protected override MarketDataRequest MarketDataRequest(
string mic,
InstrumentIdentifiers identifiers,
DateTime universeDateTime,
ISystemProcessOperationRunRuleContext ctx,
DataSource dataSource)
{
var tradingHours = this.TradingHoursService.GetTradingHoursForMic(mic);
if (!tradingHours.IsValid)
{
this.Logger.LogError(
$"RevenueCurrencyConvertingMarkingCloseCalculator was not able to get meaningful trading hours for the mic {mic}. Unable to proceed with currency conversions.");
return(null);
}
return(new MarketDataRequest(
mic,
string.Empty,
identifiers,
tradingHours.ClosingInUtcForDay(universeDateTime).Subtract(TimeSpan.FromMinutes(15)),
tradingHours.ClosingInUtcForDay(universeDateTime),
ctx?.Id(),
dataSource));
}
public PlacingOrderWithNoIntentToExecuteRuleRuleBreach(
TimeSpan window,
ITradePosition trades,
FinancialInstrument security,
IFactorValue factorValue,
decimal meanPrice,
decimal sdPrice,
IReadOnlyCollection <ProbabilityOfExecution> probabilityForOrders,
IPlacingOrderWithNoIntentToExecuteRuleEquitiesParameters parameters,
ISystemProcessOperationRunRuleContext ctx,
string description,
string caseTitle,
DateTime universeDateTime)
{
this.Window = window;
this.Trades = trades;
this.Security = security;
this.FactorValue = factorValue;
this.Parameters = parameters;
this.MeanPrice = meanPrice;
this.StandardDeviationPrice = sdPrice;
this.ProbabilityForOrders = probabilityForOrders ?? new List <ProbabilityOfExecution>();
this.RuleParameterId = parameters.Id;
this.SystemOperationId = ctx.Id();
this.CorrelationId = ctx.CorrelationId();
this.RuleParameters = parameters;
this.Description = description ?? string.Empty;
this.CaseTitle = caseTitle ?? string.Empty;
this.UniverseDateTime = universeDateTime;
}
/// <summary>
/// The market data request.
/// </summary>
/// <param name="marketIdentifierCode">
/// The market identifier code.
/// </param>
/// <param name="identifiers">
/// The identifiers.
/// </param>
/// <param name="universeDateTime">
/// The universe date time.
/// </param>
/// <param name="context">
/// The context.
/// </param>
/// <param name="dataSource">
/// The data source.
/// </param>
/// <returns>
/// The <see cref="MarketDataRequest"/>.
/// </returns>
protected virtual MarketDataRequest MarketDataRequest(
string marketIdentifierCode,
InstrumentIdentifiers identifiers,
DateTime universeDateTime,
ISystemProcessOperationRunRuleContext context,
DataSource dataSource)
{
var tradingHours = this.TradingHoursService.GetTradingHoursForMic(marketIdentifierCode);
if (!tradingHours.IsValid)
{
this.Logger.LogError(
$"RevenueCurrencyConvertingCalculator was not able to get meaningful trading hours for the mic {marketIdentifierCode}. Unable to proceed with currency conversions.");
return(null);
}
return(new MarketDataRequest(
marketIdentifierCode,
string.Empty,
identifiers,
tradingHours.OpeningInUtcForDay(universeDateTime),
tradingHours.MinimumOfCloseInUtcForDayOrUniverse(universeDateTime),
context?.Id(),
dataSource));
}
public bool Filter(IUniverseEvent universeEvent)
{
if (universeEvent == null)
{
return(false);
}
if (universeEvent.StateChange == UniverseStateEvent.EquityInterDayTick)
{
EquityInterDay(universeEvent);
}
if (universeEvent.StateChange == UniverseStateEvent.Eschaton &&
_requestData &&
_ruleRunMode == RuleRunMode.ValidationRun)
{
_universeDataRequestsSubscriber.SubmitRequest();
}
if (universeEvent.StateChange != UniverseStateEvent.Order &&
universeEvent.StateChange != UniverseStateEvent.OrderPlaced)
{
return(false);
}
if (!(universeEvent.UnderlyingEvent is Order mostRecentTrade))
{
return(false);
}
