фикс режима торговли
test / deploy_trader_prod (push) Successful in 5m4s
Details
test / deploy_trader_prod (push) Successful in 5m4s
Details
parent
43ba83aa90
commit
c3c6b52b7b
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@ -125,5 +125,85 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
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}
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}
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return (res, bigWindowAv, smallWindowAv);
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return (res, bigWindowAv, smallWindowAv);
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}
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}
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public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean2(DateTime[] timestamps,
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decimal[] prices, int size, int smallWindow, int bigWindow, TimeSpan timeForUptreandStart,
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decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
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{
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var res = TradingEvent.None;
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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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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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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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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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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 == 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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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 == 2)
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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 (pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]] >= 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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// 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]] <= uptrendStartingDetectionMeanfullStep
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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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}
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}
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}
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}
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}
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return (res, bigWindowAv, smallWindowAv);
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}
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}
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}
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}
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}
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@ -42,7 +42,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
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private readonly decimal _accountCashPart;
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private readonly decimal _accountCashPart;
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private readonly decimal _accountCashPartFutures;
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private readonly decimal _accountCashPartFutures;
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private readonly string[] _tradingInstrumentsFigis = [];
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private readonly string[] _tradingInstrumentsFigis = [];
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private readonly bool _isDebug = false;
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private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
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private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
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private readonly Channel<IOrderbook> _ordersbookChannel = Channel.CreateUnbounded<IOrderbook>();
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private readonly Channel<IOrderbook> _ordersbookChannel = Channel.CreateUnbounded<IOrderbook>();
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@ -61,7 +60,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
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_accountCashPart = options.Value.AccountCashPart;
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_accountCashPart = options.Value.AccountCashPart;
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_accountCashPartFutures = options.Value.AccountCashPartFutures;
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_accountCashPartFutures = options.Value.AccountCashPartFutures;
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_tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
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_tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
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_isDebug = !options.Value.ExchangeDataRecievingEnabled;
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foreach (var f in _tradingInstrumentsFigis)
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foreach (var f in _tradingInstrumentsFigis)
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{
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{
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TradingModes[f] = TradingMode.None;
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TradingModes[f] = TradingMode.None;
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@ -80,10 +78,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
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_dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
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_dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
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_ = ProcessPrices();
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_ = ProcessPrices();
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_ = ProcessOrders();
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_ = ProcessOrders();
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if (!_isDebug)
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{
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_ = TradingModeUpdatingWorker();
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}
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}
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}
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public async ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(INewPrice message)
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public async ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(INewPrice message)
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@ -171,12 +165,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
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};
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};
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list.Clear();
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list.Clear();
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}
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}
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}
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try
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try
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{
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{
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if (timesCache.TryGetValue(message.Figi, out var dt))
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if (timesCache.TryGetValue(message.Figi, out var dt))
