обновление алгоритма принятия решений + добавление соотношения стакана глубиной 4

KLHZ.Trader.Core.Contracts/Declisions/Dtos/Enums/TradingEvent.cs

@@ -9,5 +9,7 @@
         ShortClose = 4,
         LongClose = 8,
         ShortOpen = 16,
+        UptrendEnd = 32,
+        UptrendStart = 64,
     }
 }

KLHZ.Trader.Core.Math/Declisions/Utils/LocalTrends.cs

@@ -9,7 +9,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
     /// <summary>
     /// Обработка последних интервалов истории изменения цен.
     /// </summary>
-    public static class TwoPeriods
+    public static class LocalTrends
     {
         internal static PeriodPricesInfoDto GetPriceDiffForTimeSpan(this IPriceHistoryCacheUnit unit, TimeSpan timeShift, TimeSpan timeSpan, int? pointsShift = null)
         {
@@ -302,42 +302,14 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
         {
             var data = unit.GetData().Result;
             var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, pointsStart, pointsEnd, firstPeriod, meanfullDiff);
-            var trendRelation = CalcTrendRelationAbs(periodStat);
             var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
             var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
-
-            if (isEndOk)
-            {
-
-            }
-
-            if (isStartOk)
-            {
-
-            }
-
-            if (isEndOk && isStartOk)
-            {
-
-            }
             return isStartOk && isEndOk && data.prices[periodStat.Start] - data.prices[periodStat.End] >= meanfullDiff;
         }
 
         public static TradingEvent Detect(IPriceHistoryCacheUnit data)
         {
-            decimal meanfullDiff;
+            decimal meanfullDiff = 1m;
-            if (data.Figi == "BBG004730N88")
-            {
-                meanfullDiff = 0.05m;
-            }
-            else if (data.Figi == "FUTIMOEXF000")
-            {
-                meanfullDiff = 1m;
-            }
-            else
-            {
-                return TradingEvent.None;
-            }
 
             var res = TradingEvent.None;
             //var downtrendStarts = data.CheckDowntrendStarting(TimeSpan.FromSeconds(30), TimeSpan.FromSeconds(7), meanfullDiff);

KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs

@@ -77,10 +77,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                             {
                                 if (pricesForFinalComparison[i2 + 1] - pricesForFinalComparison[size - 1] >= meanfullStep)
                                 {
-                                    res |= TradingEvent.LongOpen;
+                                    res |= TradingEvent.UptrendStart;
-                                    res |= TradingEvent.ShortClose;
-                                    break;
                                 }
+                                break;
                             }
 
                             // если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
@@ -88,10 +87,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                             {
                                 if (pricesForFinalComparison[i2 + 1] - pricesForFinalComparison[size - 1] <= -meanfullStep)
                                 {
-                                    res |= TradingEvent.LongClose;
+                                    res |= TradingEvent.UptrendEnd;
-                                    res |= TradingEvent.ShortOpen;
-                                    break;
                                 }
+                                break;
                             }
                         }
                     }

KLHZ.Trader.Core.Tests/HistoryProcessingInstrumentsTests.cs

@@ -45,7 +45,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 0;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -79,7 +79,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 0;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -114,7 +114,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 1;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -149,7 +149,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 0;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -184,7 +184,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 3;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -219,7 +219,7 @@ namespace KLHZ.Trader.Core.Tests
 
             var periodLength = 4;
             var shift = 3;
-            var result = TwoPeriods.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result = LocalTrends.GetPriceDiffForTimeSpan(unit, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue1 = startValue + (step > 0 ? (step * count) - step * shift : (step * count) - (step * (shift + periodLength)));
             var minValue1 = startValue + (step > 0 ? (step * count) - (step * (shift + periodLength)) : (step * count) - step * shift);
@@ -260,7 +260,7 @@ namespace KLHZ.Trader.Core.Tests
 
             }
 
-            var result2 = TwoPeriods.GetPriceDiffForTimeSpan(unit2, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
+            var result2 = LocalTrends.GetPriceDiffForTimeSpan(unit2, TimeSpan.FromSeconds(shift), TimeSpan.FromSeconds(periodLength));
 
             var maxValue2 = 100;
             var minValue2 = -100;

KLHZ.Trader.Core/DataLayer/Entities/Declisions/Enums/DeclisionTradeAction.cs

@@ -4,6 +4,7 @@
     {
         Unknown = 0,
         StopBuy = 1,
+        StopBuyShortTime = 2,
         OpenLong = 100,
         CloseLong = 200,
         OpenShort = 300,

KLHZ.Trader.Core/DataLayer/Entities/Orders/Enums/OrderbookItemType.cs

@@ -5,7 +5,9 @@
         Unknown = 0,
         Ask = 1,
         Bid = 2,
-        AsksSummary = 3,
+        AsksSummary10 = 3,
-        BidsSummary = 4
+        BidsSummary10 = 4,
+        AsksSummary4 = 5,
+        BidsSummary4 = 6,
     }
 }

KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs

@@ -178,34 +178,54 @@ namespace KLHZ.Trader.Core.Exchange.Services
                 }
                 if (response.Orderbook != null)
                 {
-                    var asksSummary = new OrderbookItem()
+                    var asksSummary10 = new OrderbookItem()
                     {
                         Figi = response.Orderbook.Figi,
                         Ticker = GetTickerByFigi(response.Orderbook.Figi),
                         Count = response.Orderbook.Asks.Sum(a => (int)a.Quantity),
-                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary,
+                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary10,
                         Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
                     };
 
-                    var bidsSummary = new OrderbookItem()
+                    var asksSummary4 = new OrderbookItem()
+                    {
+                        Figi = response.Orderbook.Figi,
+                        Ticker = GetTickerByFigi(response.Orderbook.Figi),
+                        Count = response.Orderbook.Asks.Take(4).Sum(a => (int)a.Quantity),
+                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary4,
+                        Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
+                    };
+
+                    var bidsSummary10 = new OrderbookItem()
                     {
                         Figi = response.Orderbook.Figi,
                         Ticker = GetTickerByFigi(response.Orderbook.Figi),
                         Count = response.Orderbook.Bids.Sum(a => (int)a.Quantity),
-                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary,
+                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary10,
                         Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
                     };
 
-                    orderbookItemsBuffer.Add(asksSummary);
+                    var bidsSummary4 = new OrderbookItem()
-                    orderbookItemsBuffer.Add(bidsSummary);
+                    {
+                        Figi = response.Orderbook.Figi,
+                        Ticker = GetTickerByFigi(response.Orderbook.Figi),
+                        Count = response.Orderbook.Bids.Take(4).Sum(a => (int)a.Quantity),
+                        ItemType = DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary4,
+                        Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
+                    };
+
+                    orderbookItemsBuffer.Add(asksSummary4);
+                    orderbookItemsBuffer.Add(asksSummary10);
+                    orderbookItemsBuffer.Add(bidsSummary4);
+                    orderbookItemsBuffer.Add(bidsSummary10);
 
                     var message = new NewOrderbookMessage()
                     {
                         Ticker = GetTickerByFigi(response.Orderbook.Figi),
                         Figi = response.Orderbook.Figi,
                         Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
-                        AsksCount = asksSummary.Count,
+                        AsksCount = asksSummary10.Count,
-                        BidsCount = bidsSummary.Count,
+                        BidsCount = bidsSummary10.Count,
                     };
                     await _eventBus.Broadcast(message);
                 }

KLHZ.Trader.Core/Exchange/Services/Trader.cs

@@ -101,25 +101,14 @@ namespace KLHZ.Trader.Core.Exchange.Services
             _ = ProcessOrdersbooks();
         }
 
-        private async Task InitStops()
-        {
-            using var context = await _dbContextFactory.CreateDbContextAsync();
-            context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
-            var dt = DateTime.UtcNow.AddMinutes(-_buyStopLength);
-            var stops = await context.Declisions.Where(d => d.Time > dt && d.Action == DeclisionTradeAction.StopBuy).ToArrayAsync();
-            foreach (var stop in stops)
-            {
-                var time = stop.Time.AddMinutes(_buyStopLength);
-                OpeningStops.TryAdd(stop.Figi, time);
-            }
-        }
-
         private async Task ProcessPrices()
         {
             var declisionsForSave = new List<Declision>();
             var processedPrices = new List<ProcessedPrice>();
             while (await _pricesChannel.Reader.WaitToReadAsync())
             {
+                var bigWindowProcessor = nameof(Trader) + "_big";
+                var smallWindowProcessor = nameof(Trader) + "_small";
                 var message = await _pricesChannel.Reader.ReadAsync();
                 if (_tradingInstrumentsFigis.Contains(message.Figi))
                 {
@@ -149,112 +138,45 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             {
                                 var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(3);
                                 OpeningStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
-                                declisionsForSave.Add(new Declision()
+                                LogDeclision(declisionsForSave, DeclisionTradeAction.StopBuyShortTime, message);
-                                {
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Value = 3,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.StopBuy,
-                                });
                             }
 
-                            var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 15, 120);
+                            var resultLongOpen = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 45, 180, 2.5m);
-                            if (result.bigWindowAv != 0)
+                            var resultLongClose = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 15, 120, 2.5m);
+
+                            if (resultLongOpen.bigWindowAv != 0)
                             {
-                                var priceb = new ProcessedPrice()
+                                LogPrice(processedPrices, message, bigWindowProcessor, resultLongOpen.bigWindowAv);
-                                {
+                                LogPrice(processedPrices, message, smallWindowProcessor, resultLongOpen.smallWindowAv);
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Processor = nameof(Trader) + "_big",
-                                    Time = message.Time,
-                                    Value = result.bigWindowAv,
-                                };
-
-                                var prices = new ProcessedPrice()
-                                {
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Processor = nameof(Trader) + "_small",
-                                    Time = message.Time,
-                                    Value = result.smallWindowAv,
-                                };
-                                processedPrices.Add(priceb);
-                                processedPrices.Add(prices);
                             }
-                            if ((result.events & TradingEvent.StopBuy) == TradingEvent.StopBuy)
+                            if ((resultLongClose.events & TradingEvent.StopBuy) == TradingEvent.StopBuy)
                             {
                                 var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength);
                                 OpeningStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
-                                declisionsForSave.Add(new Declision()
+                                //LogDeclision(declisionsForSave, DeclisionTradeAction.StopBuy, message);
-                                {
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Value = (decimal)_buyStopLength,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.StopBuy,
-                                });
                             }
 
