добавил анализ скользящими средними

KLHZ.Trader.Core.Contracts/Declisions/Dtos/TwoPeriodsResultDto.cs

@@ -5,13 +5,13 @@
         public readonly int Start;
         public readonly int Bound;
         public readonly int End;
-        public readonly float DiffStart;
-        public readonly float DiffEnd;
+        public readonly decimal DiffStart;
+        public readonly decimal DiffEnd;
         public readonly bool Success;
         public readonly TimeSpan PeriodStart;
         public readonly TimeSpan PeriodEnd;
 
-        public TwoPeriodsResultDto(bool success, float diffStart, float diffEnd, int start, int bound, int end,
+        public TwoPeriodsResultDto(bool success, decimal diffStart, decimal diffEnd, int start, int bound, int end,
             TimeSpan periodStart, TimeSpan periodEnd)
         {
             Success = success;

KLHZ.Trader.Core.Contracts/Declisions/Interfaces/IPriceHistoryCacheUnit.cs

@@ -7,9 +7,17 @@ namespace KLHZ.Trader.Core.Contracts.Declisions.Interfaces
         public string Figi { get; }
         public int Length { get; }
         public ValueTask AddData(INewPrice priceChange);
-        public ValueTask<(DateTime[] timestamps, float[] prices)> GetData();
+        public ValueTask<(DateTime[] timestamps, decimal[] 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; }
     }
 }

KLHZ.Trader.Core.Math/Common/Lines.cs

@@ -2,7 +2,7 @@
 {
     public static class Lines
     {
-        public static (float x, float y) LinesCrossing(float k1, float b1, float k2, float b2)
+        public static (decimal x, decimal y) LinesCrossing(decimal k1, decimal b1, decimal k2, decimal b2)
         {
             var x = (b2 - b1) / (k1 - k2);
             var y = k1 * x + b1;
@@ -10,10 +10,10 @@
             return (x, y);
         }
 
-        public static bool IsLinesCrossing(DateTime time1, DateTime time2, float val1_1, float val1_2, float val2_1, float val2_2)
+        public static bool IsLinesCrossing(DateTime time1, DateTime time2, decimal val1_1, decimal val1_2, decimal val2_1, decimal val2_2)
         {
-            var dtime = (float)(time2 - time1).TotalSeconds;
-
+            var dtime = (decimal)(time2 - time1).TotalSeconds;
+            if (dtime == 0) return false;
             var dval1 = val1_2 - val1_1;
             var k1 = dval1 / dtime;
             var b1 = val1_1;
@@ -25,9 +25,12 @@
             if (k1 != k2)
             {
                 var cross = LinesCrossing(k1, b1, k2, b2);
-                var crossingTimestamp = time1.AddSeconds(cross.x);
+                if (cross.x>=0 && cross.x <= dtime)
+                {
+                    var crossingTimestamp = time1.AddSeconds((double)cross.x);
                     return crossingTimestamp >= time1 && crossingTimestamp <= time2;
                 }
+            }
             return false;
         }
     }

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

@@ -4,15 +4,15 @@
     {
         public readonly int Start;
         public readonly int End;
-        public readonly float LastPrice;
-        public readonly float FirstPrice;
-        public readonly float PeriodDiff;
-        public readonly float PeriodMax;
-        public readonly float PeriodMin;
+        public readonly decimal LastPrice;
+        public readonly decimal FirstPrice;
+        public readonly decimal PeriodDiff;
+        public readonly decimal PeriodMax;
+        public readonly decimal PeriodMin;
         public readonly bool Success;
         public readonly TimeSpan Period;
 
-        public PeriodPricesInfoDto(bool success, float firstPrice, float lastPrice, float periodDiff, float periodMin, float periodMax, TimeSpan period, int start, int end)
+        public PeriodPricesInfoDto(bool success, decimal firstPrice, decimal lastPrice, decimal periodDiff, decimal periodMin, decimal periodMax, TimeSpan period, int start, int end)
         {
             Success = success;
             LastPrice = lastPrice;

