Фиксы багов купли продажи по решению

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

@@ -21,7 +21,7 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
         internal static TradingEvent CheckUptrendStart(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
         {
             var periodStat = GetTwoPeriodsProcessingData(times, prices, firstPeriod, secondPeriod, boundIndex, meanfullDiff);
-            var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
+            var isStartOk = periodStat.Success && periodStat.DiffStart < 0.5m * meanfullDiff;
             var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
             return isStartOk && isEndOk && prices[periodStat.Start] - prices[periodStat.End] >= meanfullDiff ? TradingEvent.UptrendStart : TradingEvent.None;
         }

KLHZ.Trader.Core.Tests/KLHZ.Trader.Core.Tests.csproj

@@ -12,6 +12,7 @@
   <ItemGroup>
     <PackageReference Include="coverlet.collector" Version="6.0.0" />
     <PackageReference Include="Microsoft.NET.Test.Sdk" Version="17.8.0" />
+    <PackageReference Include="NSubstitute" Version="5.3.0" />
     <PackageReference Include="NUnit" Version="3.14.0" />
     <PackageReference Include="NUnit.Analyzers" Version="3.9.0" />
     <PackageReference Include="NUnit3TestAdapter" Version="4.5.0" />

KLHZ.Trader.Core.Tests/TraderTests.cs

@@ -0,0 +1,92 @@
+using KLHZ.Trader.Core.Exchange.Models.AssetsAccounting;
+
+namespace KLHZ.Trader.Core.Tests
+{
+    public class TraderTests
+    {
+        [Test]
+        public void IsBuyAllowedTest1()
+        {
+
+            var account = new ManagedAccount("111");
+            account.Total = 10000;
+            account.Balance = 9000;
+            account.Assets["123"] = new Asset()
+            {
+                AccountId = account.AccountId,
+                Figi = "123",
+                Ticker = "123",
+                Type = AssetType.Futures,
+            };
+            Assert.IsTrue(KLHZ.Trader.Core.Exchange.Services.Trader.IsBuyAllowed(account, 3000, 1, 0.5m, 0.3m));
+        }
+
+        [Test]
+        public void IsBuyAllowedTest2()
+        {
+
+            var account = new ManagedAccount("111");
+            account.Total = 10000;
+            account.Balance = 5000;
+            account.Assets["123"] = new Asset()
+            {
+                AccountId = account.AccountId,
+                Figi = "123",
+                Ticker = "123",
+                Type = AssetType.Futures,
+            };
+            Assert.IsFalse(KLHZ.Trader.Core.Exchange.Services.Trader.IsBuyAllowed(account, 3000, 1, 0.5m, 0.3m));
+        }
+
+        [Test]
+        public void IsBuyAllowedTest3()
+        {
+
+            var account = new ManagedAccount("111");
+            account.Total = 10000;
+            account.Balance = 5000;
+            account.Assets["123"] = new Asset()
+            {
+                AccountId = account.AccountId,
+                Figi = "123",
+                Ticker = "123",
+                Type = AssetType.Futures,
+            };
+            Assert.IsFalse(KLHZ.Trader.Core.Exchange.Services.Trader.IsBuyAllowed(account, 1500, 2, 0.5m, 0.3m));
+        }
+
+        [Test]
+        public void IsBuyAllowedTest4()
+        {
+
+            var account = new ManagedAccount("111");
+            account.Total = 10000;
+            account.Balance = 3000;
+            account.Assets["123"] = new Asset()
+            {
+                AccountId = account.AccountId,
+                Figi = "123",
+                Ticker = "123",
+                Type = AssetType.Futures,
+            };
+            Assert.IsFalse(KLHZ.Trader.Core.Exchange.Services.Trader.IsBuyAllowed(account, 1500, 1, 0.5m, 0.3m));
+        }
+
+        [Test]
+        public void IsBuyAllowedTest5()
+        {
+
+            var account = new ManagedAccount("111");
+            account.Total = 10000;
+            account.Balance = 5000;
+            account.Assets["123"] = new Asset()
+            {
+                AccountId = account.AccountId,
+                Figi = "123",
+                Ticker = "123",
+                Type = AssetType.Common,
+            };
+            Assert.IsTrue(KLHZ.Trader.Core.Exchange.Services.Trader.IsBuyAllowed(account, 3000, 1, 0.5m, 0.1m));
+        }
+    }
+}