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{
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{
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if ((message.Time - dt).TotalSeconds > 120)
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if ((message.Time - dt).TotalSeconds > 10)
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{
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{
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timesCache[message.Figi] = message.Time;
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timesCache[message.Figi] = message.Time;
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@ -192,7 +187,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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{
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}
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}
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}
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if (TradingModes.TryGetValue(message.Figi, out var mode))
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if (TradingModes.TryGetValue(message.Figi, out var mode))
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{
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{
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await LogPrice(message, "trading_mode", (decimal)mode);
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await LogPrice(message, "trading_mode", (decimal)mode);
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@ -249,12 +243,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
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}
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}
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else if (TradingModes[message.Figi] == TradingMode.SlowDropping)
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else if (TradingModes[message.Figi] == TradingMode.SlowDropping)
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{
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{
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 3);
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 2);
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}
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}
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else if (TradingModes[message.Figi] == TradingMode.Dropping)
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else if (TradingModes[message.Figi] == TradingMode.Dropping)
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{
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{
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 6);
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await ProcessNewPriceIMOEXF_Dropping(data, state, message, windowMaxSize, 6);
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}
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}
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else if (TradingModes[message.Figi] == TradingMode.Growing)
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{
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await ProcessNewPriceIMOEXF_Growing(data, state, message, windowMaxSize);
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}
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else
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else
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{
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{
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await ProcessNewPriceIMOEXF2(data, state, message, windowMaxSize);
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await ProcessNewPriceIMOEXF2(data, state, message, windowMaxSize);
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@ -366,6 +364,19 @@ namespace KLHZ.Trader.Core.Exchange.Services
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return resultMoveAvFull.events;
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return resultMoveAvFull.events;
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}
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}
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private async Task<TradingEvent> CheckByWindowAverageMean2((DateTime[] timestamps, decimal[] prices) data, int smallWindow, int bigWindow,
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INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
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{
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var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean2(data.timestamps, data.prices,
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windowMaxSize, smallWindow, bigWindow, TimeSpan.FromSeconds(20), uptrendStartingDetectionMeanfullStep, uptrendEndingDetectionMeanfullStep);
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if (resultMoveAvFull.bigWindowAv != 0)
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{
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await LogPrice(message, Constants.BigWindowCrossingAverageProcessor, resultMoveAvFull.bigWindowAv);
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await LogPrice(message, Constants.SmallWindowCrossingAverageProcessor, resultMoveAvFull.smallWindowAv);
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}
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return resultMoveAvFull.events;
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}
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private Task<TradingEvent> CheckByWindowAverageMeanNolog((DateTime[] timestamps, decimal[] prices) data,
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private Task<TradingEvent> CheckByWindowAverageMeanNolog((DateTime[] timestamps, decimal[] prices) data,
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INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
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INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
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{
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{
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@ -471,10 +482,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
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&& !LongOpeningStops.ContainsKey(message.Figi)
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&& !LongOpeningStops.ContainsKey(message.Figi)
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&& trendTask.Result.HasValue
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&& trendTask.Result.HasValue
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&& trendTask.Result.Value > -5
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&& state == ExchangeState.Open
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&& state == ExchangeState.Open
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&& areasTask.Result.HasValue
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&& areasTask.Result.HasValue
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&& (areasTask.Result.Value >= 20 && areasTask.Result.Value < 75)
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&& (positionTask.Result == ValueAmplitudePosition.LowerThenMediana)
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&& (positionTask.Result == ValueAmplitudePosition.LowerThenMediana)
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)
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)
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{
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{
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@ -633,15 +642,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
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return;
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return;
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}
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}
