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test / deploy_trader_prod (push) Successful in 3m54s
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test / deploy_trader_prod (push) Successful in 3m54s
Details
vlad zverzhkhovskiy
parent
6643549a93
commit
8b38421be4
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@ -140,127 +140,135 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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var message = await _pricesChannel.Reader.ReadAsync();
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#region Ускорение обработки исторических данных при отладке
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if (message.IsHistoricalData)
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try
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{
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await _tradeDataProvider.AddData(message, TimeSpan.FromHours(6));
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if (!pricesCache.TryGetValue(message.Figi, out var list))
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{
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list = new List<INewPrice>();
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pricesCache[message.Figi] = list;
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}
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list.Add(message);
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if ((list.Last().Time - list.First().Time).TotalSeconds < 0.5)
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#region Ускорение обработки исторических данных при отладке
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if (message.IsHistoricalData)
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{
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await _tradeDataProvider.AddData(message, TimeSpan.FromHours(6));
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if (!pricesCache.TryGetValue(message.Figi, out var list))
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{
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list = new List<INewPrice>();
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pricesCache[message.Figi] = list;
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}
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list.Add(message);
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continue;
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}
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else
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{
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message = new PriceChange()
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{
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Figi = message.Figi,
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Ticker = message.Ticker,
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Count = message.Count,
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Direction = message.Direction,
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IsHistoricalData = message.IsHistoricalData,
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Time = message.Time,
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Value = list.Sum(l => l.Value) / list.Count
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};
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list.Clear();
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}
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try
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{
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if (timesCache.TryGetValue(message.Figi, out var dt))
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if ((list.Last().Time - list.First().Time).TotalSeconds < 0.5)
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{
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if ((message.Time - dt).TotalSeconds > 120)
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list.Add(message);
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continue;
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}
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else
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{
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message = new PriceChange()
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{
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Figi = message.Figi,
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Ticker = message.Ticker,
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Count = message.Count,
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Direction = message.Direction,
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IsHistoricalData = message.IsHistoricalData,
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Time = message.Time,
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Value = list.Sum(l => l.Value) / list.Count
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};
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list.Clear();
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}
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try
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{
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if (timesCache.TryGetValue(message.Figi, out var dt))
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{
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if ((message.Time - dt).TotalSeconds > 120)
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{
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timesCache[message.Figi] = message.Time;
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TradingModes[message.Figi] = await CalcTradingMode(message);
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}
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}
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else
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{
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timesCache[message.Figi] = message.Time;
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TradingModes[message.Figi] = await CalcTradingMode(message);
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}
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}
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else
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catch (Exception ex)
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{
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timesCache[message.Figi] = message.Time;
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}
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}
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catch(Exception ex)
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var mode = (decimal)TradingModes[message.Figi];
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await LogPrice(message, "trading_mode", mode);
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//continue;
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#endregion
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if (message.Figi == "BBG004730N88")
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{
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if (message.Direction == 1)
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{
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Value = (decimal)message.Count
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});
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}
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if (message.Direction == 2)
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{
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Value = (decimal)message.Count
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});
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}
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var sberSells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minSellCacheKey);
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var sberBuys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minBuyCacheKey);
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var sells = sberSells.Sum(s => s.Value);
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var buys = sberBuys.Sum(s => s.Value);
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var su = sells + buys;
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if (su != 0)
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{
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await LogPrice(message, "sellsbuysbalance", (sells / su - 0.5m) * 2);
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}
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}
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if (_tradingInstrumentsFigis.Contains(message.Figi))
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{
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var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
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try
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{
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ProcessStops(message, currentTime);
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var windowMaxSize = 2000;
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await SellAssetsIfNeed(message);
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var data = await _tradeDataProvider.GetData(message.Figi, windowMaxSize);
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var state = ExchangeScheduler.GetCurrentState(message.Time);
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await ProcessClearing(data, state, message);
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if (TradingModes[message.Figi] == TradingMode.Stable)
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{
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await ProcessNewPriceIMOEXF_Stable(data, state, message, windowMaxSize);
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}
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else if (TradingModes[message.Figi] == TradingMode.SlowDropping)
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{
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 3);
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}
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else if (TradingModes[message.Figi] == TradingMode.Dropping)
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{
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 6);
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}
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else
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{
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await ProcessNewPriceIMOEXF2(data, state, message, windowMaxSize);
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}
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}
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catch (Exception ex)
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{
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_logger.LogError(ex, "Ошибка при боработке новой цены IMOEXF");
