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добавил закрытие позиций с временных окон

dev
vlad zverzhkhovskiy 2025-10-14 18:01:00 +03:00
parent c1eaae531f
commit 4332e3b097
4 changed files with 188 additions and 13 deletions
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106
KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs
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@ -1,4 +1,5 @@
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.Math.Common;
namespace KLHZ.Trader.Core.Math.Declisions.Utils
@ -20,6 +21,21 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
return (startTime, sum / count);
}
internal static (DateTime time, decimal value) CalcTimeWindowAverageValue(ITradeDataItem[] data, int window, int shift = 0)
{
var sum = data[data.Length - 1 - shift].Price;
var count = 1m;
var startTime = data[data.Length - 1 - shift].Time;
for (int i = 2; i + shift < data.Length
&& startTime - data[data.Length - i - shift].Time < TimeSpan.FromSeconds(window); i++)
{
var k = data.Length - i - shift;
sum += data[data.Length - i - shift].Price;
count++;
}
return (startTime, sum / count);
}
public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean(DateTime[] timestamps,
decimal[] prices, int size, int smallWindow, int bigWindow, TimeSpan timeForUptreandStart,
decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
@ -214,5 +230,95 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
return (res, bigWindowAv, smallWindowAv);
}
public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean2(ITradeDataItem[] data, int size, int smallWindow, int bigWindow,
decimal? uptrendStartingDetectionMeanfullStep = null, decimal? uptrendEndingDetectionMeanfullStep = null)
{
var res = TradingEvent.None;
var bigWindowAv = 0m;
var smallWindowAv = 0m;
var s = 0;
var pricesForFinalComparison = new decimal[size];
var timesForFinalComparison = new DateTime[size];
var twavss = new decimal[size];
var twavbs = new decimal[size];
var times = new DateTime[size];
var crossings = new List<int>();
var crossingValues = new List<decimal>();
for (int shift = 0; shift < size - 1 && shift < data.Length - 1; shift++)
{
s = shift;
var i2 = size - 1 - shift;
var i1 = size - 2 - shift;
var twavs = CalcTimeWindowAverageValue(data, smallWindow, shift);
var twavb = CalcTimeWindowAverageValue(data, bigWindow, shift);
pricesForFinalComparison[i2] = data[data.Length - 1 - shift].Price;
timesForFinalComparison[i2] = data[data.Length - 1 - shift].Time;
if (shift == 0)
{
bigWindowAv = twavb.value;
smallWindowAv = twavs.value;
}
twavss[i2] = twavs.value;
twavbs[i2] = twavb.value;
times[i2] = twavb.time;
if (shift > 0)
{
var isCrossing = Lines.IsLinesCrossing(
times[i1 + 1],
times[i2 + 1],
twavss[i1 + 1],
twavss[i2 + 1],
twavbs[i1 + 1],
twavbs[i2 + 1]);
if (shift == 1 && !isCrossing.res) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
//текущей и предыдущей точкой - можно не продолжать выполнение.
{
break;
}
if (isCrossing.res)
{
crossings.Add(i2);
crossingValues.Add(isCrossing.y);
if (crossings.Count == 2)
{
var dt = timesForFinalComparison[crossings[0]] - timesForFinalComparison[crossings[1]];
var d1 = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
var d2 = crossingValues[0] - crossingValues[1];
// если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
{
if (!uptrendEndingDetectionMeanfullStep.HasValue || ((d1 >= uptrendEndingDetectionMeanfullStep
//|| d2 >= uptrendEndingDetectionMeanfullStep
)
&& dt > TimeSpan.FromSeconds(10)))
{
res |= TradingEvent.CloseLong;
res |= TradingEvent.OpenShort;
}
break;
}
// если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
if (twavss[size - 1] >= twavbs[size - 1] && twavss[size - 2] < twavbs[size - 2])
{
if (!uptrendStartingDetectionMeanfullStep.HasValue || ((d1 <= uptrendStartingDetectionMeanfullStep
// || d2 <= uptrendStartingDetectionMeanfullStep
) && dt > TimeSpan.FromSeconds(10)))
{
res |= TradingEvent.OpenLong;
res |= TradingEvent.CloseShort;
}
break;
}
}
}
}
}
return (res, bigWindowAv, smallWindowAv);
}
}
}

