/// <summary>
/// Initializes a new instance of the <see cref="MarkingTheCloseRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </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="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public MarkingTheCloseRule(
IMarkingTheCloseEquitiesParameters equitiesParameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode,
ILogger <MarkingTheCloseRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.FromMinutes(30),
Domain.Surveillance.Scheduling.Rules.MarkingTheClose,
EquityRuleMarkingTheCloseFactory.Version,
"Marking The Close",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters = equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
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;
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._tradingHoursService = A.Fake <IMarketTradingHoursService>();
this._logger = new NullLogger <MarkingTheCloseRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._equitiesParameters = A.Fake <IMarkingTheCloseEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
public IMarkingTheCloseRule Build(
IMarkingTheCloseEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode,
IUniverseDataRequestsSubscriber dataRequestSubscriber)
{
return(new MarkingTheCloseRule(
equitiesParameters,
alertStream,
ruleCtx,
this._orderFilterService,
this._equityFactory,
this._fixedIncomeFactory,
this._tradingHoursService,
dataRequestSubscriber,
runMode,
this._logger,
this._tradingHistoryLogger));
}
