public EquityRuleRampingFactory(
IRampingAnalyser rampingAnalyser,
IUniverseEquityOrderFilterService orderFilterService,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IMarketTradingHoursService tradingHoursService,
ILogger <IRampingRule> logger,
ILogger <TradingHistoryStack> tradingHistoryLogger)
{
this._rampingAnalyser = rampingAnalyser ?? throw new ArgumentNullException(nameof(rampingAnalyser));
this._orderFilterService =
orderFilterService ?? throw new ArgumentNullException(nameof(orderFilterService));
this._equityFactory = equityFactory ?? throw new ArgumentNullException(nameof(equityFactory));
this._fixedIncomeFactory = fixedIncomeFactory ?? throw new ArgumentNullException(nameof(fixedIncomeFactory));
this._logger = logger ?? throw new ArgumentNullException(nameof(logger));
this._tradingHistoryLogger =
tradingHistoryLogger ?? throw new ArgumentNullException(nameof(tradingHistoryLogger));
this._tradingHoursService =
tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
}
/// <summary>
/// Initializes a new instance of the <see cref="RampingRule"/> class.
/// </summary>
/// <param name="rampingParameters">
/// The ramping parameters.
/// </param>
/// <param name="alertStream">
/// The alert stream.
/// </param>
/// <param name="ruleContext">
/// The rule context.
/// </param>
/// <param name="equityFactory">
/// The factory.
/// </param>
/// <param name="fixedIncomeFactory">
/// The factory.
/// </param>
/// <param name="orderFilter">
/// The order filter.
/// </param>
/// <param name="runMode">
/// The run mode.
/// </param>
/// <param name="rampingAnalyzer">
/// The ramping analyzer.
/// </param>
/// <param name="tradingHoursService">
/// The trading hours service.
/// </param>
/// <param name="dataRequestSubscriber">
/// The data request subscriber.
/// </param>
/// <param name="logger">
/// The logger.
/// </param>
/// <param name="tradingStackLogger">
/// The trading stack logger.
/// </param>
public RampingRule(
IRampingRuleEquitiesParameters rampingParameters,
IUniverseAlertStream alertStream,
ISystemProcessOperationRunRuleContext ruleContext,
IUniverseEquityMarketCacheFactory equityFactory,
IUniverseFixedIncomeMarketCacheFactory fixedIncomeFactory,
IUniverseOrderFilter orderFilter,
RuleRunMode runMode,
IRampingAnalyser rampingAnalyzer,
IMarketTradingHoursService tradingHoursService,
IUniverseDataRequestsSubscriber dataRequestSubscriber,
ILogger logger,
ILogger <TradingHistoryStack> tradingStackLogger)
: base(
rampingParameters?.Windows?.BackwardWindowSize ?? TimeSpan.FromDays(7),
TimeSpan.FromDays(30),
rampingParameters?.Windows?.FutureWindowSize ?? TimeSpan.Zero,
Domain.Surveillance.Scheduling.Rules.Ramping,
EquityRuleRampingFactory.Version,
"Ramping Rule",
ruleContext,
equityFactory,
fixedIncomeFactory,
runMode,
logger,
tradingStackLogger)
{
this.rampingParameters = rampingParameters ?? throw new ArgumentNullException(nameof(rampingParameters));
this.alertStream = alertStream ?? throw new ArgumentNullException(nameof(alertStream));
this.ruleContext = ruleContext ?? throw new ArgumentNullException(nameof(ruleContext));
this.orderFilter = orderFilter ?? throw new ArgumentNullException(nameof(orderFilter));
this.rampingAnalyzer = rampingAnalyzer ?? throw new ArgumentNullException(nameof(rampingAnalyzer));
this.logger = logger ?? throw new ArgumentNullException(nameof(logger));
this.tradingHoursService = tradingHoursService ?? throw new ArgumentNullException(nameof(tradingHoursService));
this.dataRequestSubscriber = dataRequestSubscriber ?? throw new ArgumentNullException(nameof(dataRequestSubscriber));
}
public RampingSteps(ScenarioContext scenarioContext, UniverseSelectionState universeSelectionState)
{
this._scenarioContext = scenarioContext ?? throw new ArgumentNullException(nameof(scenarioContext));
this._universeSelectionState =
universeSelectionState ?? throw new ArgumentNullException(nameof(universeSelectionState));
this._ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
this._dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this._alertStream = A.Fake <IUniverseAlertStream>();
var repository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => repository.GetAsync()).Returns(
new[]
{
new ExchangeDto
{
Code = "XLON",
MarketOpenTime = TimeSpan.FromHours(8),
MarketCloseTime = TimeSpan.FromHours(16),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
},
new ExchangeDto
{
Code = "NASDAQ",
MarketOpenTime = TimeSpan.FromHours(15),
MarketCloseTime = TimeSpan.FromHours(23),
IsOpenOnMonday = true,
IsOpenOnTuesday = true,
IsOpenOnWednesday = true,
IsOpenOnThursday = true,
IsOpenOnFriday = true,
IsOpenOnSaturday = true,
IsOpenOnSunday = true
}
});
this._tradingHoursService = new MarketTradingHoursService(
repository,
new NullLogger <MarketTradingHoursService>());
this._rampingAnalyser = new RampingAnalyser(
new TimeSeriesTrendClassifier(new NullLogger <TimeSeriesTrendClassifier>()),
new OrderPriceImpactClassifier());
this._equityOrderFilterService = A.Fake <IUniverseEquityOrderFilterService>();
var equityMarketCacheFactory = new UniverseEquityMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseEquityMarketCacheFactory>());
var fixedIncomeMarketCacheFactory = new UniverseFixedIncomeMarketCacheFactory(
new StubRuleRunDataRequestRepository(),
new StubRuleRunDataRequestRepository(),
new NullLogger <UniverseFixedIncomeMarketCacheFactory>());
this._equityRuleRampingFactory = new EquityRuleRampingFactory(
this._rampingAnalyser,
this._equityOrderFilterService,
equityMarketCacheFactory,
fixedIncomeMarketCacheFactory,
this._tradingHoursService,
new NullLogger <RampingRule>(),
new NullLogger <TradingHistoryStack>());
}
