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остановка торговли вообще
test / deploy_trader_prod (push) Successful in 59s Details

dev
vlad zverzhkhovskiy 2025-09-22 12:51:20 +03:00
parent 47e94a5620
commit bbc1b33d84
4 changed files with 70 additions and 56 deletions
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3
KLHZ.Trader.Core/Exchange/Constants.cs
View File

@ -3,8 +3,11 @@
internal static class Constants
{
internal const string _1minCacheKey = "1min";
internal const string _5minSellCacheKey = "5min_sell";
internal const string _5minBuyCacheKey = "5min_buy";
internal const string _1minSellCacheKey = "1min_sell";
internal const string _1minBuyCacheKey = "1min_buy";
internal const string BigWindowCrossingAverageProcessor = "Trader_big";
internal const string SmallWindowCrossingAverageProcessor = "Trader_small";
internal const string AreasRelationProcessor = "balancescalc30min";

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

@ -157,7 +157,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
};
await _tradeDataProvider.AddData(message, TimeSpan.FromHours(7));
await _eventBus.Broadcast(message);
//await _eventBus.Broadcast(message);
var exchangeState = ExchangeScheduler.GetCurrentState();
if (exchangeState == Models.Trading.ExchangeState.ClearingTime

119
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -35,6 +35,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly ConcurrentDictionary<string, TradingMode> TradingModes = new();
private readonly ConcurrentDictionary<string, DateTime> LongOpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> ShortOpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> LongClosingStops = new();
private readonly ConcurrentDictionary<string, DateTime> ShortClosingStops = new();
private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new();
@ -171,38 +172,19 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
try
{
if (timesCache.TryGetValue(message.Figi, out var dt))
{
if ((message.Time - dt).TotalSeconds > 10)
{
timesCache[message.Figi] = message.Time;
TradingModes[message.Figi] = await CalcTradingMode(message);
}
}
else
{
timesCache[message.Figi] = message.Time;
}
}
catch (Exception ex)
{
}
if (TradingModes.TryGetValue(message.Figi, out var mode))
{
await LogPrice(message, "trading_mode", (decimal)mode);
}
//continue;
#endregion
if (message.Figi == "BBG004730N88")
#region Подсчёт торгового баланса по сберу и IMOEXF
if (message.Figi == "BBG004730N88" || message.Figi == "FUTIMOEXF000")
{
if (message.Direction == 1)
{
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
});
await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
@ -210,35 +192,73 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
if (message.Direction == 2)
{
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
});
await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
});
}
var sberSells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minSellCacheKey);
var sberBuys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minBuyCacheKey);
var sells = sberSells.Sum(s => s.Value);
var buys = sberBuys.Sum(s => s.Value);
var su = sells + buys;
var sberSells5min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey);
var sberBuys5min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey);
var sberSells1min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._1minSellCacheKey);
var sberBuys1min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey);
var sells5min = sberSells5min.Sum(s => s.Value);
var buys5min = sberBuys5min.Sum(s => s.Value);
var sells1min = sberSells1min.Sum(s => s.Value);
var buys1min = sberBuys1min.Sum(s => s.Value);
var su = sells5min + buys5min;
if (su != 0)
{
await LogPrice(message, "sellsbuysbalance", (sells / su - 0.5m) * 2);
await LogPrice(message, "sellsbuysbalance", (sells5min / su - 0.5m) * 2);
await LogPrice(message, "trades_diff", (buys1min + sells1min) / (su));
}
}
}
#endregion
if (_tradingInstrumentsFigis.Contains(message.Figi))
{
var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
try
{
if (timesCache.TryGetValue(message.Figi, out var dt))
{
if ((message.Time - dt).TotalSeconds > 10)
{
timesCache[message.Figi] = message.Time;
TradingModes[message.Figi] = await CalcTradingMode(message);
}
}
else
{
timesCache[message.Figi] = message.Time;
}
}
catch (Exception ex)
{
}
if (TradingModes.TryGetValue(message.Figi, out var mode))
{
await LogPrice(message, "trading_mode", (decimal)mode);
}
try
{
ProcessStops(message, currentTime);
var windowMaxSize = 2000;
var data = await _tradeDataProvider.GetData(message.Figi, windowMaxSize);
var state = ExchangeScheduler.GetCurrentState(message.Time);
await ProcessClearing(data, state, message);
if (TradingModes[message.Figi] == TradingMode.Stable)
{
@ -641,22 +661,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
private async Task ProcessClearing((DateTime[] timestamps, decimal[] prices) data, ExchangeState state, INewPrice message)
{
if (state == ExchangeState.ClearingTime
&& !message.IsHistoricalData
&& data.timestamps.Length > 1
&& (data.timestamps[data.timestamps.Length - 1] - data.timestamps[data.timestamps.Length - 2]) > TimeSpan.FromMinutes(3))
{
var assets = _portfolioWrapper.Accounts.Values.SelectMany(a => a.Assets.Values).Where(a => a.Figi == message.Figi).ToArray();
foreach (var a in assets)
{
}
//await _tradeDataProvider.UpdateFuturesPrice(message, data.prices[data.prices.Length - 2]);
}
}
private void ProcessStops(INewPrice message, DateTime currentTime)
{
if (LongOpeningStops.TryGetValue(message.Figi, out var dt))
@ -680,6 +684,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
LongClosingStops.TryRemove(message.Figi, out _);
}
}
if (ShortOpeningStops.TryGetValue(message.Figi, out var dt4))
{
if (dt4 < currentTime)
{
ShortOpeningStops.TryRemove(message.Figi, out _);
}
}
}
private async Task LogPrice(INewPrice message, string processor, decimal value)

2
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -34,7 +34,7 @@ namespace KLHZ.Trader.Service.Controllers
//var figi1 = "BBG004730N88";
var figi2 = "BBG004730N88";
//var figi2 = "FUTIMOEXF000";
var time1 = startDate ?? DateTime.UtcNow.AddDays(-17);
var time1 = startDate ?? DateTime.UtcNow.AddDays(-7);
//var time1 = new DateTime(2025, 9, 4, 14, 0, 0, DateTimeKind.Utc);
//var time2 = DateTime.UtcNow.AddMinutes(18);
using var context1 = await _dbContextFactory.CreateDbContextAsync();