public void Filter_WhenUniverseEventAndTradingHoursIsNotValid_MustBeFiltered()
{
var fundOne = ((Order)null).Random();
var eventOne = new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, fundOne);
A.CallTo(() => _tradingHoursService.GetTradingHoursForMic(fundOne.Market.MarketIdentifierCode))
.Returns(new TradingHours()
{
IsValid = false
});
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Include
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(eventOne);
Assert.IsTrue(result);
}
public void Filter_WhenUniverseEventExcludeMarketCapFilter_MustNotBeFiltered()
{
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Exclude
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var eventOne = new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, new { });
var result = highMarketCapFilter.Filter(eventOne);
Assert.IsFalse(result);
}
public void Filter_WhenUniverseEventAndMarketCapFilter_MustFilterCorrectly(
decimal?marketCap,
decimal?min,
decimal?max,
bool mustBeFiltered)
{
A.CallTo(
() => this.currencyConverterService.Convert(
A <IReadOnlyCollection <Money> > .Ignored,
A <Currency> .Ignored,
A <DateTime> .Ignored,
A <ISystemProcessOperationRunRuleContext> .Ignored)).Returns(new Money(marketCap.Value, "GBP"));
var fundOne = ((Order)null).Random();
var eventOne = new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, fundOne);
A.CallTo(() => _tradingHoursService.GetTradingHoursForMic(fundOne.Market.MarketIdentifierCode))
.Returns(new TradingHours()
{
IsValid = true
});
//decimal? marketCap = 150;
var marketDataResponse = new MarketDataResponse <EquityInstrumentInterDayTimeBar>(
new EquityInstrumentInterDayTimeBar(null, new DailySummaryTimeBar(marketCap, "GBP", null, null, new Volume(), DateTime.UtcNow), DateTime.UtcNow, null), false, false);
A.CallTo(() => _universeEquityInterDayCache.Get(
A <MarketDataRequest> .That.Matches(
m => m.MarketIdentifierCode == fundOne.Market.MarketIdentifierCode &&
m.Cfi == fundOne.Instrument.Cfi
)))
.Returns(marketDataResponse);
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Include,
Min = min,
Max = max
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(eventOne);
Assert.AreEqual(result, mustBeFiltered);
}
public void Filter_WhenUniverseEventNull_MustNotBeFiltered()
{
var marketCapRangeRuleFilter = DecimalRangeRuleFilter.None();
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(null);
Assert.IsFalse(result);
}
public void Filter_WhenUniverseEventAndHadMissingDataInUniverseEquityInterdayCache_MustBeFiltered()
{
var fundOne = ((Order)null).Random();
var eventOne = new UniverseEvent(UniverseStateEvent.Order, DateTime.UtcNow, fundOne);
A.CallTo(() => _tradingHoursService.GetTradingHoursForMic(fundOne.Market.MarketIdentifierCode))
.Returns(new TradingHours()
{
IsValid = true
});
A.CallTo(() => _universeEquityInterDayCache.Get(
A <MarketDataRequest> .That.Matches(
m => m.MarketIdentifierCode == fundOne.Market.MarketIdentifierCode &&
m.Cfi == fundOne.Instrument.Cfi
)))
.Returns(MarketDataResponse <EquityInstrumentInterDayTimeBar> .MissingData());
var marketCapRangeRuleFilter = new DecimalRangeRuleFilter
{
Type = RuleFilterType.Include
};
var highMarketCapFilter = new HighMarketCapFilter(
_universeMarketCacheFactory,
Engine.Rules.Rules.RuleRunMode.ValidationRun,
marketCapRangeRuleFilter,
_tradingHoursService,
_operationRunRuleContext,
_universeDataRequestsSubscriber,
this.currencyConverterService,
"test",
_logger);
var result = highMarketCapFilter.Filter(eventOne);
Assert.IsTrue(result);
}