изменение стопов

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

@@ -1,4 +1,5 @@
-using System;
+using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
+using System;
 using System.Collections.Generic;
 using System.Linq;
 using System.Text;
@@ -8,6 +9,12 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
 {
     public static class Statistics
     {
+
+        public static decimal Mean(this CachedValue[] values)
+        {
+            return values.Sum(x => x.Value)/ values.Length;
+        }
+
         private static (decimal mean, decimal std) CaclSigma(decimal[] values)
         {
             var mean = values.Sum() / values.Length;

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

@@ -227,7 +227,8 @@ namespace KLHZ.Trader.Core.Exchange.Services
                         AsksCount = asks.Length,
                         BidsCount = asks.Length,
                     };
-                    await _tradeDataProvider.AddOrderbook(message);
+
+                    await _eventBus.Broadcast(message);
                 }
 
                 if (orderbookItemsBuffer.Count + pricesBuffer.Count > 100 || (DateTime.UtcNow - lastWrite).TotalSeconds > 5)

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

@@ -38,6 +38,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         private readonly ConcurrentDictionary<string, TradingEvent> LastTradingEvents = new();
         private readonly ConcurrentDictionary<string, TradingMode> TradingModes = new();
+        private readonly ConcurrentDictionary<string, IOrderbook> OrderBooks = new();
 
         private readonly ConcurrentDictionary<string, DateTime> LongOpeningStops = new();
         private readonly ConcurrentDictionary<string, DateTime> ShortOpeningStops = new();
@@ -55,6 +56,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
 
         private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
         private readonly Channel<ITradeCommand> _commands = Channel.CreateUnbounded<ITradeCommand>();
+        private readonly Channel<IOrderbook> _orderbooks = Channel.CreateUnbounded<IOrderbook>();
         public Trader(
             ILogger<Trader> logger,
             IOptions<ExchangeConfig> options,
@@ -86,9 +88,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
         public Task StartAsync(CancellationToken cancellationToken)
         {
             _dataBus.AddChannel(nameof(Trader), _pricesChannel);
-            //_dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
+            _dataBus.AddChannel(nameof(Trader), _orderbooks);
             _dataBus.AddChannel(nameof(Trader), _commands);
             _ = ProcessPrices();
+            _ = ProcessOrderbooks();
             _ = ProcessCommands();
             return Task.CompletedTask;
         }
@@ -246,6 +249,43 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
+        private async Task ProcessOrderbooks()
+        {
+            while (await _orderbooks.Reader.WaitToReadAsync())
+            {
+                var message = await _orderbooks.Reader.ReadAsync();
+                await _tradeDataProvider.AddOrderbook(message);
+
+                //if (OrderBooks.TryGetValue(message.Figi, out var oldMessage))
+                //{
+                //    if (message.Bids.Length > 0 && oldMessage.Bids.Length>0)
+                //    {
+                //        var val = message.Bids[0].Count - oldMessage.Bids[0].Count;
+                //        await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "dbids0", new Contracts.Declisions.Dtos.CachedValue()
+                //        {
+                //            Time = message.Time,
+                //            Value = val
+                //        });
+                //        if (val!=0)
+                //            await LogPrice(message.Figi, message.Ticker, message.Time, val, "bids0");
+                //    }
+                //    if (message.Asks.Length > 0 && oldMessage.Asks.Length > 0)
+                //    {
+                //        var val = message.Asks[0].Count - oldMessage.Asks[0].Count;
+                //        await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "dasks0", new Contracts.Declisions.Dtos.CachedValue()
+                //        {
+                //            Time = message.Time,
+                //            Value = val
+                //        });
+                //        if (val != 0)
+                //            await LogPrice(message.Figi, message.Ticker, message.Time, val, "asks0");
+                //    }
+                    
+                //}
+                OrderBooks[message.Figi] = message;
+            }
+        }
+
         private async Task ProcessPrices()
         {
             var pricesCache1 = new Dictionary<string, List<INewPrice>>();
@@ -600,9 +640,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
                 if (changemodes.Length > 1)
                 {
 
-                    await LogPrice(message, "changemode", changemodes[changemodes.Length - 1].Value - changemodes[changemodes.Length - 2].Value);
+                    await LogPrice(message, "changemode", changeModIndicator);
                 }
 
+                //var sells20 = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "2");
+                //var buys20 = await _tradeDataProvider.GetDataFrom20SecondsWindowCache(message.Figi, "1");
+
+                //if (sells20.Length>0)
+                //    await LogPrice(message.Figi, message.Ticker, message.Time, sells20.Sum(v => v.Value), "sells20");
+                //if (buys20.Length > 0)
+                //    await LogPrice(message.Figi, message.Ticker, message.Time, buys20.Sum(v => v.Value), "buys20");
                 //if (changemodes[changemodes.Length-1].Time - changemodes[0].Time > TimeSpan.FromMinutes(10))
                 //{
                 //    var diffs = SignalProcessing.CalcDiffs(changemodes.Select(c => c.Value).ToArray());
@@ -851,7 +898,7 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
             // result = MergeResultsMax(result, getLocalTrendsModsTask.Result);
             //result = MergeResultsMult(result, getFFTModsTask.Result);
             //result = MergeResultsMult(result, getSellsDiffsModsTask.Result);
-            //result = MergeResultsMult(result, getTradingModeModsTask.Result);
+            result = MergeResultsMult(result, getTradingModeModsTask.Result);
             result = MergeResultsMult(result, getSpeedResultantModsTask.Result);
 
             if (result[TradingEvent.UptrendStart] >= Constants.UppingCoefficient
@@ -970,6 +1017,18 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
             }, false);
         }
 
