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обновление стратегии + фикс скидывания IMOEXF
test / deploy_trader_prod (push) Successful in 4m24s Details

dev
vlad zverzhkhovskiy 2025-09-09 02:10:37 +03:00
parent a2e58c9a12
commit 7cc13d9ba0
7 changed files with 70 additions and 134 deletions
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1
KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/ITradeCommand.cs
View File

@ -9,5 +9,6 @@ namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces
public decimal? RecomendPrice { get; }
public long Count { get; }
public string AccountId { get; }
public bool EnableMargin { get; }
}
}

1
KLHZ.Trader.Core.Contracts/Messaging/Dtos/TradeCommand.cs
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@ -10,5 +10,6 @@ namespace KLHZ.Trader.Core.Contracts.Messaging.Dtos
public decimal? RecomendPrice { get; init; }
public long Count { get; init; }
public required string AccountId { get; init; }
public bool EnableMargin { get; init; } = true;
}
}

46
KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs
View File

@ -71,9 +71,44 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
if (isCrossing.res)
{
crossings.Add(i2);
if (crossings.Count == 4 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
{
if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
{
crossings.Add(shift);
}
var diffTotal = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
for (int crossingShift = 1; crossingShift < crossings.Count - 2; crossingShift++)
{
var diff = pricesForFinalComparison[crossings[crossingShift]] - pricesForFinalComparison[crossings[crossingShift + 1]];
if (diff >= 0)
{
diffTotal += diff;
}
else
{
break;
}
}
// 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 (diffTotal >= meanfullStep
&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
{
res |= TradingEvent.UptrendEnd;
}
break;
}
}
if (crossings.Count == 2 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
{
if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
{
crossings.Add(shift);
}
// 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])
{
@ -84,17 +119,6 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
break;
}
// 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 (pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]] >= meanfullStep
&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
{
res |= TradingEvent.UptrendEnd;
}
break;
}
}
}
}

115
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -28,8 +28,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly IDataBus _dataBus;
private readonly TraderDataProvider _tradeDataProvider;
private readonly ILogger<Trader> _logger;
private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongOpens = new();
private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongCloses = new();
private readonly ConcurrentDictionary<string, DateTime> OpeningStops = new();
private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new();
@ -131,7 +129,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
AccountId = asset.AccountId,
Figi = message.Figi,
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
CommandType = asset.Count < 0? Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketBuy
: Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
Count = (long)asset.Count,
RecomendPrice = null,
});
@ -146,7 +145,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
INewPrice message, int windowMaxSize)
{
var res = TradingEvent.None;
var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 25, 120, TimeSpan.FromSeconds(20), 1m);
var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 25, 120, TimeSpan.FromSeconds(20), 1.5m);
//var resultLongClose = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 15, 120, 1.5m).events;
//ar uptrendStarts = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(20), 1.5m, 15);
@ -282,114 +281,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
private async Task ProcessDeferredLongOpens(INewPrice message, DateTime currentTime)
{
if (message.Figi == "FUTIMOEXF000")
{
DeferredTrade? longOpen;
DeferredLongOpens.TryGetValue(message.Figi, out longOpen);
if (longOpen != null)
{
var t = currentTime;
if (longOpen.Time <= t
&& t - longOpen.Time < TimeSpan.FromMinutes(3))
{
DeferredLongOpens.TryRemove(message.Figi, out _);
if (message.Value - longOpen.Price < 1)
{
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
{
var accounts = _tradeDataProvider.Accounts
.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
.ToArray();
foreach (var acc in accounts)
{
if (IsBuyAllowed(acc.Value, message.Value, 1, _accountCashPartFutures, _accountCashPart))
{
if (RandomNumberGenerator.GetInt32(100) > 50)
{
await _dataBus.Broadcast(new TradeCommand()
{
AccountId = acc.Value.AccountId,
Figi = message.Figi,
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketBuy,
Count = 1,
RecomendPrice = null,
});
}
await LogDeclision(DeclisionTradeAction.OpenLong, message);
}
}
}
else
{
await LogDeclision(DeclisionTradeAction.OpenLong, message);
}
}
}
}
}
}
private async Task ProcessDeferredLongCloses(INewPrice message, DateTime currentTime)
{
if (message.Figi == "FUTIMOEXF000")
{
DeferredTrade? longClose;
DeferredLongCloses.TryGetValue(message.Figi, out longClose);
if (longClose != null)
{
if (longClose.Time <= currentTime)
{
DeferredLongCloses.TryRemove(message.Figi, out _);
if (longClose.Price - message.Value < 1)
{
var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
{
var assetsForClose = _tradeDataProvider.Accounts
.SelectMany(a => a.Value.Assets.Values)
.Where(a => a.Figi == message.Figi && a.Count > 0)
.ToArray();
foreach (var asset in assetsForClose)
{
var profit = 0m;
if (assetType == AssetType.Common && asset.Count > 0)
{
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), 1, false);
}
if (assetType == AssetType.Futures)
{
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
}
if (profit > 0)
{
await _dataBus.Broadcast(new TradeCommand()
{
AccountId = asset.AccountId,
Figi = message.Figi,
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
Count = (long)asset.Count,
RecomendPrice = null,
});
await LogDeclision(DeclisionTradeAction.CloseLong, message, profit);
}
}
}
else
{
await LogDeclision(DeclisionTradeAction.CloseLong, message);
}
}
}
}
}
}
private async Task LogPrice(INewPrice message, string processor, decimal value)
{
await _tradeDataProvider.LogPrice(new ProcessedPrice()

