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;
}
/// <summary>
/// The run post order event.
/// </summary>
/// <param name="history">
/// The history.
/// </param>
protected override void RunPostOrderEvent(ITradingHistoryStack history)
{
if (!this.processingMarketClose ||
this.latestMarketClosure == null)
{
return;
}
history.ArchiveExpiredActiveItems(this.latestMarketClosure.MarketClose);
var securities = history.ActiveTradeHistory();
if (!securities.Any())
{
// no securities were being traded within the market closure time window
return;
}
// filter the security list by the mic of the closing market....
var filteredMarketSecurities =
securities
.Where(i =>
string.Equals(
i.Market?.MarketIdentifierCode,
this.latestMarketClosure.MarketId,
StringComparison.InvariantCultureIgnoreCase))
.ToList();
if (!filteredMarketSecurities.Any())
{
// no relevant securities were being traded within the market closure time window
return;
}
var marketSecurities = new Stack <Order>(filteredMarketSecurities);
VolumeBreach dailyVolumeBreach = null;
if (this.equitiesParameters.PercentageThresholdDailyVolume != null)
{
dailyVolumeBreach = this.CheckDailyVolumeTraded(marketSecurities);
}
VolumeBreach windowVolumeBreach = null;
if (this.equitiesParameters.PercentageThresholdWindowVolume != null)
{
windowVolumeBreach = this.CheckWindowVolumeTraded(marketSecurities);
}
if ((dailyVolumeBreach == null || !dailyVolumeBreach.HasBreach()) &&
(windowVolumeBreach == null || !windowVolumeBreach.HasBreach()))
{
this.logger.LogInformation($"had no breaches for {marketSecurities.FirstOrDefault()?.Instrument?.Identifiers} at {UniverseDateTime}");
return;
}
var position = new TradePosition(marketSecurities.ToList());
// wrong but should be a judgement
var breach = new MarkingTheCloseBreach(
this.OrganisationFactorValue,
this.ruleContext.SystemProcessOperationContext(),
this.ruleContext.CorrelationId(),
this.equitiesParameters.Windows.BackwardWindowSize,
marketSecurities.FirstOrDefault()?.Instrument,
this.latestMarketClosure,
position,
this.equitiesParameters,
dailyVolumeBreach ?? new VolumeBreach(),
windowVolumeBreach ?? new VolumeBreach(),
null,
null,
this.UniverseDateTime);
this.logger.LogInformation($"had a breach for {marketSecurities.FirstOrDefault()?.Instrument?.Identifiers} at {UniverseDateTime}. Adding to alert stream.");
var alertEvent = new UniverseAlertEvent(Domain.Surveillance.Scheduling.Rules.MarkingTheClose, breach, this.ruleContext);
this.alertStream.Add(alertEvent);
}
