Применение соотношения продаж и покупок сбера

KLHZ.Trader.Core.Contracts/Declisions/Dtos/Enums/TimeWindowCacheType.cs

@@ -4,7 +4,7 @@
     {
         None = 0,
         _1_Minute = 1,
-        _2_Minutes = 2,
+        _5_Minutes = 2,
         _15_Minutes = 15,
     }
 }

KLHZ.Trader.Core.Math/Declisions/Dtos/FFT/Enums/ValueAmplitudePosition.cs

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

KLHZ.Trader.Core.Math/Declisions/Dtos/FFT/FFTAnalyzeResult.cs

@@ -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; }

KLHZ.Trader.Core.Math/Declisions/Dtos/TimeWindowCacheItem.cs

@@ -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:
                     {

KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs

@@ -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:
                     {

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

@@ -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(),

KLHZ.Trader.Core/Exchange/Constants.cs

@@ -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";

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

@@ -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)
@@ -371,7 +409,9 @@ 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 (dsell < 0.1m)
                 {
                     if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
                     {
@@ -394,10 +434,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                 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);
+                                LongClosingStops[message.Figi] = message.Time.AddSeconds(30);
                                 var command = new TradeCommand()
                                 {
                                     AccountId = asset.AccountId,
@@ -421,9 +461,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
                     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)

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

@@ -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))

KLHZ.Trader.Service/Controllers/PlayController.cs

@@ -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,