-                            if ((result.events & TradingEvent.LongOpen) == TradingEvent.LongOpen
+                            if ((resultLongOpen.events & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
-                                && !OpeningStops.TryGetValue(message.Figi, out _)
+                                && !OpeningStops.TryGetValue(message.Figi, out _))
-                                && ((unit.BidsCount / unit.AsksCount) > 0.5m))
                             {
-                                declisionsForSave.Add(new Declision()
+                                LogDeclision(declisionsForSave, DeclisionTradeAction.OpenLong, message);
-                                {
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.OpenLong,
-                                });
                             }
 
-                            if ((result.events & TradingEvent.LongClose) == TradingEvent.LongClose)
+                            if ((resultLongClose.events & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
                             {
-                                declisionsForSave.Add(new Declision()
+                                LogDeclision(declisionsForSave, DeclisionTradeAction.CloseLong, message);
-                                {
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.CloseLong,
-                                });
                             }
 
-                            if ((result.events & TradingEvent.ShortOpen) == TradingEvent.ShortOpen
+                            //if ((resultLongOpen.events & TradingEvent.ShortOpen) == TradingEvent.ShortOpen
-                                && !OpeningStops.TryGetValue(message.Figi, out _)
+                            //    && !OpeningStops.TryGetValue(message.Figi, out _))
-                                && (unit.BidsCount / unit.AsksCount < 2))
+                            //{
-                            {
+                            //    LogDeclision(declisionsForSave, DeclisionTradeAction.OpenShort, message);
-                                declisionsForSave.Add(new Declision()
+                            //}
-                                {
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.OpenShort,
-                                });
-                            }
 
-                            if ((result.events & TradingEvent.ShortClose) == TradingEvent.ShortClose)
+                            //if ((resultLongOpen.events & TradingEvent.ShortClose) == TradingEvent.ShortClose)
-                            {
+                            //{
-                                declisionsForSave.Add(new Declision()
+                            //    LogDeclision(declisionsForSave, DeclisionTradeAction.CloseShort, message);
-                                {
+                            //}
-                                    AccountId = string.Empty,
-                                    Figi = message.Figi,
-                                    Ticker = message.Ticker,
-                                    Price = message.Value,
-                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                                    Action = DeclisionTradeAction.CloseShort,
-                                });
-                            }
 
                             if ((!message.IsHistoricalData && (processedPrices.Count > 0 || declisionsForSave.Count > 0))
                                 || (message.IsHistoricalData && ((processedPrices.Count + declisionsForSave.Count > 10000) || _pricesChannel.Reader.Count == 0)))
@@ -284,6 +206,31 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
+        private static void LogPrice(List<ProcessedPrice> prices, INewPrice message, string processor, decimal value)
+        {
+            prices.Add(new ProcessedPrice()
+            {
+                Figi = message.Figi,
+                Ticker = message.Ticker,
+                Processor = processor,
+                Time = message.Time,
+                Value = value,
+            });
+        }
+
+        private static void LogDeclision(List<Declision> declisions, DeclisionTradeAction action, INewPrice message)
+        {
+            declisions.Add(new Declision()
+            {
+                AccountId = string.Empty,
+                Figi = message.Figi,
+                Ticker = message.Ticker,
+                Price = message.Value,
+                Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
+                Action = action,
+            });
+        }
+
         private async Task ProcessOrdersbooks()
         {
             while (await _ordersbookChannel.Reader.WaitToReadAsync())

KLHZ.Trader.Service/Controllers/PlayController.cs

@@ -24,6 +24,7 @@ namespace KLHZ.Trader.Service.Controllers
         {
             try
             {
+                var time = new DateTime(2025, 9, 3, 13, 5, 0, DateTimeKind.Utc);
                 using var context1 = await _dbContextFactory.CreateDbContextAsync();
                 context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
                 var data = await context1.PriceChanges
@@ -38,7 +39,7 @@ namespace KLHZ.Trader.Service.Controllers
                         IsHistoricalData = true
                     })
                     .ToArrayAsync();
-
+                //data = data.Where(d=>d.Time> time).ToArray();
                 foreach (var mess in data)
                 {
                     await _dataBus.Broadcast(mess);

KLHZ.Trader.Service/appsettings.json

@@ -8,7 +8,7 @@
   },
   "LokiUrl": "",
   "ExchangeConfig": {
-    "StopBuyLengthMinuts": 20,
+    "StopBuyLengthMinuts": 15,
     "ExchangeDataRecievingEnabled": true,
     "Token": "",
     "ManagingAccountNamePatterns": [ "автотрейд 1" ],