восстановление получения данных о ценах и сделках

KLHZ.Trader.Core.Contracts/Declisions/Dtos/TradingEventsDto.cs

@@ -1,16 +0,0 @@
-namespace KLHZ.Trader.Core.Contracts.Declisions.Dtos
-{
-    public readonly struct TradingEventsDto
-    {
-        public readonly bool LongClose;
-        public readonly bool LongOpen;
-
-        public TradingEventsDto(bool longClose, bool longOpen)
-        {
-            LongClose = longClose;
-            LongOpen = longOpen;
-        }
-
-        public readonly static TradingEventsDto Empty = new TradingEventsDto(false, false);
-    }
-}

KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs

@@ -9,7 +9,7 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
         public ValueTask AddData(INewPrice priceChange);
         public ValueTask<(DateTime[] timestamps, float[] prices)> GetData();
         public ValueTask AddOrderbook(IOrderbook orderbook);
-        public long AsksCount { get; }
+        public decimal AsksCount { get; }
-        public long BidsCount { get; }
+        public decimal BidsCount { get; }
     }
 }

KLHZ.Trader.Core.Contracts/Declisions/Interfaces/ITradingEventsDetector.cs

@@ -1,9 +0,0 @@
-using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
-
-namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
-{
-    public interface ITradingEventsDetector
-    {
-        public ValueTask<TradingEvent> Detect(IPriceHistoryCacheUnit unit);
-    }
-}

KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit.cs

@@ -20,8 +20,8 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             }
         }
 
-        public long AsksCount => 1;
+        public decimal AsksCount => 1;
-        public long BidsCount => 1;
+        public decimal BidsCount => 1;
 
         private readonly object _locker = new();
         private readonly float[] Prices = new float[CacheMaxLength];

KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs

@@ -21,7 +21,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             }
         }
 
-        public long AsksCount
+        public decimal AsksCount
         {
             get
             {
@@ -32,7 +32,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             }
         }
 
-        public long BidsCount
+        public decimal BidsCount
         {
             get
             {

KLHZ.Trader.Core.Math/Declisions/Services/EventsDetection/IntervalsTradingEventsDetector.cs

@@ -1,14 +0,0 @@
-using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
-using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
-using KLHZ.Trader.Core.Math.Declisions.Utils;
-
-namespace KLHZ.Trader.Core.Math.Declisions.Services.EventsDetection
-{
-    public class IntervalsTradingEventsDetector : ITradingEventsDetector
-    {
-        public ValueTask<TradingEvent> Detect(IPriceHistoryCacheUnit unit)
-        {
-            return ValueTask.FromResult(TwoPeriods.Detect(unit));
-        }
-    }
-}

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

@@ -1,4 +1,4 @@
-using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
+using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
 using KLHZ.Trader.Core.Math.Common;
 
 namespace KLHZ.Trader.Core.Math.Declisions.Utils
@@ -18,12 +18,12 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return (startTime, sum / count);
         }
 
-        public static TradingEventsDto CheckByWindowAverageMean(DateTime[] timestamps, float[] prices, int size, float meanfullStep = 3f)
+        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, float[] prices, int size, float meanfullStep = 3f)
         {
             var twav15s = new float[size];
             var twav120s = new float[size];
             var times = new DateTime[size];
-
+            var res = TradingEvent.None;
             for (int shift = 0; shift < size; shift++)
             {
                 var twav15 = CalcTimeWindowAverageValue(timestamps, prices, 15, shift);
@@ -31,7 +31,11 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                 twav15s[size - 1 - shift] = twav15.value;
                 twav120s[size - 1 - shift] = twav120.value;
                 times[size - 1 - shift] = twav120.time;
-
+                if (System.Math.Abs(twav120.value - prices[prices.Length - 1]) > 3 * meanfullStep)
+                {
+                    res |= TradingEvent.StopBuy;
+                    return res;
+                }
                 if (shift > 0)
                 {
                     var isCrossing = Lines.IsLinesCrossing(
@@ -53,7 +57,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                         {
                             if (twav15s[size - 1 - shift] - twav15s[size - 1] >= meanfullStep)
                             {
-                                return new TradingEventsDto(false, true);
+                                res |= TradingEvent.LongOpen;
+                                res |= TradingEvent.ShortClose;
+                                break;
                             }
                         }
 