KLHZ.Trader.Core/Common/BotModeSwitcher.cs

@@ -1,42 +1,42 @@
 namespace KLHZ.Trader.Core.Common
 {
-    public class BotModeSwitcher
+    public static class BotModeSwitcher
     {
-        private readonly object _locker = new();
-        private bool _canSell = true;
-        private bool _canPurchase = true;
+        private readonly static object _locker = new();
+        private static bool _canSell = false;
+        private static bool _canPurchase = false;
 
-        public bool CanSell()
+        public static bool CanSell()
         {
             lock (_locker)
                 return _canSell;
         }
 
-        public bool CanPurchase()
+        public static bool CanPurchase()
         {
             lock (_locker)
                 return _canPurchase;
         }
 
-        public void StopSelling()
+        public static void StopSelling()
         {
             lock (_locker)
                 _canSell = false;
         }
 
-        public void StopPurchase()
+        public static void StopPurchase()
         {
             lock (_locker)
                 _canPurchase = false;
         }
 
-        public void StartSelling()
+        public static void StartSelling()
         {
             lock (_locker)
                 _canSell = true;
         }
 
-        public void StartPurchase()
+        public static void StartPurchase()
         {
             lock (_locker)
                 _canPurchase = true;

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

@@ -61,7 +61,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                 if (_instrumentsFigis.Contains(future.Figi))
                 {
                     _tickersCache.TryAdd(future.Figi, future.Ticker);
-                    _assetTypesCache.TryAdd(future.Figi, AssetType.Common);
+                    _assetTypesCache.TryAdd(future.Figi, AssetType.Futures);
                 }
             }
 

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

@@ -1,6 +1,7 @@
 using KLHZ.Trader.Core.Common;
 using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
 using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
+using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
 using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
 using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
 using KLHZ.Trader.Core.DataLayer;
@@ -27,12 +28,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
     public class Trader : IHostedService
     {
         private readonly IDataBus _dataBus;
-        private readonly BotModeSwitcher _botModeSwitcher;
         private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
         private readonly TradeDataProvider _tradeDataProvider;
         private readonly ILogger<Trader> _logger;
-        private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongOpens = new();
-        private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongCloses = new();
+        internal readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongOpens = new();
+        internal readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongCloses = new();
         private readonly ConcurrentDictionary<string, DateTime> OpeningStops = new();
         private readonly ConcurrentDictionary<string, InstrumentSettings> Leverages = new();
         private readonly ConcurrentDictionary<string, IPriceHistoryCacheUnit> _historyCash = new();
@@ -43,7 +43,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
         private readonly decimal _shareComission;
         private readonly decimal _accountCashPart;
         private readonly decimal _accountCashPartFutures;
-        private readonly decimal _defaultBuyPartOfAccount;
         private readonly string[] _tradingInstrumentsFigis = [];
 
         private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
@@ -51,8 +50,6 @@ namespace KLHZ.Trader.Core.Exchange.Services
         private readonly CancellationTokenSource _cts = new();
         public Trader(
             ILogger<Trader> logger,
-            BotModeSwitcher botModeSwitcher,
-            IServiceProvider provider,
             IOptions<ExchangeConfig> options,
             IDataBus dataBus,
             IDbContextFactory<TraderDbContext> dbContextFactory,
@@ -61,14 +58,12 @@ namespace KLHZ.Trader.Core.Exchange.Services
         {
             _tradeDataProvider = tradeDataProvider;
             _logger = logger;
-            _botModeSwitcher = botModeSwitcher;
             _dataBus = dataBus;
             _dbContextFactory = dbContextFactory;
             _futureComission = options.Value.FutureComission;
             _shareComission = options.Value.ShareComission;
             _accountCashPart = options.Value.AccountCashPart;
             _accountCashPartFutures = options.Value.AccountCashPartFutures;
-            _defaultBuyPartOfAccount = options.Value.DefaultBuyPartOfAccount;
             _tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
             _buyStopLength = (double)options.Value.StopBuyLengthMinuts;
 