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}
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}
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}
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await LogPrice(message, "trading_mode", (int)TradingModes[message.Figi]);
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//continue;
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#endregion
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if (message.Figi == "BBG004730N88")
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catch(Exception e)
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{
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if (message.Direction == 1)
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{
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Value = (decimal)message.Count
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});
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}
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if (message.Direction == 2)
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{
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Value = (decimal)message.Count
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});
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}
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var sberSells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minSellCacheKey);
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var sberBuys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minBuyCacheKey);
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var sells = sberSells.Sum(s => s.Value);
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var buys = sberBuys.Sum(s => s.Value);
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var su = sells + buys;
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if (su != 0)
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{
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await LogPrice(message, "sellsbuysbalance", (sells / su - 0.5m) * 2);
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}
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}
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if (_tradingInstrumentsFigis.Contains(message.Figi))
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{
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var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
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try
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{
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ProcessStops(message, currentTime);
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var windowMaxSize = 2000;
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await SellAssetsIfNeed(message);
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var data = await _tradeDataProvider.GetData(message.Figi, windowMaxSize);
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var state = ExchangeScheduler.GetCurrentState(message.Time);
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await ProcessClearing(data, state, message);
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if (TradingModes[message.Figi] == TradingMode.Stable)
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{
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await ProcessNewPriceIMOEXF_Stable(data, state, message, windowMaxSize);
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}
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else if (TradingModes[message.Figi] == TradingMode.SlowDropping)
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{
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await ProcessNewPriceIMOEXF_Dropping(data,state,message,windowMaxSize,3);
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}
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else if (TradingModes[message.Figi] == TradingMode.Dropping)
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{
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 6);
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}
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else
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{
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await ProcessNewPriceIMOEXF2(data, state, message, windowMaxSize);
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}
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}
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catch (Exception ex)
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{
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_logger.LogError(ex, "Ошибка при боработке новой цены IMOEXF");
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}
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}
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}
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}
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@ -711,23 +719,26 @@ namespace KLHZ.Trader.Core.Exchange.Services
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await LogDeclision(DeclisionTradeAction.OpenLong, message);
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}
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foreach (var acc in _tradeDataProvider.Accounts)
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if (!message.IsHistoricalData)
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{
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if (acc.Value.Assets.TryGetValue(message.Figi, out var asset))
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foreach (var acc in _tradeDataProvider.Accounts)
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{
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var order = acc.Value.Orders.Values.FirstOrDefault(o => o.Figi == message.Figi && o.Direction == DealDirection.Sell);
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if (order == null && asset.Count>0)
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if (acc.Value.Assets.TryGetValue(message.Figi, out var asset))
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{
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var command = new TradeCommand()
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var order = acc.Value.Orders.Values.FirstOrDefault(o => o.Figi == message.Figi && o.Direction == DealDirection.Sell);
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if (order == null && asset.Count > 0)
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{
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AccountId = asset.AccountId,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitSell,
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Count = (long)asset.Count,
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RecomendPrice = asset.BoughtPrice + 3,
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EnableMargin = false,
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};
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await _dataBus.Broadcast(command);
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var command = new TradeCommand()
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{
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AccountId = asset.AccountId,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitSell,
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Count = (long)asset.Count,
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RecomendPrice = asset.BoughtPrice + 3,
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EnableMargin = false,
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};
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await _dataBus.Broadcast(command);
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}
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}
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}
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}
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@ -845,23 +856,27 @@ namespace KLHZ.Trader.Core.Exchange.Services
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await LogDeclision(DeclisionTradeAction.CloseShort, message);
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}
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}
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foreach (var acc in _tradeDataProvider.Accounts)
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if (!message.IsHistoricalData)
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{
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if (acc.Value.Assets.TryGetValue(message.Figi, out var asset))
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foreach (var acc in _tradeDataProvider.Accounts)
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{
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var order = acc.Value.Orders.Values.FirstOrDefault(o => o.Figi == message.Figi && o.Direction == DealDirection.Buy);
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if (order == null && asset.Count<0)
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if (acc.Value.Assets.TryGetValue(message.Figi, out var asset))
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{
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var command = new TradeCommand()
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var order = acc.Value.Orders.Values.FirstOrDefault(o => o.Figi == message.Figi && o.Direction == DealDirection.Buy);
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if (order == null && asset.Count < 0)
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{
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AccountId = asset.AccountId,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitBuy,
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Count = System.Math.Abs((long)asset.Count),
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RecomendPrice = asset.BoughtPrice - step,
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EnableMargin = false,
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};
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await _dataBus.Broadcast(command);
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var command = new TradeCommand()
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{
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AccountId = asset.AccountId,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitBuy,
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Count = System.Math.Abs((long)asset.Count),
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RecomendPrice = asset.BoughtPrice - step,
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EnableMargin = false,
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};
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await _dataBus.Broadcast(command);
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}
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}
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}
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}
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