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

@@ -24,7 +24,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
         public decimal BidsCount => 1;
 
         private readonly object _locker = new();
-        private readonly float[] Prices = new float[CacheMaxLength];
+        private readonly decimal[] Prices = new decimal[CacheMaxLength];
         private readonly DateTime[] Timestamps = new DateTime[CacheMaxLength];
 
         private int _length = 0;
@@ -36,7 +36,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
                 Array.Copy(Prices, 1, Prices, 0, Prices.Length - 1);
                 Array.Copy(Timestamps, 1, Timestamps, 0, Timestamps.Length - 1);
 
-                Prices[Prices.Length - 1] = (float)priceChange.Value;
+                Prices[Prices.Length - 1] = priceChange.Value;
                 Timestamps[Timestamps.Length - 1] = priceChange.Time;
 
                 if (_length < CacheMaxLength)
@@ -47,11 +47,11 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             return ValueTask.CompletedTask;
         }
 
-        public ValueTask<(DateTime[] timestamps, float[] prices)> GetData()
+        public ValueTask<(DateTime[] timestamps, decimal[] prices)> GetData()
         {
             lock (_locker)
             {
-                var prices = new float[_length];
+                var prices = new decimal[_length];
                 var timestamps = new DateTime[_length];
                 Array.Copy(Prices, Prices.Length - _length, prices, 0, prices.Length);
                 Array.Copy(Timestamps, Prices.Length - _length, timestamps, 0, timestamps.Length);
@@ -79,7 +79,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
                 .Skip(priceChanges.Length - CacheMaxLength)
                 .ToArray();
             var prices = selectedPriceChanges
-                .Select(pc => (float)pc.Value)
+                .Select(pc => pc.Value)
                 .ToArray();
             var times = selectedPriceChanges
                 .Select(pc => pc.Time)

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

@@ -44,7 +44,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
         }
 
         private readonly object _locker = new();
-        private readonly float[] Prices = new float[_arrayMaxLength];
+        private readonly decimal[] Prices = new decimal[_arrayMaxLength];
         private readonly DateTime[] Timestamps = new DateTime[_arrayMaxLength];
 
         private int _length = 0;
@@ -59,7 +59,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             lock (_locker)
             {
                 _pointer++;
-                Prices[_pointer] = (float)priceChange.Value;
+                Prices[_pointer] = priceChange.Value;
                 Timestamps[_pointer] = priceChange.Time;
                 if (_length < CacheMaxLength)
                 {
@@ -76,17 +76,17 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
             return ValueTask.CompletedTask;
         }
 
-        public ValueTask<(DateTime[] timestamps, float[] prices)> GetData()
+        public ValueTask<(DateTime[] timestamps, decimal[] prices)> GetData()
         {
             lock (_locker)
             {
                 if (_pointer < 0)
                 {
-                    return ValueTask.FromResult((Array.Empty<DateTime>(), Array.Empty<float>()));
+                    return ValueTask.FromResult((Array.Empty<DateTime>(), Array.Empty<decimal>()));
                 }
                 else
                 {
-                    var prices = new float[_length];
+                    var prices = new decimal[_length];
                     var timestamps = new DateTime[_length];
                     Array.Copy(Prices, 1 + _pointer - _length, prices, 0, prices.Length);
                     Array.Copy(Timestamps, 1 + _pointer - _length, timestamps, 0, timestamps.Length);
@@ -123,7 +123,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Services.Cache
 
             foreach (var pc in selectedPriceChanges)
             {
-                AddData(pc);
+                AddData(pc).AsTask().Wait();
             }
         }
     }

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

@@ -5,10 +5,10 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
 {
     public static class MovingAverage
     {
-        private static (DateTime time, float value) CalcTimeWindowAverageValue(DateTime[] timestamps, float[] values, int window, int shift = 0)
+        internal static (DateTime time, decimal value) CalcTimeWindowAverageValue(DateTime[] timestamps, decimal[] values, int window, int shift = 0)
         {
             var sum = values[values.Length - 1 - shift];
-            var count = 1;
+            var count = 1m;
             var startTime = timestamps[timestamps.Length - 1 - shift];
             for (int i = 2; i < values.Length && startTime - timestamps[values.Length - i - shift] < TimeSpan.FromSeconds(window); i++)
             {
@@ -18,33 +18,44 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return (startTime, sum / count);
         }
 
