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Применение соотношения продаж и покупок сбера

dev
vlad zverzhkhovskiy 2025-09-16 17:59:23 +03:00
parent 2b9f7cf332
commit efb6f8b64f
10 changed files with 130 additions and 56 deletions
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2
KLHZ.Trader.Core.Contracts/Declisions/Dtos/Enums/TimeWindowCacheType.cs
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@ -4,7 +4,7 @@
{
None = 0,
_1_Minute = 1,
_2_Minutes = 2,
_5_Minutes = 2,
_15_Minutes = 15,
}
}

2
KLHZ.Trader.Core.Math/Declisions/Dtos/FFT/Enums/ValueAmplitudePosition.cs
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@ -10,7 +10,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Dtos.FFT.Enums
{
None = 0,
Middle = 1,
UpperThen20Decil = 10,
UpperThen30Decil = 10,
LowerThenMediana = -50,
}
}

2
KLHZ.Trader.Core.Math/Declisions/Dtos/FFT/FFTAnalyzeResult.cs
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@ -13,7 +13,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Dtos.FFT
public decimal Max { get; init; }
public decimal Min { get; init; }
public decimal Mediana { get; init; }
public decimal Upper20Decil { get; init; }
public decimal Upper30Decil { get; init; }
public decimal Lower20Decil { get; init; }
public DateTime LastTime { get; init; }
public DateTime StartTime { get; init; }

4
KLHZ.Trader.Core.Math/Declisions/Dtos/TimeWindowCacheItem.cs
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@ -43,9 +43,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
switch (type)
{
case TimeWindowCacheType._2_Minutes:
case TimeWindowCacheType._5_Minutes:
{
return TimeSpan.FromMinutes(2);
return TimeSpan.FromMinutes(5);
}
case TimeWindowCacheType._15_Minutes:
{

6
KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs
View File

@ -51,7 +51,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private readonly decimal[] Prices = new decimal[_arrayMaxLength];
private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength];
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _1_minTimeWindows = new();
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _2_minTimeWindows = new();
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _5_minTimeWindows = new();
private readonly ConcurrentDictionary<string, TimeWindowCacheItem> _15_minTimeWindows = new();
private int _length = 0;
@ -85,9 +85,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
{
switch (timeWindowCacheType)
{
case TimeWindowCacheType._2_Minutes:
case TimeWindowCacheType._5_Minutes:
{
return _2_minTimeWindows;
return _5_minTimeWindows;
}
case TimeWindowCacheType._15_Minutes:
{

6
KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs
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@ -11,9 +11,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
var value = (decimal)CalcAmplitude(fftData.Harmonics, fftData.StartTime, timestamp);
var value2 = (decimal)CalcExtremum(fftData.Harmonics, fftData.StartTime, timestamp);
if (value > fftData.Upper20Decil)
if (value > fftData.Upper30Decil)
{
return ValueAmplitudePosition.UpperThen20Decil;
return ValueAmplitudePosition.UpperThen30Decil;
}
else if (value < fftData.Mediana)
{
@ -47,7 +47,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
LastTime = timestamps[timestamps.Length - 1],
StartTime = startTime,
Mediana = newValues[newValues.Length / 2],
Upper20Decil = newValues[(int)(newValues.Length * 0.8)],
Upper30Decil = newValues[(int)(newValues.Length * 0.7)],
Lower20Decil = newValues[(int)(newValues.Length * 0.2)],
Max = newValues.Max(),
Min = newValues.Min(),

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

@ -3,6 +3,8 @@
internal static class Constants
{
internal const string _1minCacheKey = "1min";
internal const string _1minSellCacheKey = "1min_sell";
internal const string _1minBuyCacheKey = "1min_buy";
internal const string BigWindowCrossingAverageProcessor = "Trader_big";
internal const string SmallWindowCrossingAverageProcessor = "Trader_small";
internal const string AreasRelationProcessor = "balancescalc30min";