9
KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs
View File

@ -1,4 +1,5 @@
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using Google.Protobuf.WellKnownTypes;
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.DataLayer;
@ -416,5 +417,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
}
public ValueTask<Asset[]> GetAssetsByFigi(string figi)
{
var assets = Accounts.Values.SelectMany(a => a.Assets.Values.Where(aa => aa.Figi == figi)).ToArray();
return ValueTask.FromResult(assets);
}
}
}

2
KLHZ.Trader.Core/Exchange/Services/TradingCommandsExecutor.cs
View File

@ -63,7 +63,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
Direction = dir,
OrderType = OrderType.Market,
Quantity = tradeCommand.Count,
ConfirmMarginTrade = true,
ConfirmMarginTrade = tradeCommand.EnableMargin,
};
var res = await _investApiClient.Orders.PostOrderAsync(req);

30
KLHZ.Trader.Core/TG/Services/BotMessagesHandler.cs
View File

@ -2,6 +2,7 @@
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
using KLHZ.Trader.Core.Exchange.Services;
using Microsoft.Extensions.Logging;
using Microsoft.Extensions.Options;
using System.Collections.Immutable;
@ -17,8 +18,10 @@ namespace KLHZ.Trader.Core.TG.Services
private readonly ImmutableArray<long> _admins = [];
private readonly IDataBus _eventBus;
private readonly ILogger<BotMessagesHandler> _logger;
public BotMessagesHandler(IDataBus eventBus, IOptions<TgBotConfig> options, ILogger<BotMessagesHandler> logger)
private readonly TraderDataProvider _traderDataProvider;
public BotMessagesHandler(IDataBus eventBus, IOptions<TgBotConfig> options, ILogger<BotMessagesHandler> logger, TraderDataProvider traderDataProvider)
{
_traderDataProvider = traderDataProvider;
_logger = logger;
_eventBus = eventBus;
_admins = ImmutableArray.CreateRange(options.Value.Admins);
@ -74,15 +77,24 @@ namespace KLHZ.Trader.Core.TG.Services
}
case "продать IMOEXF":
{
var command = new TradeCommand()
var assets = await _traderDataProvider.GetAssetsByFigi("FUTIMOEXF000");
foreach(var asset in assets)
{
AccountId = "2274189208",
CommandType = TradeCommandType.MarketSell,
RecomendPrice = null,
Figi = "FUTIMOEXF000",
Count = 1,
};
await _eventBus.Broadcast(command);
if (asset.Count > 0)
{
var command = new TradeCommand()
{
AccountId = asset.AccountId,
CommandType = TradeCommandType.MarketSell,
RecomendPrice = null,
Figi = asset.Figi,
Count = (long)asset.Count,
};
await _eventBus.Broadcast(command);
}
}
break;
}
case "купить IMOEXF":