public void RunRule_DoesRaiseAlertInEschaton_WhenBidirectionalTradeAndDoesExceedsDailyThreshold_AndHasMarketData()
{
_tradingHoursService = new MarketTradingHoursService(_tradingHoursRepository, new NullLogger <MarketTradingHoursService>());
var rule = new LayeringRule(_equitiesParameters, _alertStream, _orderFilter, _logger, _equityFactory, _fixedIncomeFactory, _tradingHoursService, _ruleCtx, RuleRunMode.ValidationRun, _tradingLogger);
var tradeBuy = ((Order)null).Random();
var tradeSell = ((Order)null).Random();
tradeBuy.PlacedDate = new DateTime(2018, 01, 01, 12, 0, 0);
tradeBuy.OrderDirection = OrderDirections.BUY;
tradeBuy.FilledDate = tradeBuy.PlacedDate.Value.AddMinutes(1);
tradeSell.PlacedDate = new DateTime(2018, 01, 01, 12, 0, 0);
tradeSell.OrderDirection = OrderDirections.SELL;
tradeSell.FilledDate = tradeSell.PlacedDate.Value.AddMinutes(1);
tradeBuy.OrderFilledVolume = 987;
tradeSell.OrderFilledVolume = 1019;
var market = new Market("1", "XLON", "London Stock Exchange", MarketTypes.STOCKEXCHANGE);
var marketData = new EquityInterDayTimeBarCollection(market, tradeBuy.PlacedDate.Value.AddSeconds(-55),
new List <EquityInstrumentInterDayTimeBar>
{
new EquityInstrumentInterDayTimeBar(
tradeBuy.Instrument,
new DailySummaryTimeBar(
1000,
"USD",
new IntradayPrices(tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value,
tradeBuy.OrderAverageFillPrice.Value, tradeBuy.OrderAverageFillPrice.Value),
1000,
new Volume(2000),
tradeBuy.PlacedDate.Value.AddSeconds(-55)
),
tradeBuy.PlacedDate.Value.AddSeconds(-55),
market)
});
var genesis = new UniverseEvent(UniverseStateEvent.Genesis, tradeBuy.PlacedDate.Value.AddMinutes(-1), new object());
var marketDataEvent = new UniverseEvent(UniverseStateEvent.EquityInterDayTick, tradeBuy.PlacedDate.Value.AddSeconds(-55), marketData);
var buyEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeBuy.PlacedDate.Value, tradeBuy);
var sellEvent = new UniverseEvent(UniverseStateEvent.OrderPlaced, tradeSell.PlacedDate.Value, tradeSell);
var eschaton = new UniverseEvent(UniverseStateEvent.Eschaton, tradeSell.PlacedDate.Value.AddMinutes(1), new object());
rule.OnNext(genesis);
rule.OnNext(marketDataEvent);
rule.OnNext(buyEvent);
rule.OnNext(sellEvent);
rule.OnNext(eschaton);
A.CallTo(() => _alertStream.Add(A <IUniverseAlertEvent> .Ignored)).MustHaveHappened();
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
A.CallTo(() => _operationCtx.EndEventWithMissingDataError()).MustNotHaveHappened();
}
/// <summary>
/// The set operation context end state.
/// </summary>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="operationContext">
/// The operation context.
/// </param>
private void SetOperationContextEndState(
IUniverseDataRequestsSubscriber dataRequestSubscriber,
ISystemProcessOperationContext operationContext)
{
if (!dataRequestSubscriber?.SubmitRequests ?? true)
{
this.logger.LogInformation("ending operation context event");
operationContext.EndEvent();
return;
}
this.logger.LogInformation("ending operating context event with missing data error");
operationContext.EndEventWithMissingDataError();
}