-        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, float[] prices, int size, float meanfullStep = 3f)
+        public static TradingEvent CheckByWindowAverageMean(DateTime[] timestamps, decimal[] prices, int size,int smallWindow, int bigWindow, decimal meanfullStep = 3m)
         {
-            var twav15s = new float[size];
-            var twav120s = new float[size];
-            var times = new DateTime[size];
             var res = TradingEvent.None;
+            if (timestamps.Length < size)
+            {
+                return res;
+            }
+            var pricesForFinalComparison = new decimal[size];
+            var twavss = new decimal[size];
+            var twavbs = new decimal[size];
+            var times = new DateTime[size];
+            
+            
             for (int shift = 0; shift < size; shift++)
             {
-                var twav15 = CalcTimeWindowAverageValue(timestamps, prices, 15, shift);
-                var twav120 = CalcTimeWindowAverageValue(timestamps, prices, 120, shift);
-                twav15s[size - 1 - shift] = twav15.value;
-                twav120s[size - 1 - shift] = twav120.value;
-                times[size - 1 - shift] = twav120.time;
-                if (System.Math.Abs(twav120.value - prices[prices.Length - 1]) > 3 * meanfullStep)
+                var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
+                var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
+                pricesForFinalComparison[size - 1 - shift] = prices[prices.Length - 1 - shift];
+                twavss[size - 1 - shift] = twavs.value;
+                twavbs[size - 1 - shift] = twavb.value;
+                times[size - 1 - shift] = twavb.time;
+                if (System.Math.Abs(twavb.value - prices[prices.Length - 1]) > 2 * meanfullStep)
                 {
                     res |= TradingEvent.StopBuy;
                     return res;
                 }
                 if (shift > 0)
                 {
+                    var i1 = size - 1 - shift;
+                    var i2 = size - 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],
+                        twavss[i1],
+                        twavss[i2],
+                        twavbs[i1],
+                        twavbs[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.
                     {
@@ -53,9 +64,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                     if (shift > 1 && isCrossing)
                     {
                         // если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
-                        if (twav120s[size - 1] <= twav15s[size - 1] && twav120s[size - 2] > twav15s[size - 2])
+                        if (twavbs[size - 1] <= twavss[size - 1] && twavbs[size - 2] > twavss[size - 2])
                         {
-                            if (twav15s[size - 1 - shift] - twav15s[size - 1] >= meanfullStep)
+                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] >= meanfullStep)
                             {
                                 res |= TradingEvent.LongOpen;
                                 res |= TradingEvent.ShortClose;
@@ -64,9 +75,9 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
                         }
 
                         // если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
-                        if (twav15s[size - 1] <= twav120s[size - 1] && twav15s[size - 2] > twav120s[size - 2])
+                        if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
                         {
-                            if (twav15s[size - 1 - shift] - twav15s[size - 1] <= -meanfullStep)
+                            if (pricesForFinalComparison[size - 1 - shift] - pricesForFinalComparison[size - 1] <= -meanfullStep)
                             {
                                 res |= TradingEvent.LongClose;
                                 res |= TradingEvent.ShortOpen;

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

@@ -21,8 +21,8 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             var lastPriceTime = times[times.Length - 1];
             var intervalEnd = lastPriceTime - timeShift;
             var intervalStart = intervalEnd - timeSpan;
-            var max = float.MinValue;
-            var min = float.MaxValue;
+            var max = decimal.MinValue;
+            var min = decimal.MaxValue;
 
             var intervaEndIndex = -1;
             var intervaStartIndex = -1;
@@ -69,18 +69,18 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return res;
         }
 
-        internal static bool CheckStable(this PeriodPricesInfoDto data, float meanfullDiff)
+        internal static bool CheckStable(this PeriodPricesInfoDto data, decimal meanfullDiff)
         {
             meanfullDiff = System.Math.Abs(meanfullDiff);
-            return data.Success && System.Math.Abs(data.PeriodDiff) < 1.5 * meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 2 * meanfullDiff;
+            return data.Success && System.Math.Abs(data.PeriodDiff) < 1.5m * meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 2 * meanfullDiff;
         }
 