31
KLHZ.Trader.Core/Exchange/Services/ManagedAccount.cs
View File

@ -1,4 +1,5 @@
using KLHZ.Trader.Core.Common.Extentions;
using Google.Protobuf.WellKnownTypes;
using KLHZ.Trader.Core.Common.Extentions;
using KLHZ.Trader.Core.Contracts.Common.Enums;
using KLHZ.Trader.Core.DataLayer;
using KLHZ.Trader.Core.Exchange.Extentions;
@ -9,6 +10,7 @@ using Microsoft.Extensions.Logging;
using Microsoft.Extensions.Options;
using System.Collections.Concurrent;
using System.Collections.Immutable;
using Telegram.Bot.Types;
using Tinkoff.InvestApi;
using Tinkoff.InvestApi.V1;
using Asset = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.Asset;
@ -187,16 +189,37 @@ namespace KLHZ.Trader.Core.Exchange.Services
_usedOrderIds.TryAdd(res.OrderId, DateTime.UtcNow);
var executedPrice = res.ExecutedOrderPrice / 10;
await Task.Delay(1000);
if (stopLossShift == 0)
{
stopLossShift = 0.002m * executedPrice;
}
if (takeProfitShift == 0)
{
takeProfitShift = 0.01m * executedPrice;
}
takeProfitShift = takeProfitShift * 2;
takeProfitShift = System.Math.Round(takeProfitShift);
takeProfitShift = takeProfitShift / 2;
stopLossShift = stopLossShift * 2;
stopLossShift = System.Math.Round(stopLossShift);
stopLossShift = stopLossShift / 2;
var pricesl = positionType == PositionType.Long ? executedPrice - stopLossShift : executedPrice + stopLossShift;
var pricetp = positionType == PositionType.Long ? executedPrice + takeProfitShift : executedPrice - takeProfitShift;
var slReq = new PostStopOrderRequest()
{
AccountId = AccountId,
ConfirmMarginTrade = false,
InstrumentId = figi,
Direction = stopOrdersDirection,
Direction = stopOrdersDirection,
PriceType = PriceType.Point,
Quantity = count,
StopOrderType = StopOrderType.StopLoss,
StopPrice = positionType == PositionType.Long ? executedPrice - stopLossShift : executedPrice + stopLossShift,
StopPrice = pricesl,
ExchangeOrderType = ExchangeOrderType.Market,
ExpirationType = StopOrderExpirationType.GoodTillCancel,
};
@ -211,7 +234,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
PriceType = PriceType.Point,
Quantity = count,
StopOrderType = StopOrderType.TakeProfit,
StopPrice = positionType == PositionType.Long ? executedPrice + takeProfitShift : executedPrice - takeProfitShift,
StopPrice = pricetp,
ExchangeOrderType = ExchangeOrderType.Market,
ExpirationType = StopOrderExpirationType.GoodTillCancel,
};

