добавил анализ скользящими средними

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

@@ -18,41 +18,44 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return (startTime, sum / count);
         }
 
-        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, decimal[] prices, int size, decimal meanfullStep = 3m)
+        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, decimal[] prices, int size,int smallWindow, int bigWindow, decimal meanfullStep = 3m)
         {
             var res = TradingEvent.None;
             if (timestamps.Length < size)
             {
                 return res;
             }
-            var twav15s = new decimal[size];
+            var pricesForFinalComparison = new decimal[size];
-            var twav120s = new decimal[size];
+            var twavss = new decimal[size];
+            var twavbs = new decimal[size];
             var times = new DateTime[size];
             
             
             for (int shift = 0; shift < size; shift++)
             {
-                var twav15 = CalcTimeWindowAverageValue(timestamps, prices, 15, shift);
+                var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
-                var twav120 = CalcTimeWindowAverageValue(timestamps, prices, 120, shift);
+                var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
-                twav15s[size - 1 - shift] = twav15.value;
+                pricesForFinalComparison[size - 1 - shift] = prices[prices.Length - 1 - shift];
-                twav120s[size - 1 - shift] = twav120.value;
+                twavss[size - 1 - shift] = twavs.value;
-                times[size - 1 - shift] = twav120.time;
+                twavbs[size - 1 - shift] = twavb.value;
-                if (System.Math.Abs(twav120.value - prices[prices.Length - 1]) > 3 * meanfullStep)
+                times[size - 1 - shift] = twavb.time;
+                if (System.Math.Abs(twavb.value - prices[prices.Length - 1]) > 2 * meanfullStep)
                 {
                     res |= TradingEvent.StopBuy;
                     return res;
                 }
                 if (shift > 0)
                 {
-                    var i1 = size - shift;
+                    var i1 = size - 1 - shift;
-                    var i2 = size - 1 - shift;
+                    var i2 = size - shift;
                     var isCrossing = Lines.IsLinesCrossing(
                         times[i1],
                         times[i2],
-                        twav15s[i1],
+                        twavss[i1],
-                        twav15s[i2],
+                        twavss[i2],
-                        twav120s[i1],
+                        twavbs[i1],
-                        twav120s[i2]);
+                        twavbs[i2]);
+
                     if (shift == 1 && !isCrossing) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
                                                    //текущей и предыдущей точкой - можно не продолжать выполнение.
                     {
@@ -61,9 +64,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                     if (shift > 1 && isCrossing)
                     {
                         // если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
-                        if (twav120s[size - 1] <= twav15s[size - 1] && twav120s[size - 2] > twav15s[size - 2])
+                        if (twavbs[size - 1] <= twavss[size - 1] && twavbs[size - 2] > twavss[size - 2])
                         {
-                            if (twav15s[size - 1 - shift] - twav15s[size - 1] >= meanfullStep)
+                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] >= meanfullStep)
                             {
                                 res |= TradingEvent.LongOpen;
                                 res |= TradingEvent.ShortClose;
@@ -72,9 +75,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                         }
 
                         // если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
-                        if (twav15s[size - 1] <= twav120s[size - 1] && twav15s[size - 2] > twav120s[size - 2])
+                        if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
                         {
-                            if (twav15s[size - 1 - shift] - twav15s[size - 1] <= -meanfullStep)
+                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] <= -meanfullStep)
                             {
                                 res |= TradingEvent.LongClose;
                                 res |= TradingEvent.ShortOpen;

KLHZ.Trader.Core.Tests/MovingAverageTests.cs

@@ -1,27 +0,0 @@
-using KLHZ.Trader.Core.DataLayer.Entities.Prices;
-using KLHZ.Trader.Core.Math.Common;
-using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
-using KLHZ.Trader.Core.Math.Declisions.Utils;
-
-namespace KLHZ.Trader.Core.Tests
-{
-    public class MovingAverageTests
-    {
-        [Test]
-        public void Test1()
-        {
-            var cacheUnit = new PriceHistoryCacheUnit2("");
-            for (int i = 0; i < 5 * PriceHistoryCacheUnit2.CacheMaxLength; i++)
-            {
-                cacheUnit.AddData(new PriceChange() { Figi = "", Ticker = "", Value = i, Time = DateTime.UtcNow });
-                if (i >= 500)
-                {
-                    var data = cacheUnit.GetData().Result;
-                    Assert.IsTrue(data.prices.Length == PriceHistoryCacheUnit2.CacheMaxLength);
-                    Assert.IsTrue(data.prices.Last() == i);
-                    var res = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100);
-                }
-            }
-        }
-    }
-}

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

@@ -139,10 +139,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             {
                                 continue;
                             }
-                            var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 2m);
+
+
+                            var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100,15,120);
                             if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
                             {
-                                var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
+                                var stopTo = (message.IsHistoricalData?message.Time: DateTime.UtcNow).AddMinutes(_buyStopLength);
                                 BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
                                 declisionsForSave.Add(new Declision()
                                 {
@@ -160,7 +162,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             {
                                 if (BuyStops.TryGetValue(message.Figi, out var dt))
                                 {
-                                    if (dt > DateTime.UtcNow)
+                                    if (dt > (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
                                     {
                                         continue;
                                     }
@@ -169,8 +171,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                         BuyStops.TryRemove(message.Figi, out _);
                                     }
                                 }
-                                var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
+
-                                BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
                                 declisionsForSave.Add(new Declision()
                                 {
                                     AccountId = string.Empty,