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vlad zverzhkhovskiy 2025-10-07 13:16:10 +03:00
parent 64c702ebf1
commit 9554b988e3
2 changed files with 69 additions and 70 deletions
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86
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -4,9 +4,7 @@ using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Enums; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.Contracts.Messaging.Interfaces; using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums; using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums;
using KLHZ.Trader.Core.DataLayer.Entities.Prices;
using KLHZ.Trader.Core.Exchange.Interfaces; using KLHZ.Trader.Core.Exchange.Interfaces;
using KLHZ.Trader.Core.Exchange.Models.Configs; using KLHZ.Trader.Core.Exchange.Models.Configs;
using KLHZ.Trader.Core.Exchange.Models.Trading; using KLHZ.Trader.Core.Exchange.Models.Trading;
@ -212,8 +210,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (trades2.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Count, false, out var tradesDiff) if (trades2.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Count, false, out var tradesDiff)
&& buys.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Price, true, out var pricesDiff)) && buys.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Price, true, out var pricesDiff))
{ {
await LogPrice(message, "privcesDiff", pricesDiff); await _tradeDataProvider.LogPrice(message, "privcesDiff", pricesDiff);
await LogPrice(message, "tradevolume_diff", tradesDiff); await _tradeDataProvider.LogPrice(message, "tradevolume_diff", tradesDiff);
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, "5min_diff", new Contracts.Declisions.Dtos.CachedValue() await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, "5min_diff", new Contracts.Declisions.Dtos.CachedValue()
{ {
Time = message.Time, Time = message.Time,
@ -225,12 +223,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value, true, out var resdp) if (diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value, true, out var resdp)
&& diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value2, true, out var resv)) && diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value2, true, out var resv))
{ {
await LogPrice(message, "privcesDiffDiff", (decimal)resdp); await _tradeDataProvider.LogPrice(message, "privcesDiffDiff", (decimal)resdp);
await LogPrice(message, "tradevolume_diff_diff", (decimal)resv); await _tradeDataProvider.LogPrice(message, "tradevolume_diff_diff", (decimal)resv);
if (diffs.TryCalcPirsonCorrelation(meanWindow, out var pirson)) if (diffs.TryCalcPirsonCorrelation(meanWindow, out var pirson))
{ {
await LogPrice(message, "diffs_pirson", (decimal)pirson); await _tradeDataProvider.LogPrice(message, "diffs_pirson", (decimal)pirson);
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, "diffs_pirson", new Contracts.Declisions.Dtos.CachedValue() await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, "diffs_pirson", new Contracts.Declisions.Dtos.CachedValue()
{ {
Time = message.Time, Time = message.Time,
@ -243,7 +241,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
{ {
if (olddpirs < 0.5m && res > 0.5m) if (olddpirs < 0.5m && res > 0.5m)
{ {
await LogPrice(message, "diffs_pirson_diff_point0.5", message.Price); await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point0.5", message.Price);
} }
} }
DPirsonValues[message.Figi] = res; DPirsonValues[message.Figi] = res;
@ -306,7 +304,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (loggedDeclisions == 0) if (loggedDeclisions == 0)
{ {
loggedDeclisions++; loggedDeclisions++;
await LogDeclision(asset.Count < 0 ? DeclisionTradeAction.CloseShortReal : DeclisionTradeAction.CloseLongReal, message, profit); await _tradeDataProvider.LogDeclision(asset.Count < 0 ? DeclisionTradeAction.CloseShortReal : DeclisionTradeAction.CloseLongReal, message, profit);
} }
} }
} }
@ -344,7 +342,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (loggedDeclisions == 0) if (loggedDeclisions == 0)
{ {
await LogDeclision(DeclisionTradeAction.OpenLongReal, message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLongReal, message);
loggedDeclisions++; loggedDeclisions++;
} }
} }
@ -367,9 +365,9 @@ namespace KLHZ.Trader.Core.Exchange.Services
.ToArray(); .ToArray();
await OpenPositions(accounts, message, PositionType.Long, stops.stopLoss, stops.takeProfit, 1); await OpenPositions(accounts, message, PositionType.Long, stops.stopLoss, stops.takeProfit, 1);
} }
await LogDeclision(DeclisionTradeAction.OpenLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
await LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price + stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price + stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
await LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price - stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price - stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
} }