@@ -125,7 +120,31 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                     DeferredLongOpens.TryRemove(message.Figi, out _);
                                     if (message.Value - longOpen.Price < 1)
                                     {
-                                        LogDeclision(declisionsForSave, DeclisionTradeAction.OpenLong, message);
+                                        if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
+                                        {
+                                            var accounts = _tradeDataProvider.Accounts
+                                                .Where(a => !a.Value.Assets.ContainsKey(message.Figi))
+                                                .ToArray();
+                                            foreach (var acc in accounts)
+                                            {
+                                                if (IsBuyAllowed(acc.Value, message.Value, 1, _accountCashPartFutures, _accountCashPart))
+                                                {
+                                                    await _dataBus.Broadcast(new TradeCommand()
+                                                    {
+                                                        AccountId = acc.Value.AccountId,
+                                                        Figi = message.Figi,
+                                                        CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketBuy,
+                                                        Count = 1,
+                                                        RecomendPrice = null,
+                                                    });
+                                                    LogDeclision(declisionsForSave, DeclisionTradeAction.OpenLong, message);
+                                                }
+                                            }
+                                        }
+                                        else
+                                        {
+                                            LogDeclision(declisionsForSave, DeclisionTradeAction.OpenLong, message);
+                                        }
                                     }
                                 }
                             }
@@ -139,7 +158,45 @@ namespace KLHZ.Trader.Core.Exchange.Services
                                     DeferredLongCloses.TryRemove(message.Figi, out _);
                                     if (longClose.Price - message.Value < 1)
                                     {
-                                        LogDeclision(declisionsForSave, DeclisionTradeAction.CloseLong, message);
+                                        var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
+                                        if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
+                                        {
+                                            var assetsForClose = _tradeDataProvider.Accounts
+                                                .SelectMany(a => a.Value.Assets.Values)
+                                                .Where(a => a.Figi == message.Figi && a.Count > 0)
+                                                .ToArray();
+                                            foreach (var asset in assetsForClose)
+                                            {
+                                                var profit = 0m;
+
+                                                if (assetType == AssetType.Common && asset.Count > 0)
+                                                {
+                                                    profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
+                                                        GetComission(assetType), 1, false);
+                                                }
+                                                if (assetType == AssetType.Futures)
+                                                {
+                                                    profit = TradingCalculator.CaclProfit(asset.BoughtPrice, message.Value,
+                                                        GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
+                                                }
+                                                if (profit > 0)
+                                                {
+                                                    await _dataBus.Broadcast(new TradeCommand()
+                                                    {
+                                                        AccountId = asset.AccountId,
+                                                        Figi = message.Figi,
+                                                        CommandType = Contracts.Messaging.Dtos.Enums.TradeCommandType.MarketSell,
+                                                        Count = (long)asset.Count,
+                                                        RecomendPrice = null,
+                                                    });
+                                                    LogDeclision(declisionsForSave, DeclisionTradeAction.CloseLong, message);
+                                                }
+                                            }
+                                        }
+                                        else
+                                        {
+                                            LogDeclision(declisionsForSave, DeclisionTradeAction.CloseLong, message);
+                                        }
                                     }
                                 }
                             }
@@ -149,6 +206,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             var state = ExchangeScheduler.GetCurrentState(message.Time);
 
                             if (state == ExchangeState.ClearingTime
+                                && !message.IsHistoricalData
                                 && data.timestamps.Length > 1
                                 && (data.timestamps[data.timestamps.Length - 1] - data.timestamps[data.timestamps.Length - 2]) > TimeSpan.FromMinutes(3))
                             {
@@ -174,15 +232,27 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 45, 180, 2.5m);
                             var resultLongClose = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 15, 120, 2.5m).events;
 
-                            var uptrendStarts = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(15), 2m, 10);
+                            var uptrendStarts = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(20), 1.5m, 15);
                             //var uptrendStarts2 = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(3), 1.5m, 2);
 
 
                             res |= (uptrendStarts & TradingEvent.UptrendStart);
-                            //res |= (uptrendStarts2 & TradingEvent.UptrendStart);
-                            //res |= downtrendEnds;
                             res |= resultLongClose;
                             res |= resultMoveAvFull.events;
+
+                            //res = TradingEvent.None;
+
+                            //if (!stopBuy &&RandomNumberGenerator.GetInt32(100) < 20)
+                            //{
+                            //    res |= TradingEvent.UptrendStart;
+                            //}
+                            //else if (!stopSell && (RandomNumberGenerator.GetInt32(100) < 20))
+                            //{
+                            //    res |= TradingEvent.UptrendEnd;
+                            //}
+
+
+
                             if (resultMoveAvFull.bigWindowAv != 0)
                             {
                                 LogPrice(processedPrices, message, bigWindowProcessor, resultMoveAvFull.bigWindowAv);
@@ -190,7 +260,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
                             }
                             if ((resultLongClose & TradingEvent.StopBuy) == TradingEvent.StopBuy)
                             {
-                                var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength);
+                                var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength / 2);
                                 OpeningStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
                                 //LogDeclision(declisionsForSave, DeclisionTradeAction.StopBuy, message);
                             }
@@ -333,52 +403,32 @@ namespace KLHZ.Trader.Core.Exchange.Services
             }
         }
 
