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фиксация перед заменой float на decimal

main
vlad zverzhkhovskiy 2025-09-02 17:46:30 +03:00
parent 270e807591
commit ff1090c819
4 changed files with 150 additions and 122 deletions
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8
KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs
View File

@ -9,7 +9,15 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
public ValueTask AddData(INewPrice priceChange);
public ValueTask<(DateTime[] timestamps, float[] prices)> GetData();
public ValueTask AddOrderbook(IOrderbook orderbook);
/// <summary>
/// Число заявок на продаже в стакане.
/// </summary>
public decimal AsksCount { get; }
/// <summary>
/// Число заявок на покупку в стакане.
/// </summary>
public decimal BidsCount { get; }
}
}

14
KLHZ.Trader.Core.Math/Declisions/Utils/MovingAverage.cs
View File

@ -38,13 +38,15 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
}
if (shift > 0)
{
var i1 = size - 1 - shift;
var i2 = size - 2 - shift;
var isCrossing = Lines.IsLinesCrossing(
times[size - 1 - shift],
times[size - 2 - shift],
twav15s[size - 1 - shift],
twav15s[size - 2 - shift],
twav120s[size - 1 - shift],
twav120s[size - 2 - shift]);
times[i1],
times[i2],
twav15s[i1],
twav15s[i2],
twav120s[i1],
twav120s[i2]);
if (shift == 1 && !isCrossing) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
//текущей и предыдущей точкой - можно не продолжать выполнение.
{

43
KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs
View File

@ -142,14 +142,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
SubscribeOrderBookRequest = bookRequest
});
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var pricesBuffer = new List<PriceChange>();
var orderbookItemsBuffer = new List<OrderbookItem>();
var tradesBuffer = new List<InstrumentTrade>();
var lastWriteOrderbooks = DateTime.UtcNow;
var lastWriteTrades = DateTime.UtcNow;
var lastWritePrices = DateTime.UtcNow;
var lastWrite = DateTime.UtcNow;
await foreach (var response in stream.ResponseStream.ReadAllAsync())
{
@ -214,25 +210,34 @@ namespace KLHZ.Trader.Core.Exchange.Services
await _eventBus.Broadcast(message);
}
if (orderbookItemsBuffer.Count + pricesBuffer.Count + tradesBuffer.Count > 1000 || (DateTime.UtcNow - lastWrite).TotalSeconds > 10)
if (orderbookItemsBuffer.Count + pricesBuffer.Count + tradesBuffer.Count > 0 || (DateTime.UtcNow - lastWrite).TotalSeconds > 10)
{
lastWrite = DateTime.UtcNow;
if (orderbookItemsBuffer.Count > 0)
try
{
await context.OrderbookItems.AddRangeAsync(orderbookItemsBuffer);
orderbookItemsBuffer.Clear();
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
lastWrite = DateTime.UtcNow;
if (orderbookItemsBuffer.Count > 0)
{
await context.OrderbookItems.AddRangeAsync(orderbookItemsBuffer);
orderbookItemsBuffer.Clear();
}
if (pricesBuffer.Count > 0)
{
await context.PriceChanges.AddRangeAsync(pricesBuffer);
pricesBuffer.Clear();
}
if (tradesBuffer.Count > 0)
{
await context.InstrumentTrades.AddRangeAsync(tradesBuffer);
tradesBuffer.Clear();
}
await context.SaveChangesAsync();
}
if (pricesBuffer.Count > 0)
catch (Exception ex)
{
await context.PriceChanges.AddRangeAsync(pricesBuffer);
pricesBuffer.Clear();
_logger.LogError(ex, "Ошибка при сохранении данных биржи.");
}
if (tradesBuffer.Count > 0)
{
await context.InstrumentTrades.AddRangeAsync(tradesBuffer);
tradesBuffer.Clear();
}
await context.SaveChangesAsync();
}
}
}

