Доработка модуля решений

KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs

@@ -18,78 +18,86 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return (startTime, sum / count);
         }
 
-        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, decimal[] prices, int size, int smallWindow, int bigWindow, decimal meanfullStep = 3m)
+        public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean(DateTime[] timestamps, decimal[] prices, int size, int smallWindow, int bigWindow, decimal meanfullStep = 3m)
         {
             var res = TradingEvent.None;
-            if (timestamps.Length < size)
+            var bigWindowAv = 0m;
+            var smallWindowAv = 0m;
+
+            try
             {
-                return res;
+                var pricesForFinalComparison = new decimal[size];
-            }
+                var twavss = new decimal[size];
-            var pricesForFinalComparison = new decimal[size];
+                var twavbs = new decimal[size];
-            var twavss = new decimal[size];
+                var times = new DateTime[size];
-            var twavbs = new decimal[size];
-            var times = new DateTime[size];
 
-
+                for (int shift = 0; shift < size; shift++)
-            for (int shift = 0; shift < size; shift++)
-            {
-                var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
-                var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
-                pricesForFinalComparison[size - 1 - shift] = prices[prices.Length - 1 - shift];
-                twavss[size - 1 - shift] = twavs.value;
-                twavbs[size - 1 - shift] = twavb.value;
-                times[size - 1 - shift] = twavb.time;
-                if (System.Math.Abs(twavb.value - prices[prices.Length - 1]) > 2 * meanfullStep)
                 {
-                    res |= TradingEvent.StopBuy;
+                    var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
-                    return res;
+                    var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
-                }
+                    pricesForFinalComparison[size - 1 - shift] = prices[prices.Length - 1 - shift];
-                if (shift > 0)
+                    if (shift == 0)
-                {
-                    var i1 = size - 1 - shift;
-                    var i2 = size - shift;
-                    var isCrossing = Lines.IsLinesCrossing(
-                        times[i1],
-                        times[i2],
-                        twavss[i1],
-                        twavss[i2],
-                        twavbs[i1],
-                        twavbs[i2]);
-
-                    if (shift == 1 && !isCrossing) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
-                                                   //текущей и предыдущей точкой - можно не продолжать выполнение.
                     {
-                        break;
+                        bigWindowAv = twavb.value;
+                        smallWindowAv = twavs.value;
                     }
-                    if (shift > 1 && isCrossing)
+                    twavss[size - 1 - shift] = twavs.value;
+                    twavbs[size - 1 - shift] = twavb.value;
+                    times[size - 1 - shift] = twavb.time;
+                    if (System.Math.Abs(twavb.value - prices[prices.Length - 1]) > 2 * meanfullStep)
                     {
-                        // если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
+                        res |= TradingEvent.StopBuy;
-                        if (twavbs[size - 1] <= twavss[size - 1] && twavbs[size - 2] > twavss[size - 2])
+                        return (res, bigWindowAv, smallWindowAv);
-                        {
+                    }
-                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] >= meanfullStep)
+                    if (shift > 0)
-                            {
+                    {
-                                res |= TradingEvent.LongOpen;
+                        var i1 = size - 1 - shift;
-                                res |= TradingEvent.ShortClose;
+                        var i2 = size - shift;
-                                break;
+                        var isCrossing = Lines.IsLinesCrossing(
-                            }
+                            times[i1],
-                        }
+                            times[i2],
+                            twavss[i1],
+                            twavss[i2],
+                            twavbs[i1],
+                            twavbs[i2]);
 
