilter.Filter(_));
return(new RuleDataConstraint(
this.Rule,
this.rampingParameters.Id,
new[] { constraint }));
}
/// <summary>
/// The data constraints.
/// </summary>
/// <returns>
/// The <see cref="IRuleDataConstraint"/>.
/// </returns>
public override IRuleDataConstraint DataConstraints()
{
if (this.equitiesParameters == null)
{
return(RuleDataConstraint.Empty().Case);
}
var constraints = new List <RuleDataSubConstraint>();
if (this.equitiesParameters.PercentageThresholdDailyVolume != null)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyInterday,
_ => !this.orderFilter.Filter(_));
constraints.Add(constraint);
}
if (this.equitiesParameters.PercentageThresholdWindowVolume != null)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.AnyInterday,
_ => !this.orderFilter.Filter(_));
constraints.Add(constraint);
}
return(new RuleDataConstraint(
this.Rule,
this.equitiesParameters.Id,
constraints));
}
/// <summary>
/// The data constraints.
/// </summary>
/// <returns>
/// The <see cref="IRuleDataConstraint"/>.
/// </returns>
public override IRuleDataConstraint DataConstraints()
{
if (this.FixedIncomeParameters == null)
{
return(RuleDataConstraint.Empty().Case);
}
var constraints = new List <RuleDataSubConstraint>();
if (this.FixedIncomeParameters.PerformHighProfitDailyAnalysis)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.RefinitivInterday,
_ => !this.orderFilter.Filter(_));
constraints.Add(constraint);
}
if (this.FixedIncomeParameters.PerformHighProfitWindowAnalysis)
{
var constraint = new RuleDataSubConstraint(
this.ForwardWindowSize,
this.TradeBackwardWindowSize,
DataSource.RefinitivIntraday,
_ => !this.orderFilter.Filter(_));
constraints.Add(constraint);
}
return(new RuleDataConstraint(
this.Rule,
this.FixedIncomeParameters.Id,
constraints));
}
