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Merge branch 'fft_2'
test / deploy_trader_prod (push) Successful in 4m11s Details

dev
vlad zverzhkhovskiy 2025-09-29 16:23:49 +03:00
parent 329c56fc4d 8c8327c905
commit e11dfe8553
6 changed files with 123 additions and 25 deletions
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58
KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs
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@ -15,14 +15,10 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
return ValueAmplitudePosition.UpperThen30Decil;
}
else if (value < fftData.Mediana && System.Math.Sign(value2) >= 0)
else if (value < fftData.Mediana)
{
return ValueAmplitudePosition.LowerThenMedianaGrowing;
}
else if (value < fftData.Mediana && System.Math.Sign(value2) < 0)
{
return ValueAmplitudePosition.LowerThenMedianaFalling;
}
else
{
return ValueAmplitudePosition.Middle;
@ -65,6 +61,58 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
}
public static (DateTime[] timestamps, decimal[] values) TrimValues(DateTime[] timestamps, decimal[] values, TimeSpan period)
{
int i = 0;
var lastTime = timestamps[timestamps.Length - 1];
for (i=0;i< timestamps.Length; i++)
{
if ((lastTime - timestamps[timestamps.Length - i-1]) > period)
{
break;
}
}
var resDt = new DateTime[i];
var resVs = new decimal[i];
Array.Copy(timestamps, timestamps.Length - i, resDt, 0, i);
Array.Copy(values, values.Length - i, resVs, 0, i);
return (resDt, resVs);
}
public static FFTAnalyzeResult GetMainHarmonic(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod)
{
var startPeriod = timestamps[timestamps.Length - 1] - timestamps[0];
var results = new List<(float, Harmonic[], TimeSpan, Harmonic)>();
var max = 0f;
while (startPeriod> minPeriod)
{
var data = TrimValues(timestamps, values, startPeriod);
var harmonics = GetHarmonics(values, startPeriod, TimeSpan.FromSeconds(5), startPeriod);
var summMagn = harmonics.Sum(h => h.Magnitude);
(float, Harmonic[], TimeSpan, Harmonic)? res = null;
for (int i=2;i< harmonics.Length; i++)
{
var currentMagn = harmonics[i].Magnitude / summMagn/ harmonics.Length;
if (currentMagn> max)
{
res = (currentMagn, harmonics, startPeriod, harmonics[i]);
}
}
if (res != null)
{
results.Add(res.Value);
}
startPeriod = startPeriod - TimeSpan.FromSeconds(30);
}
var t = results.MaxBy(r => r.Item1);
return FFTAnalyzeResult.Empty;
}
public static FFTAnalyzeResult Analyze(DateTime[] timestamps, decimal[] values, string key, TimeSpan minPeriod, TimeSpan maxPeriod)
{
var harmonics = GetHarmonics(values, timestamps[timestamps.Length - 1] - timestamps[0], minPeriod, maxPeriod);

21
KLHZ.Trader.Core.Tests/FFTTests.cs
View File

@ -219,5 +219,26 @@ namespace KLHZ.Trader.Core.Tests
Assert.IsTrue(res.max > System.Math.PI / 2);
Assert.IsTrue(res.max < System.Math.PI / 2 * 1.1);
}
[Test]
public static void TrimValues_Test1()
{
var da = new List<decimal>();
var dates = new List<DateTime>();
var dt = DateTime.UtcNow;
var dt1 = dt;
var dt2 = dt.AddSeconds(3600);
var i = 0;
while (dt < dt2)
{
da.Add(i);
dates.Add(dt);
dt = dt.AddSeconds(1);
i++;
}
var res = FFT.TrimValues(dates.ToArray(), da.ToArray(), TimeSpan.FromSeconds(30));
var res2 = FFT.TrimValues(dates.ToArray(), da.ToArray(), TimeSpan.FromSeconds(4011));
}
}
}

2
KLHZ.Trader.Core/Exchange/Constants.cs
View File

@ -3,8 +3,10 @@
internal static class Constants
{
internal const string _1minCacheKey = "1min";
internal const string _15minSellCacheKey = "5min_sell";
internal const string _5minSellCacheKey = "5min_sell";
internal const string _5minBuyCacheKey = "5min_buy";
internal const string _15minBuyCacheKey = "5min_buy";
internal const string _1minSellCacheKey = "1min_sell";
internal const string _1minBuyCacheKey = "1min_buy";