+        private async Task LogPrice(string figi, string ticker,DateTime time, decimal value, string processor)
+        {
+            await _tradeDataProvider.LogPrice(new ProcessedPrice()
+            {
+                Figi = figi,
+                Ticker = ticker,
+                Processor = processor,
+                Time = time,
+                Value = value,
+            }, false);
+        }
+
         private async Task LogDeclision(DeclisionTradeAction action, INewPrice message, decimal? profit = null)
         {
             await _tradeDataProvider.LogDeclision(new Declision()
@@ -1110,23 +1169,23 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
             {
                 case TradingMode.Stable:
                     {
-                        return (0.5m, -0.5m);
+                        return (-0.5m, 0.5m);
                     }
                 case TradingMode.Dropping:
                     {
-                        return (-1.5m, null); ;
+                        return (-1.5m, 0.5m); ;
                     }
                 case TradingMode.SlowDropping:
                     {
-                        return (-0.5m, null);
+                        return (-1m, 0.5m);
                     }
                 case TradingMode.SlowGrowing:
                     {
-                        return (null, 0.5m);
+                        return (-0.5m, 1m);
                     }
                 case TradingMode.Growing:
                     {
-                        return (null, 1.5m);
+                        return (-0.5m, 1.5m);
                     }
                 default:
                     {
@@ -1138,26 +1197,26 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
         private (decimal stopLoss, decimal takeProfit) GetStops(INewPrice message, PositionType type)
         {
             var mode = TradingModes[message.Figi];
-            decimal stopLossShift = 15;
+            decimal stopLossShift = 1.5m;
             decimal takeProfitShift = 6;
             if (mode == TradingMode.Growing && type == PositionType.Long)
             {
                 takeProfitShift = 15;
-                stopLossShift = 2;
+                //stopLossShift = 2;
             }
             if (mode == TradingMode.Growing && type == PositionType.Short)
             {
-                stopLossShift = 2;
+                //stopLossShift = 2;
-                takeProfitShift = 2;
+                takeProfitShift = 3m;
             }
             if (mode == TradingMode.Stable && type == PositionType.Long)
             {
-                takeProfitShift = 2.5m;
+                takeProfitShift = 3m;
             }
             if (mode == TradingMode.Stable && type == PositionType.Short)
             {
-                takeProfitShift = 2.5m;
+                takeProfitShift = 3m;
-                stopLossShift = 10;
+                //stopLossShift = 10;
             }
             if (mode == TradingMode.SlowDropping && type == PositionType.Short)
             {
@@ -1166,12 +1225,12 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
             if (mode == TradingMode.SlowDropping && type == PositionType.Long)
             {
                 takeProfitShift = 1.5m;
-                stopLossShift = 10;
+                //stopLossShift = 10;
             }
             if (mode == TradingMode.SlowGrowing && type == PositionType.Short)
             {
-                takeProfitShift = 1.5m;
+                //takeProfitShift = 2.5m;
-                stopLossShift = 10;
+                //stopLossShift = 10;
             }
             if (mode == TradingMode.SlowGrowing && type == PositionType.Long)
             {
@@ -1179,12 +1238,12 @@ INewPrice message, int windowMaxSize, decimal? uptrendStartingDetectionMeanfullS
             if (mode == TradingMode.Dropping && type == PositionType.Short)
             {
                 takeProfitShift = 15;
-                stopLossShift = 2;
+                //stopLossShift = 2;
             }
             if (mode == TradingMode.Dropping && type == PositionType.Long)
             {
-                stopLossShift = 2;
+                //stopLossShift = 2;
-                takeProfitShift = 1.5m;
+                takeProfitShift = 3m;
             }
             return (stopLossShift, takeProfitShift);
         }

KLHZ.Trader.Service/Controllers/PlayController.cs

@@ -42,7 +42,7 @@ namespace KLHZ.Trader.Service.Controllers
                 context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
 
 
-                while (time1 < DateTime.UtcNow.Date)
+                while (time1 < DateTime.UtcNow)
                 {
                     var data = new List<TimeSeriesData>();
                     var data2 = new List<TimeSeriesData>();
@@ -197,13 +197,27 @@ namespace KLHZ.Trader.Service.Controllers
                                 }
                             }
                         }
+                        else
+                        {
+                            var ob = data[i].Orderbook;
+                            if (ob != null)
+                            {
+                                var d = new TimeSeriesData()
+                                {
+                                    Figi = ob.Figi,
+                                    Orderbook = ob,
+                                    Time = ob.Time,
+                                };
+                                data2.Add(d);
+                            }
+                        }
                     }
 
                     foreach (var mess in data2)
                     {
                         if (mess.Orderbook != null)
                         {
-                            await _traderDataProvider.AddOrderbook(mess.Orderbook);
+                            await _dataBus.Broadcast(mess.Orderbook);
                         }
                         if (mess.NewPrice != null)
                         {