if (result[TradingEvent.DowntrendStart] >= Constants.UppingCoefficient if (result[TradingEvent.DowntrendStart] >= Constants.UppingCoefficient
&& state == ExchangeState.Open && state == ExchangeState.Open
@ -386,9 +384,9 @@ namespace KLHZ.Trader.Core.Exchange.Services
await OpenPositions(accounts, message, PositionType.Short, stops.stopLoss, stops.takeProfit, 1); await OpenPositions(accounts, message, PositionType.Short, stops.stopLoss, stops.takeProfit, 1);
} }
await LogDeclision(DeclisionTradeAction.OpenShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
await LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price - stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price - stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
await LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price + stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price + stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
} }
if (result[TradingEvent.UptrendEnd] >= Constants.UppingCoefficient * 10) if (result[TradingEvent.UptrendEnd] >= Constants.UppingCoefficient * 10)
{ {
@ -400,7 +398,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
.ToArray(); .ToArray();
await ClosePositions(assetsForClose, message); await ClosePositions(assetsForClose, message);
} }
await LogDeclision(DeclisionTradeAction.CloseLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
} }
@ -414,63 +412,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
.ToArray(); .ToArray();
await ClosePositions(assetsForClose, message); await ClosePositions(assetsForClose, message);
} }
await LogDeclision(DeclisionTradeAction.CloseShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message); await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
} }
} }
private async Task LogPrice(INewPrice message, string processor, decimal value)
{
await _tradeDataProvider.LogPrice(new ProcessedPrice()
{
Figi = message.Figi,
Ticker = message.Ticker,
Processor = processor,
Time = message.Time,
Price = value,
}, false);
}
private async Task LogPrice(string figi, string ticker, DateTime time, decimal value, string processor)
{
await _tradeDataProvider.LogPrice(new ProcessedPrice()
{
Figi = figi,
Ticker = ticker,
Processor = processor,
Time = time,
Price = value,
}, false);
}
private async Task LogDeclision(DeclisionTradeAction action, INewPrice message, decimal? profit = null)
{
await _tradeDataProvider.LogDeclision(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Value = profit,
Price = message.Price,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = action,
}, false);
}
private async Task LogDeclision(DeclisionTradeAction action, decimal price, DateTime time, INewPrice message)
{
await _tradeDataProvider.LogDeclision(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Value = price,
Price = price,
Time = time,
Action = action,
}, false);
}
public Task StopAsync(CancellationToken cancellationToken) public Task StopAsync(CancellationToken cancellationToken)
{ {
return Task.CompletedTask; return Task.CompletedTask;

53
KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs
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@ -5,6 +5,7 @@ using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces; using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.DataLayer; using KLHZ.Trader.Core.DataLayer;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions; using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums;
using KLHZ.Trader.Core.DataLayer.Entities.Prices; using KLHZ.Trader.Core.DataLayer.Entities.Prices;
using KLHZ.Trader.Core.Exchange.Models.Configs; using KLHZ.Trader.Core.Exchange.Models.Configs;
using KLHZ.Trader.Core.Math.Declisions.Dtos.FFT; using KLHZ.Trader.Core.Math.Declisions.Dtos.FFT;
@ -297,6 +298,58 @@ namespace KLHZ.Trader.Core.Exchange.Services
await _forSave.Writer.WriteAsync(declision); await _forSave.Writer.WriteAsync(declision);
} }
} }
internal async Task LogPrice(INewPrice message, string processor, decimal value)
{
await LogPrice(new ProcessedPrice()
{
Figi = message.Figi,
Ticker = message.Ticker,
Processor = processor,
Time = message.Time,
Price = value,
}, false);
}
internal async Task LogPrice(string figi, string ticker, DateTime time, decimal value, string processor)
{
await LogPrice(new ProcessedPrice()
{
Figi = figi,
Ticker = ticker,
Processor = processor,
Time = time,
Price = value,
}, false);
}
internal async Task LogDeclision(DeclisionTradeAction action, INewPrice message, decimal? profit = null)
{
await LogDeclision(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Value = profit,
Price = message.Price,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = action,
}, false);
}
internal async Task LogDeclision(DeclisionTradeAction action, decimal price, DateTime time, INewPrice message)
{
await LogDeclision(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Value = price,
Price = price,
Time = time,
Action = action,
}, false);
}
private async Task WritePricesTask() private async Task WritePricesTask()
{ {
var buffer1 = new List<ProcessedPrice>(); var buffer1 = new List<ProcessedPrice>();