46
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -95,15 +95,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
public async ValueTask<(DateTime[] timestamps, decimal[] prices, bool isFullIntervalExists)> GetData(INewPrice message, TimeSpan? windowSize = null)
{
var data2 = await _tradeDataProvider.GetData(message.Figi, windowSize??TimeSpan.FromHours(1.5));
if (!data2.isFullIntervalExists)
{
data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(1));
}
if (!data2.isFullIntervalExists)
{
data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(0.75));
}
var data2 = await _tradeDataProvider.GetData(message.Figi, windowSize??TimeSpan.FromHours(1));
//if (!data2.isFullIntervalExists)
//{
// data2 = await _tradeDataProvider.GetData(message.Figi, TimeSpan.FromHours(0.75));
//}
return data2;
}
@ -141,13 +137,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (data.isFullIntervalExists)
{
var interpolatedData = SignalProcessing.InterpolateData(data.timestamps, data.prices, TimeSpan.FromSeconds(5));
fftFull = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi+"_full", TimeSpan.FromSeconds(30), TimeSpan.FromHours(24));
fftFull = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi+"_full", TimeSpan.FromMinutes(2), TimeSpan.FromMinutes(30));
fft = FFT.ReAnalyze(fftFull, message.Figi, TimeSpan.FromMinutes(10), TimeSpan.FromMinutes(60));
//fft = FFT.ReAnalyze(fftFull, message.Figi, TimeSpan.FromMinutes(10), TimeSpan.FromMinutes(60));
//highFreq = FFT.ReAnalyze(fftFull, message.Figi + "_low_freq", TimeSpan.FromMinutes(20), TimeSpan.FromMinutes(60));
//lowFreq = FFT.ReAnalyze(fftFull, message.Figi + "_high_freq", TimeSpan.FromMinutes(3), TimeSpan.FromMinutes(20));
await _tradeDataProvider.SetFFtResult(fft);
//var tmp = FFT.GetMainHarmonic(interpolatedData.timestamps, interpolatedData.values, "mainHarm", TimeSpan.FromMinutes(20));
//await _tradeDataProvider.SetFFtResult(fft);
await _tradeDataProvider.SetFFtResult(fftFull);
//await _tradeDataProvider.SetFFtResult(lowFreq);
//await _tradeDataProvider.SetFFtResult(highFreq);
@ -166,7 +162,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
position = FFT.Check(fft, message.Time);
position = FFT.Check(fftFull, message.Time);
if (position == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen30Decil)
{
await LogPrice(message, "upper30percent", message.Value);
@ -176,6 +172,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
await LogPrice(message, "lower30percent", message.Value);
}
//var hposition = FFT.CheckExtremums(highFreq, message.Time);
//if (hposition == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen30Decil)
//{
@ -340,6 +338,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
Time = message.Time,
Value = (decimal)message.Count
});
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minBuyCacheKey, 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,
@ -353,6 +356,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
Time = message.Time,
Value = (decimal)message.Count
});
await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minSellCacheKey, 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,
@ -533,12 +541,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task<ImmutableDictionary<TradingEvent, decimal>> GetSpeedResultantMods(INewPrice message)
{
var res = GetInitDict(1);
var buys5min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey);
var sells5min = await _tradeDataProvider.GetDataFrom5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey);
var buys5min = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, Constants._15minBuyCacheKey);
var sells5min = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, Constants._15minSellCacheKey);
var buysSpeed5min = buys5min.Sum(p => p.Value) / 300;
var sellsSpeed5min = sells5min.Sum(p => p.Value) / 300;
var diff5min = buysSpeed5min - sellsSpeed5min;
await LogPrice(message, "speed_diff_5min", diff5min);
await LogPrice(message, "speed_diff_15min", diff5min);
if (diff5min < 0)
{
@ -699,7 +707,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
var windows = await GetWindowsSizes(message);
//var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, -2m, 2m,3);
var resTask1 = GetWindowAverageStartData(data, (int)windows.smallWindow, (int)windows.bigWindow, message, windowMaxSize, -0.5m, 0.5m);
var resTask1 = GetWindowAverageStartData(data, (int)windows.smallWindow, (int)windows.bigWindow, message, windowMaxSize, -1m, 1m);
////var resTask3 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0, 0,0.7m);
var getFFTModsTask = GetFFTMods(message);
var getLocalTrendsModsTask = GetLocalTrendsMods(data, message);
@ -969,7 +977,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
}
if (mode == TradingMode.SlowDropping && type == PositionType.Short)
{
takeProfitShift = 4m;
}
if (mode == TradingMode.SlowDropping && type == PositionType.Long)
{

19
KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs
View File

@ -146,6 +146,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
await _historyCash[figi].AddDataToTimeWindowCache(key, data, TimeWindowCacheType._5_Minutes);
}
public async ValueTask AddDataTo15MinuteWindowCache(string figi, string key, CachedValue data)
{
if (!_historyCash.TryGetValue(figi, out var unit))
{
unit = new PriceHistoryCacheUnit2(figi);
_historyCash.TryAdd(figi, unit);
}
await _historyCash[figi].AddDataToTimeWindowCache(key, data, TimeWindowCacheType._15_Minutes);
}
public ValueTask<CachedValue[]> GetDataFrom20SecondsWindowCache(string figi, string key)
{
if (_historyCash.TryGetValue(figi, out var cahcheItem))
@ -173,6 +183,15 @@ namespace KLHZ.Trader.Core.Exchange.Services
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
public ValueTask<CachedValue[]> GetDataFrom15MinuteWindowCache(string figi, string key)
{
if (_historyCash.TryGetValue(figi, out var cahcheItem))
{
return cahcheItem.GetDataFromTimeWindowCache(key, TimeWindowCacheType._15_Minutes);
}
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
public async ValueTask AddOrderbook(IOrderbook orderbook)
{
if (!_historyCash.TryGetValue(orderbook.Figi, out var unit))

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

@ -46,7 +46,7 @@ namespace KLHZ.Trader.Service.Controllers
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
while (time1 < DateTime.UtcNow)
while (time1 < DateTime.UtcNow.Date)
{
var data = new List<TimeSeriesData>();
var data2 = new List<TimeSeriesData>();