-        internal static bool CheckGrowing(this PeriodPricesInfoDto data, float meanfullDiff)
+        internal static bool CheckGrowing(this PeriodPricesInfoDto data, decimal meanfullDiff)
         {
             return meanfullDiff > 0 && data.Success && data.PeriodDiff > meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * System.Math.Abs(data.PeriodDiff);
         }
 
-        internal static bool CheckFalling(this PeriodPricesInfoDto data, float meanfullDiff)
+        internal static bool CheckFalling(this PeriodPricesInfoDto data, decimal meanfullDiff)
         {
             meanfullDiff = -meanfullDiff;
             return meanfullDiff < 0 && data.Success && data.PeriodDiff < meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * System.Math.Abs(data.PeriodDiff);
@@ -88,20 +88,20 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
 
         internal static float CalcTrendRelationAbs(PeriodPricesInfoDto first, PeriodPricesInfoDto second)
         {
-            var k1 = System.Math.Abs(first.PeriodDiff) / System.Math.Abs(first.Period.TotalSeconds);
-            var k2 = System.Math.Abs(second.PeriodDiff) / System.Math.Abs(second.Period.TotalSeconds);
+            var k1 = System.Math.Abs(first.PeriodDiff) / System.Math.Abs((decimal)first.Period.TotalSeconds);
+            var k2 = System.Math.Abs(second.PeriodDiff) / System.Math.Abs((decimal)second.Period.TotalSeconds);
             if (k2 == 0 && k1 != 0) return 1000;
             return (float)(k1 / k2);
         }
         internal static float CalcTrendRelationAbs(TwoPeriodsResultDto data)
         {
-            var k1 = System.Math.Abs(data.DiffStart) / System.Math.Abs(data.PeriodStart.TotalSeconds);
-            var k2 = System.Math.Abs(data.DiffEnd) / System.Math.Abs(data.PeriodEnd.TotalSeconds);
+            var k1 = System.Math.Abs(data.DiffStart) / System.Math.Abs((decimal)data.PeriodStart.TotalSeconds);
+            var k2 = System.Math.Abs(data.DiffEnd) / System.Math.Abs((decimal)data.PeriodEnd.TotalSeconds);
             if (k2 == 0 && k1 != 0) return 1000;
             return (float)(k1 / k2);
         }
 
-        internal static bool CheckDowntrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool CheckDowntrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
             var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
@@ -121,7 +121,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return res;
         }
 
-        internal static bool CheckUptrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool CheckUptrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
             var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
@@ -141,7 +141,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return res;
         }
 
-        internal static bool CheckDowntrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool CheckDowntrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
             var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
@@ -156,7 +156,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return totalDiff.Success && (isStartStable || isStartGrows) && isEndFalls && trendRelation >= 2;
         }
 
-        internal static bool CheckUptrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool CheckUptrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
             var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
@@ -185,7 +185,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return res;
         }
 
-        internal static TwoPeriodsResultDto GetTwoPeriodsProcessingData(this (DateTime[] timestamps, float[] prices) data, TimeSpan shift, int shiftPointsStart, int shiftPointsEnd, TimeSpan firstPeriod, float meanfullDiff)
+        internal static TwoPeriodsResultDto GetTwoPeriodsProcessingData(this (DateTime[] timestamps, decimal[] prices) data, TimeSpan shift, int shiftPointsStart, int shiftPointsEnd, TimeSpan firstPeriod, decimal meanfullDiff)
         {
             var res = new TwoPeriodsResultDto(success: false, 0, 0, 0, 0, 0, TimeSpan.Zero, TimeSpan.Zero);
             var time = data.timestamps;
@@ -222,12 +222,12 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return res;
         }
 