@@ -62,14 +68,16 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                         {
                             if (twav15s[size - 1 - shift] - twav15s[size - 1] <= -meanfullStep)
                             {
-                                return new TradingEventsDto(true, false);
+                                res |= TradingEvent.LongClose;
+                                res |= TradingEvent.ShortOpen;
+                                break;
                             }
                         }
                     }
                 }
             }
 
-            return new TradingEventsDto(false, false);
+            return res;
         }
 
     }

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

@@ -3,6 +3,7 @@
     public enum DeclisionTradeAction
     {
         Unknown = 0,
+        StopBuy = 1,
         OpenLong = 100,
         CloseLong = 200,
         OpenShort = 300,

KLHZ.Trader.Core/Exchange/ExchangeConfig.cs

@@ -3,6 +3,7 @@
     public class ExchangeConfig
     {
         public bool ExchangeDataRecievingEnabled { get; set; }
+        public decimal StopBuyLengthMinuts { get; set; }
         public decimal FutureComission { get; set; }
         public decimal ShareComission { get; set; }
         public decimal AccountCashPart { get; set; }

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

@@ -132,10 +132,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
             await stream.RequestStream.WriteAsync(new MarketDataRequest
             {
                 SubscribeLastPriceRequest = request,
-                SubscribeTradesRequest = tradesRequest,
-                SubscribeOrderBookRequest = bookRequest
             });
 
+            await stream.RequestStream.WriteAsync(new MarketDataRequest
+            {
+                SubscribeTradesRequest = tradesRequest,
+            });
+            await stream.RequestStream.WriteAsync(new MarketDataRequest
+            {
+                SubscribeOrderBookRequest = bookRequest
+            });
             using var context = await _dbContextFactory.CreateDbContextAsync();
             context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
             var pricesBuffer = new List<PriceChange>();

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

@@ -10,6 +10,7 @@ using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums;
 using KLHZ.Trader.Core.Exchange.Extentions;
 using KLHZ.Trader.Core.Exchange.Models;
 using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
+using KLHZ.Trader.Core.Math.Declisions.Utils;
 using Microsoft.EntityFrameworkCore;
 using Microsoft.Extensions.DependencyInjection;
 using Microsoft.Extensions.Hosting;
@@ -29,25 +30,26 @@ namespace KLHZ.Trader.Core.Exchange.Services
         private readonly IDataBus _dataBus;
         private readonly BotModeSwitcher _botModeSwitcher;
         private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
+        private readonly ConcurrentDictionary<string, DateTime> BuyStops = new();
         private readonly ConcurrentDictionary<string, ManagedAccount> Accounts = new();
         private readonly ConcurrentDictionary<string, IPriceHistoryCacheUnit> _historyCash = new();
-        private readonly ITradingEventsDetector _tradingEventsDetector;
         private readonly ILogger<Trader> _logger;
 
 
+        private readonly double _buyStopLength;
         private readonly decimal _futureComission;
         private readonly decimal _shareComission;
         private readonly decimal _accountCashPart;
         private readonly decimal _accountCashPartFutures;
         private readonly decimal _defaultBuyPartOfAccount;
         private readonly string[] _managedAccountsNamePatterns = [];
+        private readonly string[] _tradingInstrumentsFigis = [];
 
