/// <summary>
/// Initializes a new instance of the <see cref="SpoofingRule"/> class.
/// </summary>
/// <param name="equitiesParameters">
/// The equities parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </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="runMode">
/// The run mode.
/// </param>
/// <param name="portfolioFactory">
/// The portfolio factory.
/// </param>
/// <param name="analysisService">
/// The analysis service.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public SpoofingRule(
ISpoofingRuleEquitiesParameters equitiesParameters,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseAlertStream alertStream,
IUniverseOrderFilter orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
RuleRunMode runMode,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromMinutes(30),
equitiesParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.Spoofing,
EquityRuleSpoofingFactory.Version,
"Spoofing Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.equitiesParameters =
equitiesParameters ?? throw new ArgumentNullException(nameof(equitiesParameters));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this.analysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeWashTradeRule"/> class.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="orderFilterService">
/// The order filter service.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The factory.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="clusteringService">
/// The clustering service.
/// </param>
/// <param name="portfolioFactory">
/// The portfolio factory.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public FixedIncomeWashTradeRule(
IWashTradeRuleFixedIncomeParameters parameters,
IUniverseFixedIncomeOrderFilterService orderFilterService,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
RuleRunMode runMode,
IUniverseAlertStream alertStream,
IClusteringService clusteringService,
IPortfolioFactory portfolioFactory,
ILogger <FixedIncomeWashTradeRule> logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
parameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(1),
parameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Rules.FixedIncomeWashTrades,
Versioner.Version(1, 0),
$"{nameof(FixedIncomeWashTradeRule)}",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.parameters = parameters ?? throw new ArgumentNullException(nameof(parameters));
this.orderFilterService = orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.clusteringService = clusteringService ?? throw new ArgumentNullException(nameof(clusteringService));
this.portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
public void Setup()
{
this._parameters = A.Fake <IWashTradeRuleFixedIncomeParameters>();
this._fixedIncomeOrderFile = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._clusteringService = A.Fake <IClusteringService>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._logger = new NullLogger <FixedIncomeHighProfitsRule>();
this._tradingStackLogger = new NullLogger <TradingHistoryStack>();
}
public void Setup()
{
this._orderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
this._equityFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this._fixedIncomeFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this._portfolioFactory = A.Fake <IPortfolioFactory>();
this._orderAnalysisService = A.Fake <IOrderAnalysisService>();
this._logger = new NullLogger <SpoofingRule>();
this._tradingHistoryLogger = new NullLogger <TradingHistoryStack>();
this._spoofingEquitiesParameters = A.Fake <ISpoofingRuleEquitiesParameters>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
}
private void Setup()
{
this._orderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._alertStream = A.Fake <IUniverseAlertStream>();
this._portfolioFactory = new PortfolioFactory();
this._clusteringService = new ClusteringService();
this._equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
this._fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
}
public EquityRuleSpoofingFactory(
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IUniverseEquityOrderFilterService orderFilterService,
IPortfolioFactory portfolioFactory,
IOrderAnalysisService analysisService,
ILogger <SpoofingRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._portfolioFactory = portfolioFactory ?? throw new ArgumentNullException(nameof(portfolioFactory));
this._orderAnalysisService = analysisService ?? throw new ArgumentNullException(nameof(analysisService));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
}
public PortfolioEntityFactory(IPortfolioFactory portfolioFactory)
{
_PortfolioFactory = portfolioFactory;
}