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var mavTask = CheckByWindowAverageMean(data, message, windowMaxSize, -1, 1m);
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var mavTask = CheckByWindowAverageMean2(data, 30, 180, message, windowMaxSize, 0, 0);
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var ltTask = CheckByLocalTrends(data, message, windowMaxSize);
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var positionTask = CheckPosition(message);
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await Task.WhenAll(mavTask, ltTask, positionTask);
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await Task.WhenAll(mavTask);
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var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
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var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
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var res = mavTask.Result | ltTask.Result;
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var res = mavTask.Result;
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart && (positionTask.Result == ValueAmplitudePosition.None || positionTask.Result == ValueAmplitudePosition.LowerThenMediana))
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart)
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{
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{
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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{
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{
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@ -653,7 +660,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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{
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{
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if (IsBuyAllowed(acc.Value, message.Value, 1, _accountCashPartFutures, _accountCashPart))
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if (IsBuyAllowed(acc.Value, message.Value, 1, _accountCashPartFutures, _accountCashPart))
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{
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{
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if (RandomNumberGenerator.GetInt32(100) > 50 && await acc.Value.Lock(TimeSpan.FromSeconds(12)))
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if (await acc.Value.Lock(TimeSpan.FromSeconds(30)))
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{
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{
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var command = new TradeCommand()
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var command = new TradeCommand()
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{
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{
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@ -697,7 +704,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
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Figi = message.Figi,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitSell,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitSell,
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Count = (long)asset.Count,
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Count = (long)asset.Count,
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RecomendPrice = asset.BoughtPrice + 3,
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RecomendPrice = asset.BoughtPrice + 1.5m,
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EnableMargin = false,
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EnableMargin = false,
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};
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};
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await _dataBus.Broadcast(command);
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await _dataBus.Broadcast(command);
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@ -707,6 +714,117 @@ namespace KLHZ.Trader.Core.Exchange.Services
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}
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}
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}
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}
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private async Task ProcessNewPriceIMOEXF_Growing(
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(DateTime[] timestamps, decimal[] prices) data,
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ExchangeState state,
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INewPrice message, int windowMaxSize)
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{
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if (data.timestamps.Length <= 4 || state != ExchangeState.Open)
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{
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return;
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}
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var mavTask = CheckByWindowAverageMean2(data, 30, 180, message, windowMaxSize, 0, 0);
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await Task.WhenAll(mavTask);
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var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
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var res = mavTask.Result;
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart)
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{
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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{
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var accounts = _tradeDataProvider.Accounts
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.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
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.ToArray();
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var loggedDeclisions = 0;
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foreach (var acc in accounts)
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{
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if (IsBuyAllowed(acc.Value, message.Value, 1, _accountCashPartFutures, _accountCashPart))
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{
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if (RandomNumberGenerator.GetInt32(100) > 50 && await acc.Value.Lock(TimeSpan.FromSeconds(12)))
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{
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var command = new TradeCommand()
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{
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AccountId = acc.Value.AccountId,
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Figi = message.Figi,
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CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.LimitBuy,
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Count = 1,
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RecomendPrice = message.Value - 0.5m,
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ExchangeObject = acc.Value,
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};
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await _dataBus.Broadcast(command);
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_logger.LogWarning("Выставлена заявка на покупку актива {figi}! id команды {commandId}. Направление сделки: {dir}; Количество активов: {count}; Разрешена ли маржиналка: {margin}",
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message.Figi, command.CommandId, command.CommandType, command.Count, command.EnableMargin);
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if (loggedDeclisions == 0)
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{
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await LogDeclision(DeclisionTradeAction.OpenLongReal, message);
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LongOpeningStops[message.Figi] = message.Time.AddMinutes(1);
