/// <summary>
/// The retrieve market traded volume.
/// </summary>
/// <param name="mostRecentTrade">
/// The most recent trade.
/// </param>
/// <param name="tradingHours">
/// The trading hours.
/// </param>
/// <param name="activeHistory">
/// The active history.
/// </param>
/// <returns>
/// The <see cref="long?"/>.
/// </returns>
private long?RetrieveMarketTradedVolume(Order mostRecentTrade, ITradingHours tradingHours, Stack <Order> activeHistory)
{
var closeTime =
this.source == DataSource.AnyIntraday
? UniverseDateTime
: tradingHours.ClosingInUtcForDay(UniverseDateTime);
var marketDataRequest =
new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(UniverseDateTime.Subtract(this.TradeBackwardWindowSize)),
closeTime,
RuleCtx.Id(),
this.source);
var hadMissingData = false;
long?marketTradedVolume = null;
switch (this.source)
{
case DataSource.AnyInterday:
var securityResultInterday = UniverseEquityInterdayCache.GetMarkets(marketDataRequest);
hadMissingData = securityResultInterday.HadMissingData;
if (!hadMissingData)
{
marketTradedVolume = this.InterdayMarketTradedVolume(securityResultInterday);
}
break;
case DataSource.AnyIntraday:
var securityResultIntraday = UniverseEquityIntradayCache.GetMarkets(marketDataRequest);
hadMissingData = securityResultIntraday.HadMissingData;
if (!hadMissingData)
{
marketTradedVolume = this.IntradayMarketTradedVolume(securityResultIntraday);
}
break;
}
if (hadMissingData && RunMode == RuleRunMode.ForceRun)
{
this.UpdatePassedFilterWithOrders(activeHistory);
return(null);
}
if (hadMissingData && RunMode == RuleRunMode.ValidationRun)
{
this.logger.LogInformation($"market traded volume was not calculable for {mostRecentTrade.Instrument.Identifiers} due to missing data");
this.hadMissingData = true;
return(null);
}
return(marketTradedVolume);
}
/// <summary>
/// The set trading hour range.
/// </summary>
/// <param name="tradingHours">
/// The trading hours.
/// </param>
/// <param name="order">
/// The order.
/// </param>
/// <returns>
/// The <see cref="DateRange"/>.
/// </returns>
private IReadOnlyCollection <DateRange> SetTradingHourRange(ITradingHours tradingHours, Order order)
{
var tradingHourFrom = tradingHours.OpeningInUtcForDay(this.UniverseDateTime.Subtract(this.TradeBackwardWindowSize));
var tradingHourTo = tradingHours.ClosingInUtcForDay(this.UniverseDateTime);
var tradingDates = this.tradingHoursService.GetTradingDaysWithinRangeAdjustedToTime(
tradingHourFrom,
tradingHourTo,
order.Market?.MarketIdentifierCode);
return(tradingDates);
}
/// <summary>
/// The construct market data request.
/// </summary>
/// <param name="order">
/// The order.
/// </param>
/// <param name="tradingHours">
/// The trading hours.
/// </param>
/// <returns>
/// The <see cref="MarketDataRequest"/>.
/// </returns>
private MarketDataRequest ConstructMarketDataRequest(Order order, ITradingHours tradingHours)
{
var opening = tradingHours.OpeningInUtcForDay(this.UniverseDateTime.Subtract(this.TradeBackwardWindowSize));
var closing = tradingHours.ClosingInUtcForDay(this.UniverseDateTime);
return(new MarketDataRequest(
order.Market?.MarketIdentifierCode,
order.Instrument.Cfi,
order.Instrument.Identifiers,
opening,
closing,
this.RuleCtx?.Id(),
DataSource.AnyInterday));
}
