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vlad zverzhkhovskiy 2025-09-29 16:04:52 +03:00
parent 1c3c4f6e97
commit 0aad9297d9
3 changed files with 41 additions and 47 deletions
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58
KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs
View File

@ -15,14 +15,10 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
return ValueAmplitudePosition.UpperThen30Decil;
}
else if (value < fftData.Mediana && System.Math.Sign(value2) >= 0)
else if (value < fftData.Mediana)
{
return ValueAmplitudePosition.LowerThenMedianaGrowing;
}
else if (value < fftData.Mediana && System.Math.Sign(value2) < 0)
{
return ValueAmplitudePosition.LowerThenMedianaFalling;
}
else
{
return ValueAmplitudePosition.Middle;
@ -65,7 +61,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
}
internal static (DateTime[] timestamps, decimal[] values) TrimValues(DateTime[] timestamps, decimal[] values, TimeSpan period)
public static (DateTime[] timestamps, decimal[] values) TrimValues(DateTime[] timestamps, decimal[] values, TimeSpan period)
{
int i = 0;
var lastTime = timestamps[timestamps.Length - 1];
@ -86,35 +82,35 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
return (resDt, resVs);
}
public static FFTAnalyzeResult GetMainHarmonic(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod, TimeSpan maxPeriod)
public static FFTAnalyzeResult GetMainHarmonic(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod)
{
var harmonics = GetHarmonics(values, timestamps[timestamps.Length - 1] - timestamps[0], minPeriod, maxPeriod);
var newValues = new decimal[timestamps.Length];
var newValues2 = new decimal[timestamps.Length];
var startTime = timestamps[0];
for (int i = 0; i < timestamps.Length; i++)
var startPeriod = timestamps[timestamps.Length - 1] - timestamps[0];
var results = new List<(float, Harmonic[], TimeSpan, Harmonic)>();
var max = 0f;
while (startPeriod> minPeriod)
{
newValues[i] = (decimal)CalcAmplitude(harmonics, startTime, timestamps[i]);
newValues2[i] = (decimal)CalcExtremum(harmonics, startTime, timestamps[i]);
var data = TrimValues(timestamps, values, startPeriod);
var harmonics = GetHarmonics(values, startPeriod, TimeSpan.FromSeconds(5), startPeriod);
var summMagn = harmonics.Sum(h => h.Magnitude);
(float, Harmonic[], TimeSpan, Harmonic)? res = null;
for (int i=2;i< harmonics.Length; i++)
{
var currentMagn = harmonics[i].Magnitude / summMagn/ harmonics.Length;
if (currentMagn> max)
{
res = (currentMagn, harmonics, startPeriod, harmonics[i]);
}
}
if (res != null)
{
results.Add(res.Value);
}
startPeriod = startPeriod - TimeSpan.FromSeconds(30);
}
newValues = newValues.Order().ToArray();
var ma = newValues2.Max();
var mi = newValues2.Min();
return new FFTAnalyzeResult()
{
Key = key,
Harmonics = harmonics,
LastTime = timestamps[timestamps.Length - 1],
StartTime = startTime,
Mediana = newValues[newValues.Length / 2],
Upper30Decil = newValues[(int)(newValues.Length * 0.7)],
Lower30Decil = newValues[(int)(newValues.Length * 0.3)],
Max = newValues.Max(),
Min = newValues.Min(),
Length = values.Length,
};
var t = results.MaxBy(r => r.Item1);
return FFTAnalyzeResult.Empty;
}
public static FFTAnalyzeResult Analyze(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod, TimeSpan maxPeriod)

28
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -95,15 +95,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
public async ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(INewPrice message, TimeSpan? windowSize = null)
{
var data2 = await _tradeDataProvider.GetData(message.Figi, windowSize??TimeSpan.FromHours(1.5));
if (!data2.isFullIntervalExists)
{
data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(1));
}
if (!data2.isFullIntervalExists)
{
data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(0.75));
}
var data2 = await _tradeDataProvider.GetData(message.Figi, windowSize??TimeSpan.FromHours(1));
//if (!data2.isFullIntervalExists)
//{
// data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(0.75));
//}
return data2;
}
@ -141,13 +137,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (data.isFullIntervalExists)
{
var interpolatedData = SignalProcessing.InterpolateData(data.timestamps, data.prices, TimeSpan.FromSeconds(5));
fftFull = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi+"_full", TimeSpan.FromSeconds(30), TimeSpan.FromHours(24));
fftFull = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi+"_full", TimeSpan.FromMinutes(2), TimeSpan.FromMinutes(30));
fft = FFT.ReAnalyze(fftFull, message.Figi, TimeSpan.FromMinutes(10), TimeSpan.FromMinutes(60));
//fft = FFT.ReAnalyze(fftFull, message.Figi, TimeSpan.FromMinutes(10), TimeSpan.FromMinutes(60));
//highFreq = FFT.ReAnalyze(fftFull, message.Figi + "_low_freq", TimeSpan.FromMinutes(20), TimeSpan.FromMinutes(60));
//lowFreq = FFT.ReAnalyze(fftFull, message.Figi + "_high_freq", TimeSpan.FromMinutes(3), TimeSpan.FromMinutes(20));
await _tradeDataProvider.SetFFtResult(fft);
//var tmp = FFT.GetMainHarmonic(interpolatedData.timestamps, interpolatedData.values, "mainHarm", TimeSpan.FromMinutes(20));
//await _tradeDataProvider.SetFFtResult(fft);
await _tradeDataProvider.SetFFtResult(fftFull);
//await _tradeDataProvider.SetFFtResult(lowFreq);
//await _tradeDataProvider.SetFFtResult(highFreq);
@ -166,7 +162,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
position = FFT.Check(fft, message.Time);
position = FFT.Check(fftFull, message.Time);
if (position == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen30Decil)
{
await LogPrice(message, "upper30percent", message.Value);
@ -176,6 +172,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
await LogPrice(message, "lower30percent", message.Value);
}
//var hposition = FFT.CheckExtremums(highFreq, message.Time);
//if (hposition == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen30Decil)
//{
@ -699,7 +697,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
var windows = await GetWindowsSizes(message);
//var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, -2m, 2m,3);
var resTask1 = GetWindowAverageStartData(data, (int)windows.smallWindow, (int)windows.bigWindow, message, windowMaxSize, -0.5m, 0.5m);
var resTask1 = GetWindowAverageStartData(data, (int)windows.smallWindow, (int)windows.bigWindow, message, windowMaxSize, -1m, 1m);
////var resTask3 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0, 0,0.7m);
var getFFTModsTask = GetFFTMods(message);
var getLocalTrendsModsTask = GetLocalTrendsMods(data, message);

2
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -46,7 +46,7 @@ namespace KLHZ.Trader.Service.Controllers
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
while (time1 < DateTime.UtcNow)
while (time1 < DateTime.UtcNow.Date)
{
var data = new List<TimeSeriesData>();
var data2 = new List<TimeSeriesData>();