-                        // если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
+                        if (shift == 1 && !isCrossing) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
-                        if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
+                                                       //текущей и предыдущей точкой - можно не продолжать выполнение.
                         {
-                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] <= -meanfullStep)
+                            break;
+                        }
+                        if (shift > 1 && isCrossing)
+                        {
+                            // если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
+                            if (twavbs[size - 1] <= twavss[size - 1] && twavbs[size - 2] > twavss[size - 2])
                             {
-                                res |= TradingEvent.LongClose;
+                                if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] >= meanfullStep)
-                                res |= TradingEvent.ShortOpen;
+                                {
-                                break;
+                                    res |= TradingEvent.LongOpen;
+                                    res |= TradingEvent.ShortClose;
+                                    break;
+                                }
+                            }
+
+                            // если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
+                            if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
+                            {
+                                if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] <= -meanfullStep)
+                                {
+                                    res |= TradingEvent.LongClose;
+                                    res |= TradingEvent.ShortOpen;
+                                    break;
+                                }
                             }
                         }
                     }
                 }
             }
+            catch (Exception ex)
+            {
 
-            return res;
+            }
+            return (res, bigWindowAv, smallWindowAv);
         }
-
     }
 }

KLHZ.Trader.Core/DataLayer/Entities/Declisions/Declision.cs

@@ -23,6 +23,10 @@ namespace KLHZ.Trader.Core.DataLayer.Entities.Declisions
 
         [Column("price")]
         public decimal Price { get; set; }
+
+        [Column("value")]
+        public decimal? Value { get; set; }
+
         [Column("action")]
         public DeclisionTradeAction Action { get; set; }
     }

KLHZ.Trader.Core/Exchange/Services/Trader.cs

@@ -7,6 +7,7 @@ using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
 using KLHZ.Trader.Core.DataLayer;
 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.Exchange.Extentions;
 using KLHZ.Trader.Core.Exchange.Models;
 using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
@@ -115,6 +116,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         private async Task ProcessPrices()
         {
+            var declisionsForSave = new List<Declision>();
+            var processedPrices = new List<ProcessedPrice>();
             while (await _pricesChannel.Reader.WaitToReadAsync())
             {
                 var message = await _pricesChannel.Reader.ReadAsync();
@@ -132,7 +135,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                     try
                     {
                         var data = await unit.GetData();
-                        var declisionsForSave = new List<Declision>();
+
                         if (message.Figi == "FUTIMOEXF000")
                         {
                             if (unit.Length < 100)
@@ -140,9 +143,58 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 continue;
                             }
 
+                            if (BuyStops.TryGetValue(message.Figi, out var dt))
+                            {
+                                if (dt > (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
+                                {
+                                    continue;
+                                }
+                                else
+                                {
+                                    BuyStops.TryRemove(message.Figi, out _);
+                                }
+                            }
+
+                            if ((unit.BidsCount / unit.AsksCount) < 0.5m || (unit.BidsCount / unit.AsksCount) > 2m)
+                            {
+                                var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(3);
+                                BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
+                                declisionsForSave.Add(new Declision()
+                                {
+                                    AccountId = string.Empty,
+                                    Figi = message.Figi,
+                                    Ticker = message.Ticker,
+                                    Price = message.Value,
+                                    Value = 3,
+                                    Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
+                                    Action = DeclisionTradeAction.StopBuy,
+                                });
+                            }
 
                             var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 15, 120);
-                            if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
+                            if (result.bigWindowAv != 0)
+                            {
+                                var priceb = new ProcessedPrice()
+                                {
+                                    Figi = message.Figi,
+                                    Ticker = message.Ticker,
+                                    Processor = nameof(Trader) + "_big",
+                                    Time = message.Time,
+                                    Value = result.bigWindowAv,
+                                };
+
+                                var prices = new ProcessedPrice()
+                                {
+                                    Figi = message.Figi,
+                                    Ticker = message.Ticker,
+                                    Processor = nameof(Trader) + "_small",
+                                    Time = message.Time,
+                                    Value = result.smallWindowAv,
+                                };
+                                processedPrices.Add(priceb);
+                                processedPrices.Add(prices);
+                            }
+                            if ((result.events & TradingEvent.StopBuy) == TradingEvent.StopBuy)
                             {
                                 var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength);
                                 BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
@@ -152,26 +204,15 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                     Figi = message.Figi,
                                     Ticker = message.Ticker,
                                     Price = message.Value,
+                                    Value = (decimal)_buyStopLength,
                                     Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
                                     Action = DeclisionTradeAction.StopBuy,
                                 });
                             }
 
