private string SellVolumeDescription(
IMarkingTheCloseBreach ruleBreach,
decimal volumePercentageSetByUser,
decimal sellVolumePercentage,
bool window)
{
var windowType = window ? "Daily" : "Window";
return
($" {windowType} volume threshold of {volumePercentageSetByUser}% was exceeded on sell orders by {sellVolumePercentage}% of {windowType.ToLower()} volume purchased within {ruleBreach.Window.TotalMinutes} minutes of market close.");
}
public async Task Send(IMarkingTheCloseBreach breach)
{
if (breach == null)
{
this.Logger.LogInformation(
"MarkingTheCloseMessageSender received a null breach for rule ctx. Returning.");
return;
}
var description = this.BuildDescription(breach);
await this.Send(breach, description);
}
private string BuildDescription(IMarkingTheCloseBreach ruleBreach)
{
var header =
$"Marking the close rule breach detected for {ruleBreach.Security.Name} traded on {ruleBreach.MarketClose.MarketId} which closed at {ruleBreach.MarketClose.MarketClose.ToShortTimeString()}. ";
if ((ruleBreach.WindowBreach?.HasBuyVolumeBreach ?? false) ||
(ruleBreach.WindowBreach?.HasSellVolumeBreach ?? false))
{
header = this.AppendWindowBreach(ruleBreach, header);
}
if ((ruleBreach.DailyBreach?.HasBuyVolumeBreach ?? false) ||
(ruleBreach.DailyBreach?.HasSellVolumeBreach ?? false))
{
header = this.AppendDailyBreach(ruleBreach, header);
}
return(header);
}
private string AppendWindowBreach(IMarkingTheCloseBreach ruleBreach, string header)
{
if (ruleBreach?.WindowBreach == null)
{
return(header);
}
var windowVolumePercentageSetByUser = Math.Round(
ruleBreach.EquitiesParameters.PercentageThresholdWindowVolume.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var windowBuyVolumePercentage = Math.Round(
ruleBreach.WindowBreach.BuyVolumeBreach.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var windowSellVolumePercentage = Math.Round(
ruleBreach.WindowBreach.SellVolumeBreach.GetValueOrDefault(0) * 100m,
2,
MidpointRounding.AwayFromZero);
var windowBuyVolumeMark = ruleBreach.WindowBreach.HasBuyVolumeBreach
? this.BuyVolumeDescription(
ruleBreach,
windowVolumePercentageSetByUser,
windowBuyVolumePercentage,
false)
: string.Empty;
var windowSellVolumeMark = ruleBreach.WindowBreach.HasSellVolumeBreach
? this.SellVolumeDescription(
ruleBreach,
windowVolumePercentageSetByUser,
windowSellVolumePercentage,
false)
: string.Empty;
header = $"{header}{windowBuyVolumeMark}{windowSellVolumeMark}";
return(header);
}