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test / deploy_trader_prod (push) Successful in 6m41s
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test / deploy_trader_prod (push) Successful in 6m41s
Details
vlad zverzhkhovskiy
parent
7d2618dd54
commit
c2105ad019
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@ -26,107 +26,100 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
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var bigWindowAv = 0m;
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var smallWindowAv = 0m;
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var s = 0;
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try
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var pricesForFinalComparison = new decimal[size];
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var twavss = new decimal[size];
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var twavbs = new decimal[size];
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var times = new DateTime[size];
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var crossings = new List<int>();
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for (int shift = 0; shift < size - 1 && shift < prices.Length - 1; shift++)
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{
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var pricesForFinalComparison = new decimal[size];
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var twavss = new decimal[size];
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var twavbs = new decimal[size];
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var times = new DateTime[size];
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var crossings = new List<int>();
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for (int shift = 0; shift < size - 1 && shift < prices.Length - 1; shift++)
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s = shift;
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var i2 = size - 1 - shift;
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var i1 = size - 2 - shift;
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var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
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var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
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pricesForFinalComparison[i2] = prices[prices.Length - 1 - shift];
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if (shift == 0)
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{
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s = shift;
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var i2 = size - 1 - shift;
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var i1 = size - 2 - shift;
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bigWindowAv = twavb.value;
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smallWindowAv = twavs.value;
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}
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twavss[i2] = twavs.value;
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twavbs[i2] = twavb.value;
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times[i2] = twavb.time;
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var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
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var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
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pricesForFinalComparison[i2] = prices[prices.Length - 1 - shift];
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if (shift > 0)
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{
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var isCrossing = Lines.IsLinesCrossing(
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times[i1 + 1],
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times[i2 + 1],
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twavss[i1 + 1],
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twavss[i2 + 1],
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twavbs[i1 + 1],
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twavbs[i2 + 1]);
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if (shift == 0)
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if (shift == 1 && !isCrossing.res) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
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//текущей и предыдущей точкой - можно не продолжать выполнение.
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{
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bigWindowAv = twavb.value;
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smallWindowAv = twavs.value;
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break;
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}
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twavss[i2] = twavs.value;
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twavbs[i2] = twavb.value;
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times[i2] = twavb.time;
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if (shift > 0)
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if (isCrossing.res)
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{
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var isCrossing = Lines.IsLinesCrossing(
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times[i1 + 1],
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times[i2 + 1],
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twavss[i1 + 1],
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twavss[i2 + 1],
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twavbs[i1 + 1],
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twavbs[i2 + 1]);
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if (shift == 1 && !isCrossing.res) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
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//текущей и предыдущей точкой - можно не продолжать выполнение.
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crossings.Add(i2);
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if (crossings.Count == 4 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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break;
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}
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if (isCrossing.res)
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{
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crossings.Add(i2);
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if (crossings.Count == 4 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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crossings.Add(shift);
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}
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var diffTotal = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
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for (int crossingShift = 1; crossingShift < crossings.Count - 2; crossingShift++)
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{
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var diff = pricesForFinalComparison[crossings[crossingShift]] - pricesForFinalComparison[crossings[crossingShift + 1]];
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if (diff >= 0)
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{
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crossings.Add(shift);
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diffTotal += diff;
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}
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var diffTotal = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
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for (int crossingShift = 1; crossingShift < crossings.Count - 2; crossingShift++)
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else
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{
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var diff = pricesForFinalComparison[crossings[crossingShift]] - pricesForFinalComparison[crossings[crossingShift + 1]];
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if (diff >= 0)
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{
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diffTotal += diff;
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}
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else
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{
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break;
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}
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}
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// если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
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if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
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{
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if (diffTotal >= uptrendEndingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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res |= TradingEvent.UptrendEnd;
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}
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break;
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}
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}
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if (crossings.Count == 2 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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// если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
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if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
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{
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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if (diffTotal >= uptrendEndingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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crossings.Add(shift);
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res |= TradingEvent.UptrendEnd;
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}
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// если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
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if (twavss[size - 1] >= twavbs[size - 1] && twavss[size - 2] < twavbs[size - 2])
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break;
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}
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}
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if (crossings.Count == 2 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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crossings.Add(shift);
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}
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// если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
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if (twavss[size - 1] >= twavbs[size - 1] && twavss[size - 2] < twavbs[size - 2])
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{
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if (pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]] <= -downtrendStartingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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if (pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]] <= -downtrendStartingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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res |= TradingEvent.UptrendStart;
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}
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break;
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res |= TradingEvent.UptrendStart;
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}
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break;
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}
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}
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}
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}
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}
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catch (Exception ex)
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{
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}
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return (res, bigWindowAv, smallWindowAv);
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}
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@ -13,6 +13,7 @@ using Microsoft.Extensions.Logging;
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using Microsoft.Extensions.Options;
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using Tinkoff.InvestApi;
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using Tinkoff.InvestApi.V1;
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using static Google.Rpc.Context.AttributeContext.Types;
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namespace KLHZ.Trader.Core.Exchange.Services
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{
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@ -55,7 +56,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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try
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{
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//_ = SubscribeUpdates();
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_ = SubscribeMyTrades();
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if (_exchangeDataRecievingEnabled)
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{
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_ = SubscribePrices();
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@ -69,7 +70,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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}
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}
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private async Task SubscribeUpdates()
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private async Task SubscribeMyTrades()
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{
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var req = new TradesStreamRequest();
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foreach (var a in _tradeDataProvider.Accounts)
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@ -81,7 +82,18 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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if (response.OrderTrades != null)
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{
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foreach(var t in response.OrderTrades.Trades)
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{
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//await _tradeDataProvider.LogDeal(new Models.AssetsAccounting.DealResult()
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//{
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// AccountId = response.OrderTrades.AccountId,
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// Figi = response.OrderTrades.Figi,
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// Count = t.Quantity,
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// Price = t.Price,
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// Direction = Models.AssetsAccounting.DealDirection
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//})
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}
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}
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}
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}
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@ -210,7 +222,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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await _eventBus.Broadcast(message);
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}
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if (orderbookItemsBuffer.Count + pricesBuffer.Count + tradesBuffer.Count > 0 || (DateTime.UtcNow - lastWrite).TotalSeconds > 10)
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if (orderbookItemsBuffer.Count + pricesBuffer.Count + tradesBuffer.Count > 100 || (DateTime.UtcNow - lastWrite).TotalSeconds > 5)
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{
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try
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{
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@ -210,7 +210,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
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var loggedDeclisions = 0;
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if (BotModeSwitcher.CanSell())
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if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
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{
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var assetsForClose = _tradeDataProvider.Accounts
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.SelectMany(a => a.Value.Assets.Values)
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@ -283,7 +283,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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Processor = processor,
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Time = message.Time,
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Value = value,
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}, !message.IsHistoricalData);
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}, false);
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}
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private async Task LogDeclision(DeclisionTradeAction action, INewPrice message, decimal? profit = null)
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@ -297,7 +297,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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Price = message.Value,
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Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
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Action = action,
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}, !message.IsHistoricalData);
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}, false);
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}
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public Task StopAsync(CancellationToken cancellationToken)
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