/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsMarketClosureRule"/> class.
/// </summary>
/// <param name="fixedIncomeParameters">
/// The fixed income parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="costCalculatorFactory">
/// The cost calculator factory.
/// </param>
/// <param name="revenueCalculatorFactory">
/// The revenue calculator factory.
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// The exchange rate profit calculator.
/// </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="marketDataCacheFactory">
/// The market data cache factory.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingHistoryLogger">
/// The trading history logger.
/// </param>
public FixedIncomeHighProfitsMarketClosureRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseFixedIncomeOrderFilterService orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IFixedIncomeHighProfitJudgementService judgementService,
ICurrencyConverterService currencyConverterService,
RuleRunMode runMode,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
fixedIncomeParameters,
ruleContext,
costCalculatorFactory,
revenueCalculatorFactory,
exchangeRateProfitCalculator,
orderFilter,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
marketDataCacheFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
logger,
tradingHistoryLogger)
{
this.MarketClosureRule = true;
}
/// <summary>
/// Initializes a new instance of the <see cref="FixedIncomeHighProfitsStreamRule"/> class.
/// Constructor for the high profits stream rule
/// </summary>
/// <param name="fixedIncomeParameters">
/// parameters from the client service user interface
/// </param>
/// <param name="ruleContext">
/// auditing helper
/// </param>
/// <param name="costCalculatorFactory">
/// cost logic service factory
/// </param>
/// <param name="revenueCalculatorFactory">
/// revenue logic service factory
/// </param>
/// <param name="exchangeRateProfitCalculator">
/// exchange rate service
/// </param>
/// <param name="orderFilter">
/// classification financial instruments filtering service
/// </param>
/// <param name="equityMarketCacheFactory">
/// time bar cache factory
/// </param>
/// /// <param name="fixedIncomeMarketCacheFactory">
/// time bar cache factory
/// </param>
/// <param name="marketDataCacheFactory">
/// market time bar cache factory
/// </param>
/// <param name="dataRequestSubscriber">
/// data fetch pattern helper
/// </param>
/// <param name="judgementService">
/// rule analysis service
/// </param>
/// <param name="runMode">
/// forced or validation
/// </param>
/// <param name="logger">
/// logging helper
/// </param>
/// <param name="tradingHistoryLogger">
/// logging helper for trading history
/// </param>
public FixedIncomeHighProfitsStreamRule(
IHighProfitsRuleFixedIncomeParameters fixedIncomeParameters,
ISystemProcessOperationRunRuleContext ruleContext,
ICostCalculatorFactory costCalculatorFactory,
IRevenueCalculatorFactory revenueCalculatorFactory,
IExchangeRateProfitCalculator exchangeRateProfitCalculator,
IUniverseFixedIncomeOrderFilterService orderFilter,
IUniverseEquityMarketCacheFactory equityMarketCacheFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeMarketCacheFactory,
IFixedIncomeMarketDataCacheStrategyFactory marketDataCacheFactory,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
IFixedIncomeHighProfitJudgementService judgementService,
ICurrencyConverterService currencyService,
RuleRunMode runMode,
ILogger <FixedIncomeHighProfitsRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
: base(
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromHours(8),
fixedIncomeParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.FixedIncomeHighProfits,
FixedIncomeHighProfitFactory.Version,
"Fixed Income High Profit Rule",
ruleContext,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
runMode,
logger,
tradingHistoryLogger)
{
this.FixedIncomeParameters =
fixedIncomeParameters ?? throw new ArgumentNullException(nameof(fixedIncomeParameters));
this.RuleCtx = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.costCalculatorFactory =
costCalculatorFactory ?? throw new ArgumentNullException(nameof(costCalculatorFactory));
this.revenueCalculatorFactory = revenueCalculatorFactory
?? throw new ArgumentNullException(nameof(revenueCalculatorFactory));
this.marketDataCacheFactory =
marketDataCacheFactory ?? throw new ArgumentNullException(nameof(marketDataCacheFactory));
this.exchangeRateProfitCalculator = exchangeRateProfitCalculator
?? throw new ArgumentNullException(
nameof(exchangeRateProfitCalculator));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.dataRequestSubscriber =
dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
this.JudgementService = judgementService ?? throw new ArgumentNullException(nameof(judgementService));
this.currencyConverterService = currencyService ?? throw new ArgumentNullException(nameof(currencyService));
this.Logger = logger ?? throw new ArgumentNullException(nameof(logger));
}
/// <summary>
/// The build rule.
/// </summary>
/// <param name="parameters">
/// The parameters.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="judgementService">
/// The judgement service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="scheduledExecution">
/// The scheduled execution.
/// </param>
/// <returns>
/// The <see cref="IFixedIncomeHighProfitsRule"/>.
/// </returns>
public IFixedIncomeHighProfitsRule BuildRule(
IHighProfitsRuleFixedIncomeParameters parameters,
ISystemProcessOperationRunRuleContext ruleContext,
IFixedIncomeHighProfitJudgementService judgementService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
RuleRunMode runMode,
ScheduledExecution scheduledExecution)
{
var fixedIncomeStreamRule = new FixedIncomeHighProfitsStreamRule(
parameters,
ruleContext,
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.fixedIncomeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeCacheFactory,
this.marketDataCacheStrategyFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
this.logger,
this.stackLogger);
var fixedIncomeMarketClosureRule = new FixedIncomeHighProfitsMarketClosureRule(
parameters,
ruleContext,
this.costCalculatorFactory,
this.revenueCalculatorFactory,
this.exchangeRateProfitCalculator,
this.fixedIncomeOrderFilterService,
this.equityMarketCacheFactory,
this.fixedIncomeCacheFactory,
this.marketDataCacheStrategyFactory,
dataRequestSubscriber,
judgementService,
currencyConverterService,
runMode,
this.logger,
this.stackLogger);
return(new FixedIncomeHighProfitsRule(
parameters,
fixedIncomeStreamRule,
fixedIncomeMarketClosureRule,
this.logger));
}
public void Setup()
{
this.fixedIncomeOrderFilterService = A.Fake <IUniverseFixedIncomeOrderFilterService>();
this.equityMarketCacheFactory = A.Fake <IUniverseEquityMarketCacheFactory>();
this.fixedIncomeMarketCacheFactory = A.Fake <IUniverseFixedIncomeMarketCacheFactory>();
this.marketDataCacheStrategyFactory = A.Fake <IFixedIncomeMarketDataCacheStrategyFactory>();
this.costCalculatorFactory = A.Fake <ICostCalculatorFactory>();
this.revenueCalculatorFactory = A.Fake <IRevenueCalculatorFactory>();
this.exchangeRateProfitCalculator = A.Fake <IExchangeRateProfitCalculator>();
this.logger = A.Fake <ILogger <FixedIncomeHighProfitsRule> >();
this.stackLogger = A.Fake <ILogger <TradingHistoryStack> >();
this.parameters = A.Fake <IHighProfitsRuleFixedIncomeParameters>();
this.ruleContext = A.Fake <ISystemProcessOperationRunRuleContext>();
this.judgementService = A.Fake <IFixedIncomeHighProfitJudgementService>();
this.dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
this.runMode = RuleRunMode.ValidationRun;
this.scheduledExecution = new ScheduledExecution();
}