-                            if ((result & TradingEvent.LongOpen) == TradingEvent.LongOpen
+                            if ((result.events & TradingEvent.LongOpen) == TradingEvent.LongOpen
                                 && ((unit.BidsCount / unit.AsksCount) > 0.5m))
                             {
-                                if (BuyStops.TryGetValue(message.Figi, out var dt))
-                                {
-                                    if (dt > (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
-                                    {
-                                        continue;
-                                    }
-                                    else
-                                    {
-                                        BuyStops.TryRemove(message.Figi, out _);
-                                    }
-                                }
-
                                 declisionsForSave.Add(new Declision()
                                 {
                                     AccountId = string.Empty,
@@ -183,7 +224,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 });
                             }
 
-                            if ((result & TradingEvent.LongClose) == TradingEvent.LongClose)
+                            if ((result.events & TradingEvent.LongClose) == TradingEvent.LongClose)
                             {
                                 declisionsForSave.Add(new Declision()
                                 {
@@ -196,7 +237,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 });
                             }
 
-                            if ((result & TradingEvent.ShortOpen) == TradingEvent.ShortOpen && (unit.BidsCount / unit.AsksCount < 2))
+                            if ((result.events & TradingEvent.ShortOpen) == TradingEvent.ShortOpen && (unit.BidsCount / unit.AsksCount < 2))
                             {
                                 declisionsForSave.Add(new Declision()
                                 {
@@ -209,7 +250,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 });
                             }
 
-                            if ((result & TradingEvent.ShortClose) == TradingEvent.ShortClose)
+                            if ((result.events & TradingEvent.ShortClose) == TradingEvent.ShortClose)
                             {
                                 declisionsForSave.Add(new Declision()
                                 {
@@ -222,14 +263,23 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 });
                             }
 
-                            if (declisionsForSave.Count > 0)
+                            if ((!message.IsHistoricalData && (processedPrices.Count > 0 || declisionsForSave.Count > 0))
+                                || (message.IsHistoricalData && ((processedPrices.Count + declisionsForSave.Count > 10000) || _pricesChannel.Reader.Count == 0)))
                             {
                                 using var context = await _dbContextFactory.CreateDbContextAsync();
                                 context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
 
-                                await context.AddRangeAsync(declisionsForSave);
+                                if (processedPrices.Count > 0)
+                                {
+                                    await context.ProcessedPrices.AddRangeAsync(processedPrices);
+                                    processedPrices.Clear();
+                                }
+                                if (declisionsForSave.Count > 0)
+                                {
+                                    await context.Declisions.AddRangeAsync(declisionsForSave);
+                                    declisionsForSave.Clear();
+                                }
                                 await context.SaveChangesAsync();
-                                declisionsForSave.Clear();
                             }
                         }
                     }
@@ -238,6 +288,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
                     }
                 }
+
+                if (_pricesChannel.Reader.Count == 0)
+                {
+
+                }
             }
         }
 

KLHZ.Trader.Infrastructure/postgres/migration4.sql

@@ -0,0 +1 @@
+alter table declisions add column value decimal default null;

KLHZ.Trader.Service/appsettings.json

@@ -12,7 +12,7 @@
     "ExchangeDataRecievingEnabled": true,
     "Token": "",
     "ManagingAccountNamePatterns": [ "автотрейд 1" ],
-    "DataRecievingInstrumentsFigis": [ "BBG004730N88", "FUTIMOEXF000", "FUTGMKN09250", "FUTBR1025000" ],
+    "DataRecievingInstrumentsFigis": [ "BBG004730N88", "FUTIMOEXF000", "FUTGMKN09250", "FUTBR1025000", "FUTNG0925000" ],
     "TradingInstrumentsFigis": [ "FUTIMOEXF000" ],
     "FutureComission": 0.0025,
     "ShareComission": 0.0004,