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test / deploy_trader_prod (push) Successful in 49s Details

main
vlad zverzhkhovskiy 2025-09-03 14:32:40 +03:00
parent d045f9b082
commit d15281f67e
5 changed files with 145 additions and 77 deletions
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24
KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs
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@ -18,31 +18,36 @@ 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 twavbs = new decimal[size];
var times = new DateTime[size];
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];
if (shift == 0)
{
bigWindowAv = twavb.value;
smallWindowAv = twavs.value;
}
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;
return res;
return (res, bigWindowAv, smallWindowAv);
}
if (shift > 0)
{
@ -87,9 +92,12 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
}
}
return res;
}
catch (Exception ex)
{
}
return (res, bigWindowAv, smallWindowAv);
}
}
}

4
KLHZ.Trader.Core/DataLayer/Entities/Declisions/Declision.cs
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@ -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; }
}

109
KLHZ.Trader.Core/Exchange/Services/Trader.cs
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@ -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)
@ -140,26 +143,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
continue;
}
var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 15, 120);
if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
{
var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength);
BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.StopBuy,
});
}
if ((result & 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))
@ -172,6 +155,64 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
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.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);
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Value = (decimal)_buyStopLength,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.StopBuy,
});
}
if ((result.events & TradingEvent.LongOpen) == TradingEvent.LongOpen
&& ((unit.BidsCount / unit.AsksCount) > 0.5m))
{
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()
{
@ -222,15 +263,24 @@ 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);
await context.SaveChangesAsync();
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();
}
}
}
catch (Exception ex)
@ -238,6 +288,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
if (_pricesChannel.Reader.Count == 0)
{
}
}
}

1
KLHZ.Trader.Infrastructure/postgres/migration4.sql Normal file
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@ -0,0 +1 @@
alter table declisions add column value decimal default null;

2
KLHZ.Trader.Service/appsettings.json
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@ -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,