public HighMarketCapFilter(
IUniverseEquityMarketCacheFactory factory,
RuleRunMode ruleRunMode,
DecimalRangeRuleFilter marketCap,
IMarketTradingHoursService tradingHoursService,
ISystemProcessOperationRunRuleContext operationRunRuleContext,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ICurrencyConverterService currencyConverterService,
string ruleName,
ILogger <HighMarketCapFilter> logger
)
{
_universeEquityInterdayCache =
factory?.BuildInterday(ruleRunMode)
?? throw new ArgumentNullException(nameof(factory));
_ruleRunMode = ruleRunMode;
_marketCapFilter = marketCap ?? DecimalRangeRuleFilter.None();
_tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
_operationRunRuleContext = operationRunRuleContext ?? throw new ArgumentNullException(nameof(operationRunRuleContext));
_universeDataRequestsSubscriber = universeDataRequestsSubscriber;
this.currencyConverterService = currencyConverterService ?? throw new ArgumentNullException(nameof(currencyConverterService));
_name = ruleName;
_logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// Initializes a new instance of the <see cref="BaseUniverseRule"/> class.
/// </summary>
/// <param name="tradeBackwardWindowSize">
/// The trade backward window size.
/// </param>
/// <param name="marketBackwardWindowSize">
/// The market backward window size.
/// </param>
/// <param name="forwardWindowSize">
/// The forward window size.
/// </param>
/// <param name="rules">
/// The rules.
/// </param>
/// <param name="version">
/// The version.
/// </param>
/// <param name="name">
/// The name.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The equity factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The fixed income factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
protected BaseUniverseRule(
TimeSpan tradeBackwardWindowSize,
TimeSpan marketBackwardWindowSize,
TimeSpan forwardWindowSize,
Rules rules,
string version,
string name,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
RuleRunMode runMode,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
{
this.TradeBackwardWindowSize = tradeBackwardWindowSize;
this.ForwardWindowSize = forwardWindowSize;
this.Rule = rules;
this.Version = version ?? string.Empty;
this.UniverseEquityIntradayCache =
equityFactory?.BuildIntraday(marketBackwardWindowSize, runMode)
?? throw new ArgumentNullException(nameof(equityFactory));
this.FutureUniverseEquityIntradayCache =
equityFactory?.BuildIntraday(forwardWindowSize, runMode)
?? throw new ArgumentNullException(nameof(equityFactory));
this.UniverseEquityInterdayCache =
equityFactory?.BuildInterday(runMode)
?? throw new ArgumentNullException(nameof(equityFactory));
this.UniverseFixedIncomeIntradayCache =
fixedIncomeFactory?.BuildIntraday(marketBackwardWindowSize, runMode)
?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this.FutureUniverseFixedIncomeIntradayCache =
fixedIncomeFactory?.BuildIntraday(forwardWindowSize, runMode)
?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this.UniverseFixedIncomeInterdayCache =
fixedIncomeFactory?.BuildInterday(runMode)
?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this.TradingHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.TradingFillsHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.TradingInitialHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.DelayedTradingHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.DelayedTradingFillsHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.DelayedTradingInitialHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>();
this.RuleCtx = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.name = name ?? "Unnamed rule";
this.RunMode = runMode;
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingStackLogger = tradingStackLogger ?? throw new ArgumentNullException(nameof(tradingStackLogger));
}
public void SetUp()
{
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_universeMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
_universeEquityInterDayCache = A.Fake <IUniverseEquityInterDayCache>();
_universeDataRequestsSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
A.CallTo(() => _universeMarketCacheFactory.BuildInterday(Engine.Rules.Rules.RuleRunMode.ValidationRun))
.Returns(_universeEquityInterDayCache);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_operationRunRuleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
_logger = A.Fake <ILogger <HighMarketCapFilter> >();
}
/// <summary>
/// The base clone.
/// </summary>
public void BaseClone()
{
this.UniverseEquityIntradayCache = (IUniverseEquityIntraDayCache)this.UniverseEquityIntradayCache.Clone();
this.UniverseEquityInterdayCache = (IUniverseEquityInterDayCache)this.UniverseEquityInterdayCache.Clone();
this.FutureUniverseEquityIntradayCache = (IUniverseEquityIntraDayCache)this.FutureUniverseEquityIntradayCache.Clone();
this.UniverseFixedIncomeInterdayCache = (IUniverseFixedIncomeInterDayCache)this.UniverseFixedIncomeInterdayCache.Clone();
this.UniverseFixedIncomeIntradayCache = (IUniverseFixedIncomeIntraDayCache)this.UniverseFixedIncomeIntradayCache.Clone();
this.FutureUniverseFixedIncomeIntradayCache = (IUniverseFixedIncomeIntraDayCache)this.FutureUniverseFixedIncomeIntradayCache.Clone();
this.TradingHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.TradingHistory);
this.TradingFillsHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.TradingFillsHistory);
this.TradingInitialHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.TradingInitialHistory);
this.DelayedTradingHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.DelayedTradingHistory);
this.DelayedTradingFillsHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.DelayedTradingFillsHistory);
this.DelayedTradingInitialHistory = new ConcurrentDictionary <InstrumentIdentifiers, ITradingHistoryStack>(this.DelayedTradingInitialHistory);
}
public EquityInterDayMarketCacheStrategy(IUniverseEquityInterDayCache cache)
{
this._cache = cache ?? throw new ArgumentNullException(nameof(cache));
}
public void Setup()
{
this._interdayCache = A.Fake <IUniverseEquityInterDayCache>();
this._intradayCache = A.Fake <IUniverseEquityIntraDayCache>();
}
public void Setup()
{
this._cache = A.Fake <IUniverseEquityInterDayCache>();
}