-        public static bool CheckLongClose(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff, int pointsStart, int pointsEnd)
+        public static bool CheckLongClose(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int pointsStart, int pointsEnd)
         {
             var data = unit.GetData().Result;
             var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, pointsStart, pointsEnd, firstPeriod, meanfullDiff);
             var trendRelation = CalcTrendRelationAbs(periodStat);
-            var isStartOk = periodStat.Success && periodStat.DiffStart > 0 && periodStat.DiffStart > 1.5 * meanfullDiff;
+            var isStartOk = periodStat.Success && periodStat.DiffStart > 0 && periodStat.DiffStart > 1.5m * meanfullDiff;
             var isEndOk = periodStat.Success && periodStat.DiffEnd < meanfullDiff;
 
             if (isEndOk)
@@ -247,7 +247,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return isStartOk && isEndOk && data.prices[periodStat.End] - data.prices[periodStat.Start] >= meanfullDiff;
         }
 
-        internal static bool CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var data = unit.GetData().Result;
             var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, 15, 2, firstPeriod, meanfullDiff);
@@ -272,7 +272,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             return isStartOk && isEndOk;
         }
 
-        internal static bool _CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff)
+        internal static bool _CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
         {
             var data = unit.GetData().Result;
             var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, 15, 1, firstPeriod, meanfullDiff);
@@ -298,7 +298,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
         }
 
 
-        public static bool CheckLongOpen(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, float meanfullDiff, int pointsStart, int pointsEnd)
+        public static bool CheckLongOpen(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int pointsStart, int pointsEnd)
         {
             var data = unit.GetData().Result;
             var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, pointsStart, pointsEnd, firstPeriod, meanfullDiff);
@@ -325,14 +325,14 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
 
         public static TradingEvent Detect(IPriceHistoryCacheUnit data)
         {
-            float meanfullDiff;
+            decimal meanfullDiff;
             if (data.Figi == "BBG004730N88")
             {
-                meanfullDiff = 0.05f;
+                meanfullDiff = 0.05m;
             }
             else if (data.Figi == "FUTIMOEXF000")
             {
-                meanfullDiff = 1f;
+                meanfullDiff = 1m;
             }
             else
             {
@@ -352,7 +352,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
             }
             //var downtrendEnds = data.CheckDowntrendEnding(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(15), meanfullDiff);
 
-            var uptrendEnds = data.CheckLongClose(TimeSpan.FromSeconds(15), TimeSpan.FromSeconds(20), meanfullDiff * 1.5f, 8, 8);
+            var uptrendEnds = data.CheckLongClose(TimeSpan.FromSeconds(15), TimeSpan.FromSeconds(20), meanfullDiff * 1.5m, 8, 8);
             var uptrendEnds2 = data.CheckLongClose(TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(30), meanfullDiff, 15, 8);
             uptrendEnds |= uptrendEnds2;
             if (uptrendEnds)

KLHZ.Trader.Core.Tests/HistoryCacheUnit2Tests.cs

@@ -46,7 +46,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = 1;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count);
@@ -64,7 +64,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = 20;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count);
@@ -83,7 +83,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = PriceHistoryCacheUnit.CacheMaxLength;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count);
@@ -103,7 +103,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = PriceHistoryCacheUnit.CacheMaxLength + shift;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count - shift);
@@ -127,7 +127,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = PriceHistoryCacheUnit.CacheMaxLength + shift;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count - shift);
@@ -151,7 +151,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = PriceHistoryCacheUnit.CacheMaxLength + shift;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count - shift);
@@ -175,7 +175,7 @@ namespace KLHZ.Trader.Core.Tests
             var count = PriceHistoryCacheUnit.CacheMaxLength;
             var figi = "figi";
             var hist = GetHistory(count, figi);
-            var cacheUnit = new PriceHistoryCacheUnit2("", hist);
+            var cacheUnit = new PriceHistoryCacheUnit2(figi, hist);
             var data = cacheUnit.GetData().Result;
 
             Assert.That(data.prices.Length == count);
@@ -192,7 +192,7 @@ namespace KLHZ.Trader.Core.Tests
             cacheUnit.AddData(newData1);
 
             var data2 = cacheUnit.GetData().Result;
-            Assert.IsTrue(data2.prices[data2.prices.Length - 1] == (float)newData1.Value);
+            Assert.IsTrue(data2.prices[data2.prices.Length - 1] == newData1.Value);
             Assert.IsTrue(data2.timestamps[data2.timestamps.Length - 1] == newData1.Time);
 
             var newData2 = new PriceChange() { Figi = figi, Ticker = figi, Value = 100501, Time = DateTime.UtcNow };
@@ -200,7 +200,7 @@ namespace KLHZ.Trader.Core.Tests
             cacheUnit.AddData(newData2);
 
             var data3 = cacheUnit.GetData().Result;
-            Assert.IsTrue(data3.prices[data3.prices.Length - 1] == (float)newData2.Value);
+            Assert.IsTrue(data3.prices[data3.prices.Length - 1] == newData2.Value);
             Assert.IsTrue(data3.timestamps[data3.timestamps.Length - 1] == newData2.Time);
         }
 