207
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -98,7 +98,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
_dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
_ = ProcessPrices();
_ = ProcessOrdersbooks();
_ = BackgroundWorker();
}
private async Task InitStops()
@ -119,86 +118,121 @@ namespace KLHZ.Trader.Core.Exchange.Services
while (await _pricesChannel.Reader.WaitToReadAsync())
{
var message = await _pricesChannel.Reader.ReadAsync();
//if (_tradingInstrumentsFigis.Contains(message.Figi))
//{
// if (_historyCash.TryGetValue(message.Figi, out var unit))
// {
// await unit.AddData(message);
// }
// else
// {
// unit = new PriceHistoryCacheUnit2(message.Figi, message);
// _historyCash.TryAdd(message.Figi, unit);
// }
// var data = await unit.GetData();
// var declisionsForSave = new List<Declision>();
// if (message.Figi == "FUTIMOEXF000")
// {
// var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 3f);
// if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
// {
// var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
// BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
// declisionsForSave.Add(new Declision()
// {
// AccountId = string.Empty,
// Figi = message.Figi,
// Ticker = message.Ticker,
// Price = message.Value,
// Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
// Action = DeclisionTradeAction.StopBuy,
// });
// }
if (_tradingInstrumentsFigis.Contains(message.Figi))
{
if (_historyCash.TryGetValue(message.Figi, out var unit))
{
await unit.AddData(message);
}
else
{
unit = new PriceHistoryCacheUnit2(message.Figi, message);
_historyCash.TryAdd(message.Figi, unit);
}
try
{
var data = await unit.GetData();
var declisionsForSave = new List<Declision>();
if (message.Figi == "FUTIMOEXF000")
{
var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100, 3f);
if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
{
var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.StopBuy,
});
}
// if ((result & TradingEvent.LongOpen) == TradingEvent.LongOpen
// && !BuyStops.TryGetValue(message.Figi, out _))
// {
// var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
// BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
// declisionsForSave.Add(new Declision()
// {
// AccountId = string.Empty,
// Figi = message.Figi,
// Ticker = message.Ticker,
// Price = message.Value,
// Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
// Action = DeclisionTradeAction.OpenLong,
// });
// }
if ((result & TradingEvent.LongOpen) == TradingEvent.LongOpen
&& ((unit.BidsCount / unit.AsksCount) > 0.5m))
{
if (BuyStops.TryGetValue(message.Figi, out var dt))
{
if (dt > DateTime.UtcNow)
{
continue;
}
else
{
BuyStops.TryRemove(message.Figi, out _);
}
}
var stopTo = DateTime.UtcNow.AddMinutes(_buyStopLength);
BuyStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.OpenLong,
});
}
// if ((result & TradingEvent.LongClose) == TradingEvent.LongClose)
// {
// declisionsForSave.Add(new Declision()
// {
// AccountId = string.Empty,
// Figi = message.Figi,
// Ticker = message.Ticker,
// Price = message.Value,
// Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
// Action = DeclisionTradeAction.CloseLong,
// });
// }
if ((result & TradingEvent.LongClose) == TradingEvent.LongClose)
{
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.CloseLong,
});
}
// if ((result & TradingEvent.ShortOpen) == TradingEvent.ShortOpen && (unit.AsksCount/ unit.BidsCount>2 ))
// {
// declisionsForSave.Add(new Declision()
// {
// AccountId = string.Empty,
// Figi = message.Figi,
// Ticker = message.Ticker,
// Price = message.Value,
// Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
// Action = DeclisionTradeAction.OpenShort,
// });
// }
if ((result & TradingEvent.ShortOpen) == TradingEvent.ShortOpen && (unit.BidsCount / unit.AsksCount < 2))
{
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.OpenShort,
});
}
// using var context = await _dbContextFactory.CreateDbContextAsync();
// context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
if ((result & TradingEvent.ShortClose) == TradingEvent.ShortClose)
{
declisionsForSave.Add(new Declision()
{
AccountId = string.Empty,
Figi = message.Figi,
Ticker = message.Ticker,
Price = message.Value,
Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
Action = DeclisionTradeAction.CloseShort,
});
}
// await context.AddRangeAsync(declisionsForSave);
// await context.SaveChangesAsync();
// }
//}
if (declisionsForSave.Count > 0)
{
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
await context.AddRangeAsync(declisionsForSave);
await context.SaveChangesAsync();
declisionsForSave.Clear();
}
}
}
catch (Exception ex)
{
}
}
}
}
@ -216,27 +250,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
}
private async Task BackgroundWorker()
{
var keysForRemove = new List<string>();
while (!_cts.IsCancellationRequested)
{
var time = DateTime.UtcNow;
foreach (var kvp in BuyStops)
{
if (kvp.Value > time)
{
keysForRemove.Add(kvp.Key);
}
}
foreach (var key in keysForRemove)
{
BuyStops.TryRemove(key, out _);
}
await Task.Delay(10000);
}
}
public Task StopAsync(CancellationToken cancellationToken)
{
_cts.Cancel();