/// <summary>
/// The subscribe for parameters.
/// </summary>
/// <param name="execution">
/// The execution.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="universeDataRequestsSubscriber">
/// The universe data requests subscriber.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <returns>
/// The <see cref="IUniverseRule"/>.
/// </returns>
private IUniverseRule SubscribeForParameters(
ScheduledExecution execution,
ISystemProcessOperationContext operationContext,
IUniverseAlertStream alertStream,
IUniverseDataRequestsSubscriber universeDataRequestsSubscriber,
ISpoofingRuleEquitiesParameters parameter)
{
var ruleCtx = operationContext.CreateAndStartRuleRunContext(
Rules.Spoofing.GetDescription(),
EquityRuleSpoofingFactory.Version,
parameter.Id,
(int)Rules.Spoofing,
execution.IsBackTest,
execution.TimeSeriesInitiation.DateTime,
execution.TimeSeriesTermination.DateTime,
execution.CorrelationId,
execution.IsForceRerun);
var runMode = execution.IsForceRerun ? RuleRunMode.ForceRun : RuleRunMode.ValidationRun;
var spoofingRule = this.equityRuleSpoofingFactory.Build(parameter, ruleCtx, alertStream, runMode);
var spoofingRuleOrgFactors = this.brokerServiceFactory.Build(
spoofingRule,
parameter.Factors,
parameter.AggregateNonFactorableIntoOwnCategory);
var filteredSpoofingRule = this.DecorateWithFilters(
operationContext,
parameter,
spoofingRuleOrgFactors,
universeDataRequestsSubscriber,
ruleCtx,
runMode);
return(filteredSpoofingRule);
}
/// <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));
}
public SpoofingRuleBreach(
IFactorValue factorValue,
ISystemProcessOperationContext operationContext,
string correlationId,
TimeSpan window,
ITradePosition fulfilledTradePosition,
ITradePosition cancelledTradePosition,
FinancialInstrument security,
Order mostRecentTrade,
ISpoofingRuleEquitiesParameters spoofingEquitiesParameters,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.FactorValue = factorValue;
this.Window = window;
this.Security = security;
this.MostRecentTrade = mostRecentTrade;
var totalTrades = fulfilledTradePosition.Get().ToList();
totalTrades.AddRange(cancelledTradePosition.Get());
this.Trades = new TradePosition(totalTrades);
this.TradesInFulfilledPosition = fulfilledTradePosition;
this.CancelledTrades = cancelledTradePosition;
this.RuleParameterId = spoofingEquitiesParameters?.Id ?? string.Empty;
this.SystemOperationId = operationContext.Id.ToString();
this.CorrelationId = correlationId;
this.RuleParameters = spoofingEquitiesParameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// The decorate with filters.
/// </summary>
/// <param name="operationContext">
/// The operation context.
/// </param>
/// <param name="parameter">
/// The parameter.
/// </param>
/// <param name="spoofingRule">
/// The spoofing rule.
/// </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,
ISpoofingRuleEquitiesParameters parameter,
IUniverseRule spoofingRule,
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(
spoofingRule,
parameter.Accounts,
parameter.Traders,
parameter.Markets,
parameter.Funds,
parameter.Strategies,
parameter.Sectors,
parameter.Industries,
parameter.Regions,
parameter.Countries,
parameter.MarketCapFilter,
ruleRunMode,
"Spoofing Equity",
universeDataRequestsSubscriber,
processOperationRunRuleContext);
var decoratedFilter = filteredUniverse;
if (parameter.HasVenueVolumeFilters())
{
decoratedFilter = this.decoratorFilterFactory.Build(
parameter.Windows,
filteredUniverse,
parameter.VenueVolumeFilter,
processOperationRunRuleContext,
universeDataRequestsSubscriber,
this.DataSourceForWindow(parameter.Windows),
ruleRunMode);
}
decoratedFilter.Subscribe(spoofingRule);
return(decoratedFilter);
}
return(spoofingRule);
}
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>();
}
public ISpoofingRule Build(
ISpoofingRuleEquitiesParameters spoofingEquitiesParameters,
ISystemProcessOperationRunRuleContext ruleCtx,
IUniverseAlertStream alertStream,
RuleRunMode runMode)
{
return(new SpoofingRule(
spoofingEquitiesParameters,
ruleCtx,
alertStream,
this._orderFilterService,
this._equityFactory,
this._fixedIncomeFactory,
runMode,
this._portfolioFactory,
this._orderAnalysisService,
this._logger,
this._tradingHistoryLogger));
}