133
KLHZ.Trader.Core/Exchange/Services/Trader.cs
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@ -32,6 +32,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly TraderDataProvider _tradeDataProvider;
private readonly ILogger<Trader> _logger;
private readonly ConcurrentDictionary<string, DateTime> LongOpeningStops = new();
private readonly ConcurrentDictionary<string, DateTime> LongClosingStops = new();
private readonly ConcurrentDictionary<string, DateTime> ShortClosingStops = new();
private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new();
@ -105,9 +106,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
else
{
position = FFT.Check(fft, message.Time);
if (position == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen20Decil)
if (position == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.UpperThen30Decil)
{
await LogPrice(message, "upper10percent", message.Value);
await LogPrice(message, "upper30percent", message.Value);
}
if (position == Math.Declisions.Dtos.FFT.Enums.ValueAmplitudePosition.LowerThenMediana)
@ -155,6 +155,36 @@ namespace KLHZ.Trader.Core.Exchange.Services
list.Clear();
}
}
if (message.Figi == "BBG004730N88")
{
if (message.Direction == 1)
{
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
});
}
if (message.Direction == 2)
{
await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
{
Time = message.Time,
Value = (decimal)message.Count
});
}
var sberSells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minSellCacheKey);
var sberBuys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minBuyCacheKey);
var sells = sberSells.Sum(s => s.Value);
var buys = sberBuys.Sum(s => s.Value);
var su = sells + buys;
if (su != 0)
{
await LogPrice(message, "sellsbuysbalance", (sells / su - 0.5m)*2);
}
}
if (_tradingInstrumentsFigis.Contains(message.Figi))
{
var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
@ -314,6 +344,14 @@ namespace KLHZ.Trader.Core.Exchange.Services
return;
}
var sberSells = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minSellCacheKey);
var sberBuys = await _tradeDataProvider.GetDataFrom5MinuteWindowCache("BBG004730N88", Constants._1minBuyCacheKey);
var sells = sberSells.Sum(s => s.Value);
var buys = sberBuys.Sum(s => s.Value);
var su = sells + buys;
var dsell = (sells / su - 0.5m) * 2;
var mavTask = CheckByWindowAverageMean(data, message, windowMaxSize);
var mavTaskShorts = CheckByWindowAverageMeanForShotrs(data, message, windowMaxSize);
var ltTask = CheckByLocalTrends(data, message, windowMaxSize);
@ -328,7 +366,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
&& !LongOpeningStops.ContainsKey(message.Figi)
&& trendTask.Result.HasValue
&& System.Math.Abs(trendTask.Result.Value)<6
&& trendTask.Result.Value > -5
&& state == ExchangeState.Open
&& areasTask.Result.HasValue
&& (areasTask.Result.Value >= 20 && areasTask.Result.Value < 75)
@ -371,59 +409,63 @@ namespace KLHZ.Trader.Core.Exchange.Services
await LogDeclision(DeclisionTradeAction.OpenLong, message);
}
if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd && positionTask.Result != ValueAmplitudePosition.LowerThenMediana)
if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
{
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
if (dsell < 0.1m)
{
var loggedDeclisions = 0;
var assetsForClose = _tradeDataProvider.Accounts
.SelectMany(a => a.Value.Assets.Values)
.Where(a => a.Figi == message.Figi && a.Count > 0)
.ToArray();
foreach (var asset in assetsForClose)
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
{
var profit = 0m;
var loggedDeclisions = 0;
var assetsForClose = _tradeDataProvider.Accounts
.SelectMany(a => a.Value.Assets.Values)
.Where(a => a.Figi == message.Figi && a.Count > 0)
.ToArray();
foreach (var asset in assetsForClose)
{
var profit = 0m;
if (assetType == AssetType.Common && asset.Count > 0)
{
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), 1, false);
}
if (assetType == AssetType.Futures)
{
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
}
var stoppingKey = message.Figi + asset.AccountId;
if (profit > 0)
{
//ClosingStops[stoppingKey] = DateTime.UtcNow.AddSeconds(30);
var command = new TradeCommand()
if (assetType == AssetType.Common && asset.Count > 0)
{
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)
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
GetComission(assetType), 1, false);
}
if (assetType == AssetType.Futures)
{
loggedDeclisions++;
await LogDeclision(DeclisionTradeAction.CloseLongReal, message, profit);
profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
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);
}
await LogDeclision(DeclisionTradeAction.CloseLong, message);
}
if ((mavTaskShorts.Result & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
{
if (trendTask.Result.HasValue && trendTask.Result.Value < -3)
if (trendTask.Result.HasValue && trendTask.Result.Value < -4)
{
if (!message.IsHistoricalData)
{
@ -541,6 +583,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
ShortClosingStops.TryRemove(message.Figi, out _);
}
}
if (LongClosingStops.TryGetValue(message.Figi, out var dt3))
{
if (dt3 < currentTime)
{
LongClosingStops.TryRemove(message.Figi, out _);
}
}
}
private async Task LogPrice(INewPrice message, string processor, decimal value)

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

@ -126,6 +126,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
await _historyCash[figi].AddDataToTimeWindowCache(key, data, TimeWindowCacheType._1_Minute);
}
public async ValueTask AddDataTo5MinuteWindowCache(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._5_Minutes);
}
public ValueTask<CachedValue[]> GetDataFrom1MinuteWindowCache(string figi, string key)
{
if (_historyCash.TryGetValue(figi, out var cahcheItem))
@ -135,6 +145,15 @@ namespace KLHZ.Trader.Core.Exchange.Services
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
public ValueTask<CachedValue[]> GetDataFrom5MinuteWindowCache(string figi, string key)
{
if (_historyCash.TryGetValue(figi, out var cahcheItem))
{
return cahcheItem.GetDataFromTimeWindowCache(key, TimeWindowCacheType._5_Minutes);
}
return ValueTask.FromResult(Array.Empty<CachedValue>());
}
public async ValueTask AddOrderbook(IOrderbook orderbook)
{
if (!_historyCash.TryGetValue(orderbook.Figi, out var unit))

10
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -26,20 +26,24 @@ namespace KLHZ.Trader.Service.Controllers
}
[HttpGet]
public async Task Run(string figi)
public async Task Run()
{
try
{
var figi1 = "FUTIMOEXF000";
//var figi1 = "BBG004730N88";
var figi2 = "BBG004730N88";
//var figi2 = "FUTIMOEXF000";
var time1 = DateTime.UtcNow.AddDays(-16.5);
//var time2 = DateTime.UtcNow.AddMinutes(18);
using var context1 = await _dbContextFactory.CreateDbContextAsync();
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var data = await context1.PriceChanges
.Where(c => c.Figi == figi && c.Time >= time1)
.Where(c => (c.Figi == figi1 || c.Figi == figi2) && c.Time >= time1)
.OrderBy(c => c.Time)
.Select(c => new NewPriceMessage()
{
Figi = figi,
Figi = c.Figi,
Ticker = c.Ticker,
Time = c.Time,
Value = c.Value,