KLHZ.Trader.Core.Tests/HistoryCacheUnitTests.cs

@@ -192,7 +192,7 @@ namespace KLHZ.Trader.Core.Tests
             cacheUnit.AddData(newData1);
 
             var data2 = cacheUnit.GetData().Result;
-            Assert.IsTrue(data2.prices[data2.prices.Length - 1] == (float)newData1.Value);
+            Assert.IsTrue(data2.prices[data2.prices.Length - 1] == newData1.Value);
             Assert.IsTrue(data2.timestamps[data2.timestamps.Length - 1] == newData1.Time);
 
             var newData2 = new PriceChange() { Figi = figi, Ticker = figi, Value = 100501, Time = DateTime.UtcNow };
@@ -200,7 +200,7 @@ namespace KLHZ.Trader.Core.Tests
             cacheUnit.AddData(newData2);
 
             var data3 = cacheUnit.GetData().Result;
-            Assert.IsTrue(data3.prices[data3.prices.Length - 1] == (float)newData2.Value);
+            Assert.IsTrue(data3.prices[data3.prices.Length - 1] == newData2.Value);
             Assert.IsTrue(data3.timestamps[data3.timestamps.Length - 1] == newData2.Time);
         }
     }

KLHZ.Trader.Core.Tests/HistoryProcessingInstrumentsTests.cs

@@ -6,7 +6,7 @@ namespace KLHZ.Trader.Core.Tests
 {
     public class HistoryProcessingInstrumentsTests
     {
-        private static PriceChange[] GetHistory(int count, string figi, DateTime startDt, float startValue, float step)
+        private static PriceChange[] GetHistory(int count, string figi, DateTime startDt, decimal startValue, decimal step)
         {
             var res = new PriceChange[count];
             if (count != 0)
@@ -21,7 +21,7 @@ namespace KLHZ.Trader.Core.Tests
                         Ticker = figi + "_ticker",
                         Id = i,
                         Time = startDt,
-                        Value = (decimal)startValue,
+                        Value = startValue,
                     };
                 }
             }
@@ -68,7 +68,7 @@ namespace KLHZ.Trader.Core.Tests
             var figi = "figi";
             var startDate = new DateTime(2020, 1, 1, 1, 0, 0, DateTimeKind.Utc);
             var count = 100;
-            var step = 0.5f;
+            var step = 0.5m;
             var startValue = 10;
             var unit = new PriceHistoryCacheUnit(figi, GetHistory(count, figi, startDate, startValue, step));
 
@@ -102,7 +102,7 @@ namespace KLHZ.Trader.Core.Tests
             var figi = "figi";
             var startDate = new DateTime(2020, 1, 1, 1, 0, 0, DateTimeKind.Utc);
             var count = 100;
-            var step = 0.5f;
+            var step = 0.5m;
             var startValue = 10;
 
             var unit = new PriceHistoryCacheUnit(figi, GetHistory(count, figi, startDate, startValue, step));
@@ -137,7 +137,7 @@ namespace KLHZ.Trader.Core.Tests
             var figi = "figi";
             var startDate = new DateTime(2020, 1, 1, 1, 0, 0, DateTimeKind.Utc);
             var count = 100;
-            var step = -0.5f;
+            var step = -0.5m;
             var startValue = 10;
 
             var unit = new PriceHistoryCacheUnit(figi, GetHistory(count, figi, startDate, startValue, step));
@@ -172,7 +172,7 @@ namespace KLHZ.Trader.Core.Tests
             var figi = "figi";
             var startDate = new DateTime(2020, 1, 1, 1, 0, 0, DateTimeKind.Utc);
             var count = 100;
-            var step = -0.5f;
+            var step = -0.5m;
             var startValue = 10;
 