if (_marketCapFilter?.Type != RuleFilterType.Include)
{
return(false);
}
var tradingHours = _tradingHoursService.GetTradingHoursForMic(mostRecentTrade.Market?.MarketIdentifierCode);
if (!tradingHours.IsValid)
{
_logger.LogError($"Request for trading hours was invalid. MIC - {mostRecentTrade.Market?.MarketIdentifierCode}");
return(true);
}
var universeDateTime = universeEvent.EventTime;
var marketDataRequest = new MarketDataRequest(
mostRecentTrade.Market?.MarketIdentifierCode,
mostRecentTrade.Instrument.Cfi,
mostRecentTrade.Instrument.Identifiers,
tradingHours.OpeningInUtcForDay(universeDateTime),
tradingHours.MinimumOfCloseInUtcForDayOrUniverse(universeDateTime),
_operationRunRuleContext?.Id(),
DataSource.AnyInterday);
var securityResult = _universeEquityInterdayCache.Get(marketDataRequest);
if (securityResult.HadMissingData && _ruleRunMode == RuleRunMode.ValidationRun)
{
_requestData = true;
}
if (securityResult.HadMissingData)
{
_logger.LogInformation($"Missing data for {marketDataRequest}.");
return(true);
}
var security = securityResult.Response;
var marketCap = security.DailySummaryTimeBar.MarketCap;
if (marketCap == null)
{
this._logger.LogInformation($"Missing data for market cap from daily summary time bar {marketDataRequest}.");
return(true);
}
var marketCapInUsd = this.currencyConverterService.Convert(
new[] { marketCap.Value },
new Currency("USD"),
universeDateTime,
this._operationRunRuleContext).Result;
if (marketCapInUsd == null)
{
this._logger.LogInformation($"Missing data for market cap currency conversion into USD at {universeEvent} from daily summary time bar {marketDataRequest}.");
return(true);
}
var min = this._marketCapFilter.Min ?? marketCap.Value.Value;
var max = this._marketCapFilter.Max ?? marketCap.Value.Value;
return(!(marketCap.Value.Value >= min && marketCap.Value.Value <= max));
}
public async Task <Money?> Convert(
IReadOnlyCollection <Money> monies,
Currency targetCurrency,
DateTime dayOfConversion,
ISystemProcessOperationRunRuleContext ruleCtx)
{
if (monies == null || !monies.Any())
{
this._logger.LogInformation(
$"received null or empty currency amounts. Returning 0 currency amount in target currency of {targetCurrency} for rule {ruleCtx?.Id()}");
return(new Money(0, targetCurrency));
}
if (string.IsNullOrWhiteSpace(targetCurrency.Code))
{
this._logger.LogError("asked to convert to a null or empty currency");
return(monies.Aggregate((i, o) => new Money(i.Value + o.Value, i.Currency)));
}
if (monies.All(ca => Equals(ca.Currency, targetCurrency)))
{
this._logger.LogInformation(
"inferred all currency amounts matched the target currency. Aggregating trades and returning.");
return(monies.Aggregate((i, o) => new Money(i.Value + o.Value, i.Currency)));
}
this._logger.LogInformation($"about to fetch exchange rates on {dayOfConversion}");
var rates = await this.ExchangeRates(dayOfConversion, ruleCtx);
if (rates == null || !rates.Any())
{
this._logger.LogError(
$"unable to change rates to {targetCurrency.Code} on {dayOfConversion.ToShortDateString()} due to missing rates");
ruleCtx.EventException(
$"unable to change rates to {targetCurrency.Code} on {dayOfConversion.ToShortDateString()} due to missing rates");
return(null);
}
var convertedToTargetCurrency = monies.Select(
currency => this.Convert(rates, currency, targetCurrency, dayOfConversion, ruleCtx)).ToList();
var totalInConvertedCurrency = convertedToTargetCurrency.Where(cc => cc.HasValue).Select(cc => cc.Value)
.Sum(cc => cc.Value);
this._logger.LogInformation($"returning {totalInConvertedCurrency} ({targetCurrency})");
return(new Money(totalInConvertedCurrency, targetCurrency));
}