/// <summary>
/// Initializes a new instance of the <see cref="HighProfitMarketClosureRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </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="marketDataCacheFactory">
/// The market data cache factory.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public HighProfitMarketClosureRule(
IHighProfitsRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IEquityMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IHighProfitJudgementService judgementService,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <HighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters,
ruleContext,
costCalculatorFactory,
revenueCalculatorFactory,
exchangeRateProfitCalculator,
orderFilter,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
marketDataCacheFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
logger,
tradingHistoryLogger)
{
this.MarketClosureRule = true;
}
/// <summary>
/// Initializes a new instance of the <see cref="HighProfitsRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="streamRule">
/// The stream rule.
/// </param>
/// <param name="marketClosureRule">
/// The market closure rule.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
public HighProfitsRule(
IHighProfitsRuleEquitiesParameters equitiesParameters,
IHighProfitStreamRule streamRule,
IHighProfitMarketClosureRule marketClosureRule,
ILogger <HighProfitsRule> logger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.streamRule = streamRule ?? throw new ArgumentNullException(nameof(streamRule));
this.marketClosureRule = marketClosureRule ?? throw new ArgumentNullException(nameof(marketClosureRule));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The subscribe parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </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="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
IHighProfitsRuleEquitiesParameters parameter)
{
var ruleCtxStream = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var ruleCtxMarketClosure = operationContext.CreateAndStartRuleRunContext(
Rules.HighProfits.GetDescription(),
EquityRuleHighProfitFactory.Version,
parameter.Id,
(int)Rules.HighProfits,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var highProfitsRule = this.equityRuleHighProfitFactory.Build(
parameter,
ruleCtxStream,
ruleCtxMarketClosure,
dataRequestSubscriber,
judgementService,
execution);
var highProfitsRuleOrgFactor = this.brokerServiceFactory.Build(
highProfitsRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var decoratedHighProfits = this.DecorateWithFilter(
operationContext,
parameter,
highProfitsRuleOrgFactor,
dataRequestSubscriber,
ruleCtxMarketClosure,
runMode);
return(decoratedHighProfits);
}
/// <summary>
/// The decorate with filter.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="highProfitsRule">
/// The high profits rule.
/// </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 DecorateWithFilter(
ISystemProcessOperationContext operationContext,
IHighProfitsRuleEquitiesParameters parameter,
IUniverseRule highProfitsRule,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISystemProcessOperationRunRuleContext processOperationRunRuleContext,
RuleRunMode ruleRunMode)
{
if (parameter.HasInternalFilters() || parameter.HasReferenceDataFilters() || parameter.HasMarketCapFilters() ||
parameter.HasVenueVolumeFilters())
{
this.logger.LogInformation($"parameters had filters. Inserting filtered universe in {operationContext.Id} OpCtx");
var filteredUniverse = this.universeFilterFactory.Build(
highProfitsRule,
parameter.Accounts,
parameter.Traders,
parameter.Markets,
parameter.Funds,
parameter.Strategies,
parameter.Sectors,
parameter.Industries,
parameter.Regions,
parameter.Countries,
parameter.MarketCapFilter,
ruleRunMode,
"High Profits Equity",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
var decoratedFilter = filteredUniverse;
if (parameter.HasVenueVolumeFilters())
{
decoratedFilter = this.decoratorFilterFactory.Build(
parameter.Windows,
filteredUniverse,
parameter.VenueVolumeFilter,
processOperationRunRuleContext,
universeDataRequestsSubscriber,
this.HighProfitDataSourceForWindow(parameter),
ruleRunMode);
}
decoratedFilter.Subscribe(highProfitsRule);
return(decoratedFilter);
}
return(highProfitsRule);
}
/// <summary>
/// Initializes a new instance of the <see cref="HighProfitStreamRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </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="marketDataCacheFactory">
/// The market data cache factory.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public HighProfitStreamRule(
IHighProfitsRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IEquityMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IHighProfitJudgementService judgementService,
ICurrencyConverterService currencyConversionService,
RuleRunMode runMode,
ILogger <HighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.HighProfits,
EquityRuleHighProfitFactory.Version,
"High Profit Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.EquitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.RuleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.CostCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this.RevenueCalculatorFactory =
revenueCalculatorFactory ?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this.MarketDataCacheFactory =
marketDataCacheFactory ?? throw new ArgumentNullException(nameof(marketDataCacheFactory));
this.ExchangeRateProfitCalculator =
exchangeRateProfitCalculator ?? throw new ArgumentNullException(nameof(exchangeRateProfitCalculator));
this.OrderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.DataRequestSubscriber =
dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.currencyConversionService = currencyConversionService ?? throw new ArgumentNullException(nameof(currencyConversionService));
this.JudgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public IHighProfitRule Build(
IHighProfitsRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtxStream,
ISystemProcessOperationRunRuleContext ruleCtxMarket,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IJudgementService judgementService,
ScheduledExecution scheduledExecution)
{
var runMode = scheduledExecution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var stream = new HighProfitStreamRule(
equitiesParameters,
ruleCtxStream,
this._costCalculatorFactory,
this._revenueCalculatorFactory,
this._exchangeRateProfitCalculator,
this._orderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._cacheStrategyFactory,
dataRequestSubscriber,
judgementService,
this._currencyConversionService,
runMode,
this._logger,
this._tradingHistoryLogger);
var marketClosure = new HighProfitMarketClosureRule(
equitiesParameters,
ruleCtxMarket,
this._costCalculatorFactory,
this._revenueCalculatorFactory,
this._exchangeRateProfitCalculator,
this._orderFilterService,
this._equityMarketCacheFactory,
this._fixedIncomeMarketCacheFactory,
this._cacheStrategyFactory,
dataRequestSubscriber,
judgementService,
this._currencyConversionService,
runMode,
this._logger,
this._tradingHistoryLogger);
return(new HighProfitsRule(equitiesParameters, stream, marketClosure, this._logger));
}
/// <summary>
/// The high profit data source for window.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <returns>
/// The <see cref="DataSource"/>.
/// </returns>
private DataSource HighProfitDataSourceForWindow(IHighProfitsRuleEquitiesParameters parameters)
{
if (parameters == null)
{
return(DataSource.AnyInterday);
}
if (parameters.PerformHighProfitWindowAnalysis)
{
return(DataSource.AnyIntraday);
}
if (parameters.PerformHighProfitDailyAnalysis)
{
return(DataSource.AnyInterday);
}
return(this.DataSourceForWindow(parameters.Windows));
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this._revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this._exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._cacheStrategyFactory = A.Fake <IEquityMarketDataCacheStrategyFactory>();
this._judgementService = A.Fake <IJudgementService>();
this._logger = new NullLogger <HighProfitsRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._currencyConverterService = A.Fake <ICurrencyConverterService>();
this._equitiesParameters = A.Fake <IHighProfitsRuleEquitiesParameters>();
this._ruleCtxStream = A.Fake <ISystemProcessOperationRunRuleContext>();
this._ruleCtxMarket = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._scheduledExecution = new ScheduledExecution();
}
public HighProfitJudgementContext(
HighProfitJudgement judgement,
bool projectToAlert,
IRuleBreachContext ruleBreachContext,
IHighProfitsRuleEquitiesParameters equitiesParameters,
Money?absoluteProfits,
string absoluteProfitCurrency,
decimal?relativeProfits,
bool hasAbsoluteProfitBreach,
bool hasRelativeProfitBreach,
IExchangeRateProfitBreakdown profitBreakdown)
{
this.Judgement = judgement;
this.RaiseRuleViolation = projectToAlert;
this.RuleBreachContext = ruleBreachContext;
this.EquitiesParameters = equitiesParameters;
this.AbsoluteProfits = absoluteProfits;
this.AbsoluteProfitCurrency = absoluteProfitCurrency;
this.RelativeProfits = relativeProfits;
this.HasAbsoluteProfitBreach = hasAbsoluteProfitBreach;
this.HasRelativeProfitBreach = hasRelativeProfitBreach;
this.ExchangeRateProfits = profitBreakdown;
}
