обновление стратегии + фикс скидывания IMOEXF

KLHZ.Trader.Core.Contracts/Messaging/Dtos/Interfaces/ITradeCommand.cs

@@ -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; }
     }
 }

KLHZ.Trader.Core.Contracts/Messaging/Dtos/TradeCommand.cs

@@ -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;
     }
 }

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

@@ -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;
-                                }
                             }
                         }
                     }

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

@@ -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()

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

@@ -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);
+        }
     }
 }

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

@@ -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);

KLHZ.Trader.Core/TG/Services/BotMessagesHandler.cs

@@ -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);
@@ -73,16 +76,25 @@ namespace KLHZ.Trader.Core.TG.Services
                                 break;
                             }
                         case "продать IMOEXF":
+                            {
+
+                                var assets = await _traderDataProvider.GetAssetsByFigi("FUTIMOEXF000");
+                                foreach(var asset in assets)
+                                {
+                                    if (asset.Count > 0)
                                     {
                                         var command = new TradeCommand()
                                         {
-                                    AccountId = "2274189208",
+                                            AccountId = asset.AccountId,
                                             CommandType = TradeCommandType.MarketSell,
                                             RecomendPrice = null,
-                                    Figi = "FUTIMOEXF000",
+                                            Figi = asset.Figi,
-                                    Count = 1,
+                                            Count = (long)asset.Count,
                                         };
                                         await _eventBus.Broadcast(command);
+                                    }
+                                }
+
                                 break;
                             }
                         case "купить IMOEXF":