         private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
         private readonly Channel<IOrderbook> _ordersbookChannel = Channel.CreateUnbounded<IOrderbook>();
-
+        private readonly CancellationTokenSource _cts = new();
         public Trader(
             ILogger<Trader> logger,
-            ITradingEventsDetector tradingEventsDetector,
             BotModeSwitcher botModeSwitcher,
             IServiceProvider provider,
             IOptions<ExchangeConfig> options,
@@ -56,7 +58,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
             InvestApiClient investApiClient)
         {
             _logger = logger;
-            _tradingEventsDetector = tradingEventsDetector;
             _botModeSwitcher = botModeSwitcher;
             _dataBus = dataBus;
             _provider = provider;
@@ -68,10 +69,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
             _accountCashPart = options.Value.AccountCashPart;
             _accountCashPartFutures = options.Value.AccountCashPartFutures;
             _defaultBuyPartOfAccount = options.Value.DefaultBuyPartOfAccount;
+            _tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
+            _buyStopLength = (double)options.Value.StopBuyLengthMinuts;
         }
 
         public async Task StartAsync(CancellationToken cancellationToken)
         {
+            //await InitStops();
             var accounts = await _investApiClient.GetAccounts(_managedAccountsNamePatterns);
             var accountsList = new List<ManagedAccount>();
             int i = 0;
@@ -94,6 +98,20 @@ namespace KLHZ.Trader.Core.Exchange.Services
             _dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
             _ = ProcessPrices();
             _ = ProcessOrdersbooks();
+            _ = BackgroundWorker();
+        }
+
+        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);
+                BuyStops.TryAdd(stop.Figi, time);
+            }
         }
 
         private async Task ProcessPrices()
@@ -101,54 +119,86 @@ namespace KLHZ.Trader.Core.Exchange.Services
             while (await _pricesChannel.Reader.WaitToReadAsync())
             {
                 var message = await _pricesChannel.Reader.ReadAsync();
-                if (_historyCash.TryGetValue(message.Figi, out var data))
+                //if (_tradingInstrumentsFigis.Contains(message.Figi))
-                {
+                //{
-                    await data.AddData(message);
+                //    if (_historyCash.TryGetValue(message.Figi, out var unit))
-                }
+                //    {
-                else
+                //        await unit.AddData(message);
-                {
+                //    }
-                    data = new PriceHistoryCacheUnit2(message.Figi, message);
+                //    else
-                    _historyCash.TryAdd(message.Figi, data);
+                //    {
-                }
+                //        unit = new PriceHistoryCacheUnit2(message.Figi, message);
-                var result = await _tradingEventsDetector.Detect(data);
+                //        _historyCash.TryAdd(message.Figi, unit);
+                //    }
+                //    var data = await unit.GetData();
+                //    var declisionsForSave = new List<Declision>();
+                //    if (message.Figi == "FUTIMOEXF000")
+                //    {
+                //        var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 3f);
+                //        if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
+                //        {
+                //            var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
+                //            BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
+                //            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.StopBuy,
+                //            });
+                //        }
 
-                try
+                //        if ((result & TradingEvent.LongOpen) == TradingEvent.LongOpen 
-                {
+                //            && !BuyStops.TryGetValue(message.Figi, out _))
-                    if ((result & TradingEvent.LongOpen) == TradingEvent.LongOpen)
+                //        {
-                    {
+                //            var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
-                        using var context = await _dbContextFactory.CreateDbContextAsync();
+                //            BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
-                        context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
+                //            declisionsForSave.Add(new Declision()
-                        await context.Declisions.AddAsync(new Declision()
+                //            {
-                        {
+                //                AccountId = string.Empty,
-                            AccountId = string.Empty,
+                //                Figi = message.Figi,
-                            Figi = message.Figi,
+                //                Ticker = message.Ticker,
-                            Ticker = message.Ticker,
+                //                Price = message.Value,
-                            Price = message.Value,
+                //                Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                            Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
+                //                Action = DeclisionTradeAction.OpenLong,
-                            Action = DeclisionTradeAction.OpenLong,
+                //            });
-                        });
+                //        }
-                        await context.SaveChangesAsync();
-                    }
-                    if ((result & TradingEvent.LongClose) == TradingEvent.LongClose)
-                    {
-                        using var context = await _dbContextFactory.CreateDbContextAsync();
-                        context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
-                        await context.Declisions.AddAsync(new Declision()
-                        {
-                            AccountId = string.Empty,
-                            Figi = message.Figi,
-                            Ticker = message.Ticker,
-                            Price = message.Value,
-                            Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
-                            Action = DeclisionTradeAction.CloseLong,
-                        });
-                        await context.SaveChangesAsync();
-                    }
-                }
-                catch (Exception ex)
-                {
 