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loggedDeclisions++;
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}
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}
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}
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}
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}
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await LogDeclision(DeclisionTradeAction.OpenLong, message);
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}
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if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
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{
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if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
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{
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var loggedDeclisions = 0;
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var assetsForClose = _tradeDataProvider.Accounts
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.SelectMany(a => a.Value.Assets.Values)
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.Where(a => a.Figi == message.Figi && a.Count > 0)
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.ToArray();
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foreach (var asset in assetsForClose)
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{
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if (await asset.Lock(TimeSpan.FromSeconds(60)))
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{
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var profit = 0m;
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if (assetType == AssetType.Common && asset.Count > 0)
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{
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profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
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GetComission(assetType), 1, false);
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}
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if (assetType == AssetType.Futures)
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{
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profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
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||||||
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GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
|
||||||
|
}
|
||||||
|
|
||||||
|
if (profit > 0)
|
||||||
|
{
|
||||||
|
LongClosingStops[message.Figi] = message.Time.AddSeconds(30);
|
||||||
|
var command = new TradeCommand()
|
||||||
|
{
|
||||||
|
AccountId = asset.AccountId,
|
||||||
|
Figi = message.Figi,
|
||||||
|
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
|
||||||
|
Count = (long)asset.Count,
|
||||||
|
RecomendPrice = null,
|
||||||
|
EnableMargin = false,
|
||||||
|
};
|
||||||
|
await _dataBus.Broadcast(command);
|
||||||
|
_logger.LogWarning("Продажа актива {figi}! id команды {commandId}. Направление сделки: {dir}; Количество активов: {count}; Разрешена ли маржиналка: {margin}",
|
||||||
|
message.Figi, command.CommandId, command.CommandType, command.Count, command.EnableMargin);
|
||||||
|
if (loggedDeclisions == 0)
|
||||||
|
{
|
||||||
|
loggedDeclisions++;
|
||||||
|
await LogDeclision(DeclisionTradeAction.CloseLongReal, message, profit);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
}
|
||||||
|
await LogDeclision(DeclisionTradeAction.CloseLong, message);
|
||||||
|
}
|
||||||
|
}
|
||||||
|
|
||||||
private async Task ProcessNewPriceIMOEXF_Dropping(
|
private async Task ProcessNewPriceIMOEXF_Dropping(
|
||||||
(DateTime[] timestamps, decimal[] prices) data,
|
(DateTime[] timestamps, decimal[] prices) data,
|
||||||
ExchangeState state,
|
ExchangeState state,
|
||||||
|
@ -717,13 +835,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
return;
|
return;
|
||||||
}
|
}
|
||||||
|
|
||||||
var mavTask = CheckByWindowAverageMean(data, message, windowMaxSize, -1, 1m);
|
var mavTask = CheckByWindowAverageMean2(data, 30, 180, message, windowMaxSize, 0, 0);
|
||||||
var ltTask = CheckByLocalTrends(data, message, windowMaxSize);
|
|
||||||
var positionTask = CheckPosition(message);
|
var positionTask = CheckPosition(message);
|
||||||
|
|
||||||
await Task.WhenAll(mavTask, ltTask, positionTask);
|
await Task.WhenAll(mavTask, positionTask);
|
||||||
var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
|
var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
|
||||||
var res = mavTask.Result | ltTask.Result;
|
var res = mavTask.Result;
|
||||||
|
|
||||||
if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd && (positionTask.Result != ValueAmplitudePosition.LowerThenMediana))
|
if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd && (positionTask.Result != ValueAmplitudePosition.LowerThenMediana))
|
||||||
{
|
{
|
||||||
|
@ -745,7 +862,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
Figi = message.Figi,
|
Figi = message.Figi,
|
||||||
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
|
CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
|
||||||
Count = 1,
|
Count = 1,
|
||||||
RecomendPrice = message.Value,
|
RecomendPrice = message.Value - 0.5m,
|
||||||
ExchangeObject = acc.Value,
|
ExchangeObject = acc.Value,
|
||||||
};
|
};
|
||||||
|
|
||||||
|
@ -977,24 +1094,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
return res;
|
return res;
|
||||||
}
|
}
|
||||||
|
|
||||||
private async Task TradingModeUpdatingWorker()
|
|
||||||
{
|
|
||||||
while (true)
|
|
||||||
{
|
|
||||||
try
|
|
||||||
{
|
|
||||||
foreach (var figi in _tradingInstrumentsFigis)
|
|
||||||
{
|
|
||||||
TradingModes[figi] = await CalcTradingMode(figi);
|
|
||||||
}
|
|
||||||
await Task.Delay(120000);
|
|
||||||
}
|
|
||||||
catch (Exception ex)
|
|
||||||
{
|
|
||||||
_logger.LogError(ex, "Ошибка при вычислении режима торговли.");
|
|
||||||
}
|
|
||||||
}
|
|
||||||
}
|
|
||||||
internal static bool IsBuyAllowed(ManagedAccount account, decimal boutPrice, decimal count,
|
internal static bool IsBuyAllowed(ManagedAccount account, decimal boutPrice, decimal count,
|
||||||
decimal accountCashPartFutures, decimal accountCashPart)
|
decimal accountCashPartFutures, decimal accountCashPart)
|
||||||
{
|
{
|
||||||
|
|
|
@ -98,6 +98,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
|
|
||||||
public async ValueTask AddData(INewPrice message, TimeSpan? clearingInterval = null)
|
public async ValueTask AddData(INewPrice message, TimeSpan? clearingInterval = null)
|
||||||
{
|
{
|
||||||
|
if (message.Direction != 1) return;
|
||||||
if (_historyCash.TryGetValue(message.Figi, out var unit))
|
if (_historyCash.TryGetValue(message.Figi, out var unit))
|
||||||
{
|
{
|
||||||
if (clearingInterval.HasValue)
|
if (clearingInterval.HasValue)
|
||||||
|
@ -215,7 +216,9 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
Ticker = c.Ticker,
|
Ticker = c.Ticker,
|
||||||
Time = c.Time,
|
Time = c.Time,
|
||||||
Value = c.Value,
|
Value = c.Value,
|
||||||
IsHistoricalData = true
|
IsHistoricalData = true,
|
||||||
|
Direction = c.Direction,
|
||||||
|
Count = c.Count,
|
||||||
})
|
})
|
||||||
.ToArrayAsync();
|
.ToArrayAsync();
|
||||||
|
|
||||||
|
|
|
@ -103,7 +103,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
|
||||||
Ticker = _tradeDataProvider.GetTickerByFigi(tradeCommand.Figi),
|
Ticker = _tradeDataProvider.GetTickerByFigi(tradeCommand.Figi),
|
||||||
Count = res.LotsRequested,
|
Count = res.LotsRequested,
|
||||||
Direction = (DealDirection)(int)dir,
|
Direction = (DealDirection)(int)dir,
|
||||||
ExpirationTime = DateTime.UtcNow.AddMinutes(2),
|
ExpirationTime = DateTime.UtcNow.AddMinutes(10),
|
||||||
OpenDate = DateTime.UtcNow,
|
OpenDate = DateTime.UtcNow,
|
||||||
Price = tradeCommand.RecomendPrice.Value,
|
Price = tradeCommand.RecomendPrice.Value,
|
||||||
};
|
};
|
||||||
|
|
Loading…
Reference in New Issue