public PlacingOrderWithNoIntentToExecuteRuleRuleBreach(
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
IFactorValue factorValue,
decimal meanPrice,
decimal sdPrice,
IReadOnlyCollection <ProbabilityOfExecution> probabilityForOrders,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
ISystemProcessOperationRunRuleContext ctx,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.Window = window;
this.Trades = trades;
this.Security = security;
this.FactorValue = factorValue;
this.Parameters = parameters;
this.MeanPrice = meanPrice;
this.StandardDeviationPrice = sdPrice;
this.ProbabilityForOrders = probabilityForOrders ?? new List <ProbabilityOfExecution>();
this.RuleParameterId = parameters.Id;
this.SystemOperationId = ctx.Id();
this.CorrelationId = ctx.CorrelationId();
this.RuleParameters = parameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// Initializes a new instance of the <see cref="PlacingOrdersWithNoIntentToExecuteRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="fixedIncomeMarketCacheFactory">
/// The market cache factory.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public PlacingOrdersWithNoIntentToExecuteRule(
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
IUniverseOrderFilter orderFilter,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IMarketTradingHoursService tradingHoursService,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
TimeSpan.FromHours(24),
TimeSpan.FromHours(24),
TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.PlacingOrderWithNoIntentToExecute,
EquityRulePlacingOrdersWithoutIntentToExecuteFactory.Version,
"Placing Orders With No Intent To Execute Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingStackLogger)
{
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
/// <summary>
/// The decorate with filters.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="placingOrders">
/// The placing orders.
/// </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 DecorateWithFilters(
ISystemProcessOperationContext operationContext,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameter,
IUniverseRule placingOrders,
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(
placingOrders,
parameter.Accounts,
parameter.Traders,
parameter.Markets,
parameter.Funds,
parameter.Strategies,
parameter.Sectors,
parameter.Industries,
parameter.Regions,
parameter.Countries,
parameter.MarketCapFilter,
ruleRunMode,
"Placing Orders Equity",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
var decoratedFilter = filteredUniverse;
if (parameter.HasVenueVolumeFilters())
{
decoratedFilter = this.decoratorFilterFactory.Build(
parameter.Windows,
filteredUniverse,
parameter.VenueVolumeFilter,
processOperationRunRuleContext,
universeDataRequestsSubscriber,
DataSource.AnyIntraday,
ruleRunMode);
}
decoratedFilter.Subscribe(placingOrders);
return(decoratedFilter);
}
return(placingOrders);
}
public IPlacingOrdersWithNoIntentToExecuteRule Build(
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode)
{
return(new PlacingOrdersWithNoIntentToExecuteRule(
parameters,
this._orderFilterService,
ruleCtx,
this._equityFactory,
this._fixedIncomeFactory,
alertStream,
dataRequestSubscriber,
this._tradingHoursService,
runMode,
this._logger,
this._tradingHistoryLogger));
}
/// <summary>
/// The subscribe to parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeToParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameter,
IUniverseDataRequestsSubscriber dataRequestSubscriber)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.PlacingOrderWithNoIntentToExecute.GetDescription(),
EquityRulePlacingOrdersWithoutIntentToExecuteFactory.Version,
parameter.Id,
(int)Rules.PlacingOrderWithNoIntentToExecute,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var placingOrders = this.equityRulePlacingOrdersFactory.Build(
parameter,
alertStream,
ruleCtx,
dataRequestSubscriber,
runMode);
var placingOrdersOrgFactors = this.brokerServiceFactory.Build(
placingOrders,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var filteredPlacingOrders = this.DecorateWithFilters(
operationContext,
parameter,
placingOrdersOrgFactors,
dataRequestSubscriber,
ruleCtx,
runMode);
return(filteredPlacingOrders);
}
