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фиксация

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vlad zverzhkhovskiy 2025-10-03 12:14:56 +03:00
parent bfa3ef6605
commit 03b0f5582e
3 changed files with 70 additions and 13 deletions
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1
KLHZ.Trader.Core.Contracts/Declisions/Dtos/CachedValue.cs
View File

@ -4,5 +4,6 @@
{
public DateTime Time { get; init; }
public decimal Value { get; init; }
public decimal Value2 { get; init; }
}
}

4
KLHZ.Trader.Core.Math/Declisions/Utils/Statistics.cs
View File

@ -15,6 +15,10 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
return values.Sum(x => x.Value)/ values.Length;
}
public static decimal Mean2(this CachedValue[] values)
{
return values.Sum(x => x.Value2) / values.Length;
}
private static (decimal mean, decimal std) CaclSigma(decimal[] values)
{
var mean = values.Sum() / values.Length;

78
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -40,6 +40,9 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly ConcurrentDictionary<string, TradingMode> TradingModes = new();
private readonly ConcurrentDictionary<string, IOrderbook> OrderBooks = new();
private readonly ConcurrentDictionary<string, (DateTime, decimal)> volumes = new();
private readonly ConcurrentDictionary<string, (DateTime, decimal)> prices = new();
private readonly ConcurrentDictionary<string, DateTime> LongOpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> ShortOpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> LongClosingStops = new();
@ -365,28 +368,36 @@ namespace KLHZ.Trader.Core.Exchange.Services
#region Подсчёт торгового баланса по сберу и IMOEXF
if (message.Figi == "BBG004730N88" || message.Figi == "FUTIMOEXF000")
{
{
if (message.Direction == 1)
{
await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "1", new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = message.Count
Value = message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
}
if (message.Direction == 2)
@ -394,25 +405,34 @@ namespace KLHZ.Trader.Core.Exchange.Services
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
Value = (decimal)message.Count,
Value2 = message.Value,
});
await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "2", new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = message.Count
Value = message.Count,
Value2 = message.Value,
});
}
//var buys = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "1");
//var sells = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "2");
@ -478,6 +498,33 @@ namespace KLHZ.Trader.Core.Exchange.Services
var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
try
{
var buys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey);
var sells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey);
if (buys.Any() && sells.Any())
{
var shiftTimeB2 = buys.Last().Time - TimeSpan.FromSeconds(150);
var shiftTimeS2 = sells.Last().Time - TimeSpan.FromSeconds(150);
var shiftTimeB1 = buys.Last().Time - TimeSpan.FromSeconds(300);
var shiftTimeS1 = sells.Last().Time - TimeSpan.FromSeconds(300);
var buysOld = buys.Where(b => b.Time < shiftTimeB2 && b.Time >= shiftTimeB1).ToArray();
var sellsOld = sells.Where(b => b.Time < shiftTimeS2 && b.Time >= shiftTimeS1).ToArray();
var buysNew = buys.Where(b => b.Time >= shiftTimeB2).ToArray();
var sellsNew = sells.Where(b => b.Time >= shiftTimeS2).ToArray();
if (buysOld.Any() && sellsOld.Any() && sellsNew.Any() && buysNew.Any())
{
var volume = buysNew.Sum(b => b.Value) + sellsNew.Sum(b => b.Value);
var volumeOld = buysOld.Sum(b => b.Value) + sellsOld.Sum(b => b.Value);
var price = buysNew.Mean2();
var priceOld = buysOld.Mean2();
await LogPrice(message, "tradevolume", volume);
await LogPrice(message, "privcesDiff", price- priceOld);
await LogPrice(message, "tradevolume_diff", volume - volumeOld);
}
}
if (timesCache.TryGetValue(message.Figi, out var dt))
{
if ((message.Time - dt).TotalSeconds > 10)
@ -617,6 +664,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
Value = diff5min,
});
await LogPrice(message, "speed_diff_15min", diff5min);
var orderBook = _tradeDataProvider.Orderbooks[message.Figi];
if (orderBook.Asks.Length > 3 && orderBook.Bids.Length > 3)
{
@ -643,6 +692,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
await LogPrice(message, "changemode", changeModIndicator);
}
//var sells20 = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "2");
//var buys20 = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "1");
@ -700,6 +751,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (cached[cached.Length-1].Time - cached[0].Time > TimeSpan.FromMinutes(3.5))
{
diff2 = cached[cached.Length - 1].Value - cached[0].Value;
await LogPrice(message, "changemode2", diff2.Value);
}
}
if (diff5min < -0.2m || (diff2.HasValue && diff2<-0.3m))
@ -877,13 +929,13 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
//var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, -2m, 2m,3);
var resTask1 = GetWindowAverageStartData(data, (int)windows.smallWindow, (int)windows.bigWindow, message, windowMaxSize, steps.downtrendEndStep, steps.uptrendEndStep);
////var resTask3 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0, 0,0.7m);
var getFFTModsTask = GetFFTMods(message);
//var getFFTModsTask = GetFFTMods(message);
//var getLocalTrendsModsTask = GetLocalTrendsMods(data, message);
//var getSellsDiffsModsTask = GetSellsDiffsMods(message);
var getTradingModeModsTask = GetTradingModeMods(message);
//var getTradingModeModsTask = GetTradingModeMods(message);
var getSpeedResultantModsTask = GetSpeedResultantMods(message);
await Task.WhenAll(resTask1, getFFTModsTask, getTradingModeModsTask, getSpeedResultantModsTask);
await Task.WhenAll(resTask1, getSpeedResultantModsTask);
//var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
//if (resTask1.Result[TradingEvent.UptrendStart] >= 1)
//{
@ -898,7 +950,7 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
// result = MergeResultsMax(result, getLocalTrendsModsTask.Result);
//result = MergeResultsMult(result, getFFTModsTask.Result);
//result = MergeResultsMult(result, getSellsDiffsModsTask.Result);
result = MergeResultsMult(result, getTradingModeModsTask.Result);
//result = MergeResultsMult(result, getTradingModeModsTask.Result);
//result = MergeResultsMult(result, getSpeedResultantModsTask.Result);
if (result[TradingEvent.UptrendStart] >= Constants.UppingCoefficient