-                }
+                //        if ((result & TradingEvent.LongClose) == TradingEvent.LongClose)
+                //        {
+                //            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.CloseLong,
+                //            });
+                //        }
+
+                //        if ((result & TradingEvent.ShortOpen) == TradingEvent.ShortOpen && (unit.AsksCount/ unit.BidsCount>2 ))
+                //        {
+                //            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,
+                //            });
+                //        }
+
+                //        using var context = await _dbContextFactory.CreateDbContextAsync();
+                //        context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
+
+                //        await context.AddRangeAsync(declisionsForSave);
+                //        await context.SaveChangesAsync();
+                //    }
+                //}
             }
         }
 
@@ -166,8 +216,30 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
+        private async Task BackgroundWorker()
+        {
+            var keysForRemove = new List<string>();
+            while (!_cts.IsCancellationRequested)
+            {
+                var time = DateTime.UtcNow;
+                foreach (var kvp in BuyStops)
+                {
+                    if (kvp.Value > time)
+                    {
+                        keysForRemove.Add(kvp.Key);
+                    }
+                }
+                foreach (var key in keysForRemove)
+                {
+                    BuyStops.TryRemove(key, out _);
+                }
+                await Task.Delay(10000);
+            }
+        }
+
         public Task StopAsync(CancellationToken cancellationToken)
         {
+            _cts.Cancel();
             return Task.CompletedTask;
         }
 

KLHZ.Trader.Service/Program.cs

@@ -1,11 +1,9 @@
 using KLHZ.Trader.Core.Common;
 using KLHZ.Trader.Core.Common.Messaging.Services;
-using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
 using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
 using KLHZ.Trader.Core.DataLayer;
 using KLHZ.Trader.Core.Exchange;
 using KLHZ.Trader.Core.Exchange.Services;
-using KLHZ.Trader.Core.Math.Declisions.Services.EventsDetection;
 using KLHZ.Trader.Core.TG;
 using KLHZ.Trader.Core.TG.Services;
 using KLHZ.Trader.Service.Infrastructure;
@@ -53,7 +51,6 @@ builder.Services.AddHostedService<Trader>();
 builder.Services.AddSingleton<IUpdateHandler, BotMessagesHandler>();
 builder.Services.AddSingleton<BotModeSwitcher>();
 builder.Services.AddSingleton<IDataBus, DataBus>();
-builder.Services.AddSingleton<ITradingEventsDetector, IntervalsTradingEventsDetector>();
 
 for (int i = 0; i < 10; i++)
 {

KLHZ.Trader.Service/appsettings.json

@@ -8,6 +8,7 @@
   },
   "LokiUrl": "",
   "ExchangeConfig": {
+    "StopBuyLengthMinuts": 20,
     "ExchangeDataRecievingEnabled": true,
     "Token": "",
     "ManagingAccountNamePatterns": [ "автотрейд 1" ],

KLHZ.Trader.sln

@@ -28,6 +28,7 @@ Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "postrgres", "postrgres", "{
 		KLHZ.Trader.Infrastructure\postgres\init.sql = KLHZ.Trader.Infrastructure\postgres\init.sql
 		KLHZ.Trader.Infrastructure\postgres\migration1.sql = KLHZ.Trader.Infrastructure\postgres\migration1.sql
 		KLHZ.Trader.Infrastructure\postgres\migration2.sql = KLHZ.Trader.Infrastructure\postgres\migration2.sql
+		KLHZ.Trader.Infrastructure\postgres\migration3.sql = KLHZ.Trader.Infrastructure\postgres\migration3.sql
 	EndProjectSection
 EndProject
 Project("{2150E333-8FDC-42A3-9474-1A3956D46DE8}") = "loki", "loki", "{63D21DAF-FDF0-4F2D-A671-E9E59BB0CA5B}"