62
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -86,16 +86,25 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (command.CommandType == TradeCommandType.OpenLong
|| command.CommandType == TradeCommandType.OpenShort)
{
var fakeMessage = new TradeDataItem() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
ITradeDataItem message;
if (_oldItems.TryGetValue(command.Figi, out var message1))
{
message = message1;
}
else
{
message = new TradeDataItem() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
}
var positionType = command.CommandType == TradeCommandType.OpenLong ? PositionType.Long : PositionType.Short;
var st = GetStops(fakeMessage);
var st = GetStops(message);
var stops = st.GetStops(positionType);
var accounts = _portfolioWrapper.Accounts
.Where(a => !a.Value.Assets.ContainsKey(command.Figi))
.Take(1)
.Select(a => a.Value)
.ToArray();
await OpenPositions(accounts, fakeMessage, positionType, stops.stopLoss, stops.takeProfit, System.Math.Abs(command.Count));
await OpenPositions(accounts, message, positionType, stops.stopLoss, stops.takeProfit, System.Math.Abs(command.Count));
}
else
{
@ -203,11 +212,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
await CalcSupportLevels(message, 3, 5);
var stops = GetStops(message);
var pirson = await CalcPirson(message);
var mavRes = await CalcTimeWindowAverageValue(message);
var declisionPirson = await ProcessPirson(pirson, message);
var declisionsSupportLevels = await ProcessSupportLevels(message);
var declisionsStops = ProcessStops(stops, 2m);
var res = TraderUtils.MergeResultsMult(declisionPirson, declisionsSupportLevels);
res = TraderUtils.MergeResultsMult(res, declisionsStops);
res = TraderUtils.MergeResultsMax(res, mavRes);
await ExecuteDeclisions(res.ToImmutableDictionary(), message, stops, 1);
@ -228,18 +239,50 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
private async Task<ImmutableDictionary<TradingEvent, decimal>> CalcTimeWindowAverageValue(ITradeDataItem message)
{
var res = TraderUtils.GetInitDict(Constants.BlockingCoefficient);
var cacheSize = TimeSpan.FromSeconds(60*60);
var data = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, cacheSize, selector: (i) => i.Direction == 1);
var closings = MovingAverage.CheckByWindowAverageMean2(data, data.Length, 15, 300, -5m, 5m);
//var re = MovingAverage.CheckByWindowAverageMean2(data, 100, 15, 300, -4m, 4m);
if (closings.smallWindowAv != 0)
{
await _tradeDataProvider.LogPrice(message, "maw_small", closings.smallWindowAv);
await _tradeDataProvider.LogPrice(message, "maw_big", closings.bigWindowAv);
}
//if ((re.events & TradingEvent.OpenShort) == TradingEvent.OpenShort)
//{
// res[TradingEvent.OpenShort] = Constants.PowerUppingCoefficient;
//}
//if ((re.events & TradingEvent.OpenLong) == TradingEvent.OpenLong)
//{
// res[TradingEvent.OpenLong] = Constants.PowerUppingCoefficient;
//}
if ((closings.events & TradingEvent.CloseShort) == TradingEvent.CloseShort)
{
res[TradingEvent.CloseShort] = Constants.PowerUppingCoefficient;
}
if ((closings.events & TradingEvent.CloseLong) == TradingEvent.CloseLong)
{
res[TradingEvent.CloseLong] = Constants.PowerUppingCoefficient;
}
return res.ToImmutableDictionary();
}
private async Task<ImmutableDictionary<TradingEvent, decimal>> ProcessPirson(PirsonCalculatingResult pirson, ITradeDataItem message)
{
var res = TraderUtils.GetInitDict(Constants.BlockingCoefficient);
if (pirson.Success && _pirsonValues.TryGetValue(message.Figi, out var olddpirs))
{
if (olddpirs < 0 && pirson.Pirson > 0 && pirson.PriceDiff > 0 && (pirson.TradesDiffRelative > 0.2m))
if (olddpirs < -0.3m && pirson.Pirson > -0.3m && pirson.PriceDiff > 0 && (pirson.TradesDiffRelative > 0.2m))
{
res[TradingEvent.OpenLong] = Constants.PowerUppingCoefficient;
}
if (olddpirs > 0 && pirson.Pirson < 0 && pirson.PriceDiff < 0 && (pirson.TradesDiffRelative > 0.2m))
if (olddpirs > 0.3m && pirson.Pirson < 0.3m && pirson.PriceDiff < 0 && (pirson.TradesDiffRelative > 0.2m))
{
res[TradingEvent.OpenShort] = Constants.PowerUppingCoefficient;
}
@ -328,7 +371,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
if (_supportLevelsCalculationTimes.TryGetValue(message.Figi, out var lastTime))
{
if ((message.Time - lastTime).TotalMinutes < 30)
if ((message.Time - lastTime).TotalMinutes < 10)
{
return;
}
@ -489,6 +532,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
var loggedDeclisions = 0;
var sign = positionType == PositionType.Long ? 1 : 1;
foreach (var acc in accounts)
{
if (TraderUtils.IsOperationAllowed(acc, message.Price, count, _exchangeConfig.AccountCashPartFutures, _exchangeConfig.AccountCashPart))
@ -533,7 +577,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
var valLow = message.Price - stops.stopLoss;
var valHigh = message.Price + stops.takeProfit;
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLong, val, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, valHigh, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
//await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, valHigh, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, valLow, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
}
if (result[TradingEvent.OpenShort] >= Constants.UppingCoefficient
@ -554,7 +598,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
var valLow = message.Price - stops.takeProfit;
var valHigh = message.Price + stops.stopLoss;
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenShort, val, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, valLow, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
//await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, valLow, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, valHigh, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
}
if (result[TradingEvent.CloseLong] >= Constants.UppingCoefficient)
@ -751,10 +795,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (message.Price < levelByTime.LowValue)
{
res[TradingEvent.OpenShort] = Constants.ForceExecuteCoefficient;
res[TradingEvent.OpenLong] = Constants.ForceExecuteCoefficient;
_usedSupportLevels[message.Figi] = levelByTime.CalculatedAt;
}
else if (message.Price > levelByTime.HighValue)
{
res[TradingEvent.OpenShort] = Constants.ForceExecuteCoefficient;
res[TradingEvent.OpenLong] = Constants.ForceExecuteCoefficient;
_usedSupportLevels[message.Figi] = levelByTime.CalculatedAt;
}

2
KLHZ.Trader.Core/Exchange/Utils/TraderUtils.cs
View File

@ -27,7 +27,7 @@ namespace KLHZ.Trader.Core.Exchange.Utils
foreach (var k in result.Keys)
{
var valRes = result[k];
var valData = result[k];
var valData = data[k];
res[k] = System.Math.Max(valRes, valData);
}
return res;