public MarkingTheCloseBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
TimeSpan window,
FinancialInstrument security,
MarketOpenClose marketClose,
ITradePosition tradingPosition,
IMarkingTheCloseEquitiesParameters equitiesParameters,
VolumeBreach dailyBreach,
VolumeBreach windowBreach,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Window = window;
this.Security = security ?? throw new ArgumentNullException(nameof(security));
this.MarketClose = marketClose ?? throw new ArgumentNullException(nameof(marketClose));
this.Trades = tradingPosition ?? new TradePosition(new List <Order>());
this.EquitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.DailyBreach = dailyBreach;
this.WindowBreach = windowBreach;
this.RuleParameterId = equitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = equitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// The market close.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketClose(MarketOpenClose exchange)
{
this.Logger.LogInformation(
$"Trading closed for exchange {exchange.MarketId}. Running market closure virtual profits check.");
this.RunRuleForAllDelayedTradingHistoriesInMarket(exchange, this.UniverseDateTime);
}
/// <summary>
/// The run rule for all trading histories in market.
/// </summary>
/// <param name="closeOpen">
/// The close open.
/// </param>
/// <param name="currentTimeInUniverse">
/// The current time in universe.
/// </param>
protected void RunRuleForAllTradingHistoriesInMarket(MarketOpenClose closeOpen, DateTime?currentTimeInUniverse = null)
{
lock (this.@lock)
{
if (closeOpen == null)
{
return;
}
this.logger?.LogInformation($"Base universe rule for {this.name} - Run rule for all trading histories for the market {closeOpen.MarketId} {currentTimeInUniverse}");
var filteredTradingHistories =
this.TradingHistory
.Where(th =>
string.Equals(
th.Value?.Exchange()?.MarketIdentifierCode,
closeOpen.MarketId,
StringComparison.InvariantCultureIgnoreCase))
.ToList();
foreach (var history in filteredTradingHistories)
{
if (currentTimeInUniverse != null)
{
history.Value.ArchiveExpiredActiveItems(currentTimeInUniverse.Value);
}
this.RunPostOrderEvent(history.Value);
}
}
}
/// <summary>
/// The market open any/all.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketOpen(MarketOpenClose exchange)
{
this.logger.LogInformation(
$"{nameof(FixedIncomeHighVolumeRule)} MarketOpen called at {this.UniverseDateTime}");
this.logger.LogInformation(
$"{nameof(FixedIncomeHighVolumeRule)} MarketOpen completed for {this.UniverseDateTime}");
}
/// <summary>
/// The market close.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketClose(MarketOpenClose exchange)
{
this.logger.LogInformation($"Market Close ({exchange?.MarketId}) occurred at {exchange?.MarketClose}");
this.processingMarketClose = true;
this.latestMarketClosure = exchange;
this.RunRuleForAllTradingHistoriesInMarket(exchange, exchange?.MarketClose);
this.processingMarketClose = false;
}
/// <summary>
/// The market close.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketClose(MarketOpenClose exchange)
{
this.logger.LogInformation("Market Close occurred");
this.RunRuleForAllTradingHistoriesInMarket(exchange);
}
/// <summary>
/// The market open.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketOpen(MarketOpenClose exchange)
{
this.logger.LogInformation($"Market Open ({exchange?.MarketId}) occurred {exchange?.MarketOpen}");
}
/// <summary>
/// The market open.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketOpen(MarketOpenClose exchange)
{
this.logger.LogInformation($"Trading Opened for exchange {exchange.MarketId}");
}
/// <summary>
/// The market open.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketOpen(MarketOpenClose exchange)
{
this.logger.LogInformation($"MarketOpen called at {this.UniverseDateTime} for {exchange.MarketId}");
this.logger.LogInformation($"MarketOpen completed for {this.UniverseDateTime} for {exchange.MarketId}");
}
/// <summary> /// The market close. /// </summary> /// <param name="exchange"> /// The exchange. /// </param> protected abstract void MarketClose(MarketOpenClose exchange);
/// <summary>
/// The market open.
/// </summary>
/// <param name="exchange">
/// The exchange.
/// </param>
protected override void MarketOpen(MarketOpenClose exchange)
{
}
