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фикс аварийной продажи активов
test / deploy_trader_prod (push) Successful in 2m12s Details

dev
vlad zverzhkhovskiy 2025-09-12 10:24:30 +03:00
parent 32072e57f9
commit fcf686a9d5
3 changed files with 28 additions and 64 deletions
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14
KLHZ.Trader.Core.Math/Declisions/Dtos/CachedValue.cs Normal file
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@ -0,0 +1,14 @@
using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
namespace KLHZ.Trader.Core.Math.Declisions.Dtos
{
public class CachedValue
{
public DateTime Time { get; init; }
public decimal Value { get; init; }
}
}

8
KLHZ.Trader.Core.Math/Declisions/Services/Cache/PriceHistoryCacheUnit2.cs
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@ -1,5 +1,7 @@
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.Math.Declisions.Dtos;
using System.Collections.Concurrent;
namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
{
@ -46,6 +48,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private readonly object _locker = new();
private readonly decimal[] Prices = new decimal[_arrayMaxLength];
private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength];
private readonly ConcurrentDictionary<string, LinkedList<CachedValue>> TimeWindows = new();
private int _length = 0;
private int _pointer = -1;
@ -53,6 +56,11 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
private long _asksCount = 1;
private long _bidsCount = 1;
public ValueTask AddDataToTimeWindowCache(string key, CachedValue data, TimeSpan window)
{
return ValueTask.CompletedTask;
}
public ValueTask AddData(INewPrice priceChange)
{
if (priceChange.Figi != Figi) return ValueTask.CompletedTask;

70
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -34,7 +34,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
private readonly string _bigWindowProcessor = nameof(Trader) + "_big";
private readonly string _smallWindowProcessor = nameof(Trader) + "_small";
private readonly double _buyStopLength;
private readonly decimal _futureComission;
private readonly decimal _shareComission;
private readonly decimal _accountCashPart;
@ -59,7 +58,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
_accountCashPart = options.Value.AccountCashPart;
_accountCashPartFutures = options.Value.AccountCashPartFutures;
_tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
_buyStopLength = (double)options.Value.StopBuyLengthMinuts;
foreach (var lev in options.Value.InstrumentsSettings)
{
@ -78,9 +76,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task ProcessPrices()
{
var buffer = new LinkedList<(DateTime, double)>();
var tradesBufferBuys = new LinkedList<(DateTime, double)>();
var tradesBufferSells = new LinkedList<(DateTime, double)>();
var tradesRelBuffer = new LinkedList<(DateTime, decimal)>();
while (await _pricesChannel.Reader.WaitToReadAsync())
{
var message = await _pricesChannel.Reader.ReadAsync();
@ -94,8 +89,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
try
{
//await ProcessDeferredLongOpens(message, currentTime);
//await ProcessDeferredLongCloses(message, currentTime);
if (message.Figi == "FUTIMOEXF000")
{
var windowMaxSize = 1000;
@ -107,10 +100,9 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
var state = ExchangeScheduler.GetCurrentState(message.Time);
await ProcessClearing(data, state, message);
//await SellOldAssetsIfCan(message);
ProcessOpeningStops(message, currentTime);
await ProcessNewPriceIMOEXF(data, state, message, windowMaxSize, buffer, tradesBufferBuys, tradesBufferSells, tradesRelBuffer);
await ProcessNewPriceIMOEXF(data, state, message, windowMaxSize, buffer);
}
}
catch (Exception ex)
@ -123,6 +115,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task SellAssetsIfNeed(INewPrice message)
{
if (!BotModeSwitcher.CanSell())
{
return;
}
var accounts = _tradeDataProvider.Accounts.Values.ToArray();
var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
foreach (var acc in accounts)
@ -169,9 +165,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task ProcessNewPriceIMOEXF((DateTime[] timestamps, decimal[] prices) data,
ExchangeState state,
INewPrice message, int windowMaxSize, LinkedList<(DateTime time, double val)> areasBuffer,
LinkedList<(DateTime time, double val)> tradesBufferBuys, LinkedList<(DateTime time, double val)> tradesBufferSells,
LinkedList<(DateTime time, decimal val)> tradesRelBufferSells)
INewPrice message, int windowMaxSize, LinkedList<(DateTime time, double val)> areasBuffer)
{
var res = TradingEvent.None;
var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices,
@ -185,58 +179,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
await LogPrice(message, _smallWindowProcessor, resultMoveAvFull.smallWindowAv);
}
//var oldTotalSales = (decimal)tradesBufferSells.Sum(s => s.val);
//var oldTotalBuys = (decimal)tradesBufferBuys.Sum(s => s.val);
//var oldTotalTrades = oldTotalSales + oldTotalBuys;
//if (message.Direction == 1)
//{
// tradesBufferBuys.AddLast((message.Time, message.Count));
// if (tradesBufferBuys.Last != null && tradesBufferBuys.First != null
// && tradesBufferBuys.Last.Value.time - tradesBufferBuys.First.Value.time > TimeSpan.FromSeconds(60))
// {
// tradesBufferBuys.RemoveFirst();
// }
//}
//if (message.Direction == 2)
//{
// tradesBufferSells.AddLast((message.Time, message.Count));
// if (tradesBufferSells.Last != null && tradesBufferSells.First != null
// && tradesBufferSells.Last.Value.time - tradesBufferSells.First.Value.time > TimeSpan.FromSeconds(60))
// {
// tradesBufferSells.RemoveFirst();
// }
//}
//var totalSales = (decimal)tradesBufferSells.Sum(s => s.val);
//var totalBuys = (decimal)tradesBufferBuys.Sum(s => s.val);
//var totalTrades = totalSales + totalBuys;
//var tradesRelation = -100m;
//var oldTradesRelation = -100m;
//await LogPrice(message, "tradesvolume", totalTrades);
//if (totalTrades > 0 && oldTotalTrades > 0)
//{
// tradesRelation = (totalBuys - totalSales) / totalTrades;
// oldTradesRelation = (oldTotalBuys - oldTotalSales) / oldTotalTrades;
// tradesRelBufferSells.AddLast((message.Time, tradesRelation - oldTradesRelation));
// if (tradesRelBufferSells.Last != null && tradesRelBufferSells.First != null
// && tradesRelBufferSells.Last.Value.time - tradesRelBufferSells.First.Value.time > TimeSpan.FromSeconds(10))
// {
// tradesRelBufferSells.RemoveFirst();
// }
// if (tradesRelBufferSells.Count > 0)
// {
// await LogPrice(message, "tradesrelation", tradesRelBufferSells.Sum(e => e.val) / tradesRelBufferSells.Count);
// }
//}
var areasRel = -1m;
if (ShapeAreaCalculator.TryGetAreasRelation(data.timestamps, data.prices, message.Value, TimeSpan.FromMinutes(15), out var rel))
{