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Author SHA1 Message Date
vlad zverzhkhovskiy ab4375489a изменение стопов
test / deploy_trader_prod (push) Successful in 6m4s Details
2025-10-01 10:35:58 +03:00
vlad zverzhkhovskiy 69660230c2 изменение шагов 2025-10-01 10:31:55 +03:00
4 changed files with 106 additions and 25 deletions
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9
KLHZ.Trader.Core.Math/Declisions/Utils/Statistics.cs
View File

@ -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;

3
KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs
View File

@ -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)

101
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -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;
takeProfitShift = 2;
//stopLossShift = 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;
stopLossShift = 10;
takeProfitShift = 3m;
//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;
stopLossShift = 10;
//takeProfitShift = 2.5m;
//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;
takeProfitShift = 1.5m;
//stopLossShift = 2;
takeProfitShift = 3m;
}
return (stopLossShift, takeProfitShift);
}

18
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -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)
{