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klhztrader
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vlad zverzhkhovskiy 2025-10-08 15:45:33 +03:00
parent 167c2ba119
commit f4fb12407a
6 changed files with 18 additions and 32 deletions
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12
KLHZ.Trader.Core.Math/Declisions/Dtos/ConvolutionResult.cs
View File

@ -1,16 +1,10 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
public class ConvolutionResult
{
public decimal Sum { get; set; }
public decimal Value { get;set; }
public decimal Value { get; set; }
public int Shift { get; set; }
public decimal Leverage { get; set; }
public decimal Leverage { get; set; }
}
}

8
KLHZ.Trader.Core.Math/Declisions/Dtos/HistItem.cs
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@ -1,10 +1,4 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
public class HistItem
{

16
KLHZ.Trader.Core.Math/Declisions/Utils/Statistics.cs
View File

@ -133,15 +133,15 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
public static HistItem[] CalcHistogram(ITradeDataItem[] values)
{
var result = new Dictionary<decimal, decimal>();
foreach(var item in values)
foreach (var item in values)
{
if (!result.TryGetValue(item.Price,out var val))
if (!result.TryGetValue(item.Price, out var val))
{
result[item.Price] = 0;
}
result[item.Price] = val + 1;
}
return result.Select(r => new HistItem() { Value = r.Key, Count = r.Value }).OrderBy(i=>i.Value).ToArray();
return result.Select(r => new HistItem() { Value = r.Key, Count = r.Value }).OrderBy(i => i.Value).ToArray();
}
public static decimal[] GetParabolaCore(int leverageSize, decimal maxValue = 1)
@ -163,7 +163,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
public static ConvolutionResult[] CalcConvolution(HistItem[] hist, int leverageSize)
{
if (hist.Length>2* leverageSize+1)
if (hist.Length > 2 * leverageSize + 1)
{
var results = new List<ConvolutionResult>();
var coreSize = 2 * leverageSize + 1;
@ -174,15 +174,15 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
for (int i = 0; i < 2 * leverageSize + 1; i++)
{
var core = GetParabolaCore(leverageSize, hist[i + shift].Count);
s += (hist[i + shift].Count - core[i])*(hist[i + shift].Count - core[i]);
if (i== leverageSize)
s += (hist[i + shift].Count - core[i]) * (hist[i + shift].Count - core[i]);
if (i == leverageSize)
{
k = i + shift;
}
}
s = s / coreSize;
s = (decimal)System.Math.Pow((double)s, 0.5d);
//s /= coreSum;
//s /= coreSum;
results.Add(new ConvolutionResult()
{
Leverage = leverageSize,
@ -191,7 +191,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
Shift = k,
});
}
return results.OrderByDescending(r=>r.Value).ToArray();
return results.OrderByDescending(r => r.Value).ToArray();
}
return Array.Empty<ConvolutionResult>();
}

8
KLHZ.Trader.Core.Tests/StatisticTests.cs
View File

@ -33,12 +33,12 @@ namespace KLHZ.Trader.Core.Tests
}
var res = Statistics.CalcHistogram(data.Select(d=>new CachedValue()
var res = Statistics.CalcHistogram(data.Select(d => new CachedValue()
{
Figi ="",
Figi = "",
Ticker = "",
Direction =1,
Price = d/2,
Direction = 1,
Price = d / 2,
Time = DateTime.UtcNow,
}).ToArray());

4
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -165,7 +165,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (DPricesValues.TryGetValue(message.Figi, out var olddPrice))
{
if (olddPrice < 0m && pricesDiff >0)
if (olddPrice < 0m && pricesDiff > 0)
{
//await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point_long_in", message.Price);
}
@ -189,7 +189,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
});
if (DPirsonValues.TryGetValue(message.Figi, out var olddpirs))
{
if (olddpirs < -0.3m && res > -0.3m && pricesDiff>0 && (tradesDiff > 0))
if (olddpirs < -0.3m && res > -0.3m && pricesDiff > 0 && (tradesDiff > 0))
{
await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point_long_in", message.Price);
}

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

@ -2,12 +2,10 @@ using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
using KLHZ.Trader.Core.DataLayer;
using KLHZ.Trader.Core.DataLayer.Entities.Orders;
using KLHZ.Trader.Core.Math.Declisions.Dtos;
using KLHZ.Trader.Core.Math.Declisions.Utils;
using KLHZ.Trader.Service.Models;
using Microsoft.AspNetCore.Mvc;
using Microsoft.EntityFrameworkCore;
using System.Linq;
namespace KLHZ.Trader.Service.Controllers
{