             var unit = new PriceHistoryCacheUnit(figi, GetHistory(count, figi, startDate, startValue, step));
@@ -207,7 +207,7 @@ namespace KLHZ.Trader.Core.Tests
             var figi = "figi";
             var startDate = new DateTime(2020, 1, 1, 1, 0, 0, DateTimeKind.Utc);
             var count = 100;
-            var step = -0.5f;
+            var step = -0.5m;
             var startValue = 10;
 
             var unit = new PriceHistoryCacheUnit(figi, GetHistory(count, figi, startDate, startValue, step));

KLHZ.Trader.Core.Tests/LinesProcessingTest.cs

@@ -10,11 +10,11 @@ namespace KLHZ.Trader.Core.Tests
             var time2 = DateTime.UtcNow;
             var time1 = time2.AddSeconds(-20);
 
-            var val1_1 = 0.5f;
-            var val1_2 = -0.5f;
+            var val1_1 = 0.5m;
+            var val1_2 = -0.5m;
 
-            var val2_1 = -0.5f;
-            var val2_2 = 0.5f;
+            var val2_1 = -0.5m;
+            var val2_2 = 0.5m;
 
             Assert.IsTrue(Lines.IsLinesCrossing(time1, time2, val1_1, val1_2, val2_1, val2_2));
         }
@@ -25,11 +25,11 @@ namespace KLHZ.Trader.Core.Tests
             var time2 = DateTime.UtcNow;
             var time1 = time2.AddSeconds(-20);
 
-            var val1_1 = 0.5f;
-            var val1_2 = -0.5f;
+            var val1_1 = 0.5m;
+            var val1_2 = -0.5m;
 
-            var val2_1 = 0.5f;
-            var val2_2 = -0.5f;
+            var val2_1 = 0.5m;
+            var val2_2 = -0.5m;
 
             Assert.IsFalse(Lines.IsLinesCrossing(time1, time2, val1_1, val1_2, val2_1, val2_2));
         }

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

@@ -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())
             {
@@ -214,8 +210,12 @@ 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)
                 {
+                    try
+                    {
+                        using var context = await _dbContextFactory.CreateDbContextAsync();
+                        context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
                         lastWrite = DateTime.UtcNow;
                         if (orderbookItemsBuffer.Count > 0)
                         {
@@ -234,6 +234,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
                         }
                         await context.SaveChangesAsync();
                     }
+                    catch (Exception ex)
+                    {
+                        _logger.LogError(ex, "Ошибка при сохранении данных биржи.");
+                    }
+                }
             }
         }
 

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

@@ -98,7 +98,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
             _dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
             _ = ProcessPrices();
             _ = ProcessOrdersbooks();
-            _ = BackgroundWorker();
         }
 
         private async Task InitStops()
@@ -119,86 +118,126 @@ 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")
+                        {
+                            if (unit.Length < 100)
+                            {
+                                continue;
+                            }
 
-                //        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.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,
-                //            });
-                //        }
+                            var result = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, 100,15,120);
+                            if ((result & TradingEvent.StopBuy) == TradingEvent.StopBuy)
+                            {
+                                var stopTo = (message.IsHistoricalData?message.Time: 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.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.LongOpen) == TradingEvent.LongOpen
+                                && ((unit.BidsCount / unit.AsksCount) > 0.5m))
+                            {
+                                if (BuyStops.TryGetValue(message.Figi, out var dt))
+                                {
+                                    if (dt > (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
+                                    {
+                                        continue;
+                                    }
+                                    else
+                                    {
+                                        BuyStops.TryRemove(message.Figi, out _);
+                                    }
+                                }
 
-                //        using var context = await _dbContextFactory.CreateDbContextAsync();
-                //        context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
+                                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,
+                                });
+                            }
 
-                //        await context.AddRangeAsync(declisionsForSave);
-                //        await context.SaveChangesAsync();
-                //    }
-                //}
+                            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.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,
+                                });
+                            }
+
+                            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,
+                                });
+                            }
+
+                            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 +255,6 @@ 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();