public void Eschaton_UpdatesAlertCountAndEndsEvent_ForCtx()
{
var highVolumeRule = BuildRule();
highVolumeRule.OnNext(Eschaton());
A.CallTo(() => _ruleCtx.EndEvent()).MustHaveHappenedOnceExactly();
}
public void Setup()
{
_alertStream = A.Fake <IUniverseAlertStream>();
_equitiesParameters = A.Fake <IHighVolumeRuleEquitiesParameters>();
_ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_opCtx = A.Fake <ISystemProcessOperationContext>();
_dataRequestRepository = A.Fake <IRuleRunDataRequestRepository>();
_stubDataRequestRepository = A.Fake <IStubRuleRunDataRequestRepository>();
_equityFactoryCache = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
_equityFactory = new UniverseEquityMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _equityFactoryCache);
_fixedIncomeFactoryCache = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
_fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubDataRequestRepository, _dataRequestRepository, _fixedIncomeFactoryCache);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_dataRequestSubscriber = A.Fake <IUniverseDataRequestsSubscriber>();
this.currencyConverterService = A.Fake <ICurrencyConverterService>();
_logger = A.Fake <ILogger <IHighVolumeRule> >();
_tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
_orderFilter = A.Fake <IUniverseOrderFilter>();
A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
A.CallTo(() => _ruleCtx.EndEvent()).Returns(_opCtx);
}
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();
}
public void Setup()
{
_logger = A.Fake <ILogger>();
_tradingLogger = A.Fake <ILogger <TradingHistoryStack> >();
_alertStream = A.Fake <IUniverseAlertStream>();
_ruleCtx = A.Fake <ISystemProcessOperationRunRuleContext>();
_operationCtx = A.Fake <ISystemProcessOperationContext>();
_equitiesParameters = new LayeringRuleEquitiesParameters("id", TimeSpan.FromMinutes(30), 0.2m, null, null, null, false, true);
_orderFilter = A.Fake <IUniverseOrderFilter>();
A.CallTo(() => _orderFilter.Filter(A <IUniverseEvent> .Ignored)).ReturnsLazily(i => (IUniverseEvent)i.Arguments[0]);
_ruleRunRepository = A.Fake <IRuleRunDataRequestRepository>();
_stubRuleRunRepository = A.Fake <IStubRuleRunDataRequestRepository>();
_equityFactoryLogger = A.Fake <ILogger <UniverseEquityMarketCacheFactory> >();
_equityFactory = new UniverseEquityMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _equityFactoryLogger);
_fixedIncomeFactoryLogger = A.Fake <ILogger <UniverseFixedIncomeMarketCacheFactory> >();
_fixedIncomeFactory = new UniverseFixedIncomeMarketCacheFactory(_stubRuleRunRepository, _ruleRunRepository, _fixedIncomeFactoryLogger);
_tradingHoursService = A.Fake <IMarketTradingHoursService>();
_tradingHoursRepository = A.Fake <IMarketOpenCloseApiCachingDecorator>();
A.CallTo(() => _tradingHoursRepository.GetAsync())
.Returns(
new ExchangeDto[]
{
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,
}
});
A.CallTo(() => _ruleCtx.EndEvent()).Returns(_operationCtx);
}