-        private decimal CalcProfit(string accountId, string figi, decimal closePrice)
+        private decimal GetLeverage(string figi, bool isShort)
         {
-            if (_tradeDataProvider.Accounts.TryGetValue(accountId, out var account))
+            var res = 1m;
+            if (Leverages.TryGetValue(figi, out var leverage))
             {
-                if (account.Assets.TryGetValue(figi, out var asset))
-                {
-                    var leverageValue = 1m;
-                    var isShort = asset.Position == PositionType.Short;
-                    if (Leverages.TryGetValue(figi, out var leverage))
-                    {
-                        if (asset.Type == AssetType.Futures && !isShort)
-                        {
-                            leverageValue = leverage.LongLeverage;
-                        }
-                        else if (isShort)
-                        {
-                            leverageValue = leverage.ShortLeverage;
-                        }
-                    }
-                    return TradingCalculator.CaclProfit(asset.BoughtPrice, closePrice, GetComission(asset.Type), leverageValue, isShort);
-                }
+                res = isShort ? leverage.ShortLeverage : leverage.LongLeverage;
             }
-            return 0;
+            return res;
         }
 
-        private decimal GetCount(string accountId, decimal boutPrice)
+        internal static bool IsBuyAllowed(ManagedAccount account, decimal boutPrice, decimal count,
+            decimal accountCashPartFutures, decimal accountCashPart)
         {
-            var balance = _tradeDataProvider.Accounts[accountId].Balance;
-            return System.Math.Floor(balance * _defaultBuyPartOfAccount / boutPrice);
-        }
+            if (!BotModeSwitcher.CanPurchase()) return false;
 
-        private bool IsBuyAllowed(string accountId, decimal boutPrice, decimal count, bool needBigCash)
-        {
-            if (!_botModeSwitcher.CanPurchase()) return false;
+            var balance = account.Balance;
+            var total = account.Total;
 
-            var balance = _tradeDataProvider.Accounts[accountId].Balance;
-            var total = _tradeDataProvider.Accounts[accountId].Total;
-
-            var futures = _tradeDataProvider.Accounts[accountId].Assets.Values.FirstOrDefault(v => v.Type == AssetType.Futures);
-            if (futures != null || needBigCash)
+            var futures = account.Assets.Values.FirstOrDefault(v => v.Type == AssetType.Futures);
+            if (futures != null)
             {
-                if ((balance - boutPrice * count) / total < _accountCashPartFutures) return false;
+                if ((balance - boutPrice * count) / total < accountCashPartFutures) return false;
             }
             else
             {
-                if ((balance - boutPrice * count) / total < _accountCashPart) return false;
+                if ((balance - boutPrice * count) / total < accountCashPart) return false;
             }
 
             return true;

KLHZ.Trader.Core/Exchange/Utils/ExchangeScheduler.cs

@@ -10,11 +10,11 @@ namespace KLHZ.Trader.Core.Exchange.Utils
         private readonly static TimeOnly _openTimeHoliday = new(7, 10);
         private readonly static TimeOnly _closeTimeHoliday = new(17, 45);
 
-        private readonly static TimeOnly _firstClearingStart = new(10, 55);
+        private readonly static TimeOnly _firstClearingStart = new(10, 45);
         private readonly static TimeOnly _firstClearingEnd = new(11, 10);
 
-        private readonly static TimeOnly _mainClearingStart = new(15, 50);
-        private readonly static TimeOnly _mainClearingEnd = new(16, 5);
+        private readonly static TimeOnly _mainClearingStart = new(15, 45);
+        private readonly static TimeOnly _mainClearingEnd = new(16, 10);
 
         internal static ExchangeState GetCurrentState(DateTime? currentDt = null)
         {

KLHZ.Trader.Core/TG/Services/BotMessagesHandler.cs

@@ -15,13 +15,11 @@ namespace KLHZ.Trader.Core.TG.Services
     public class BotMessagesHandler : IUpdateHandler
     {
         private readonly ImmutableArray<long> _admins = [];
-        private readonly BotModeSwitcher _botModeSwitcher;
         private readonly IDataBus _eventBus;
         private readonly ILogger<BotMessagesHandler> _logger;
-        public BotMessagesHandler(BotModeSwitcher botModeSwitcher, IDataBus eventBus, IOptions<TgBotConfig> options, ILogger<BotMessagesHandler> logger)
+        public BotMessagesHandler(IDataBus eventBus, IOptions<TgBotConfig> options, ILogger<BotMessagesHandler> logger)
         {
             _logger = logger;
-            _botModeSwitcher = botModeSwitcher;
             _eventBus = eventBus;
             _admins = ImmutableArray.CreateRange(options.Value.Admins);
         }
@@ -52,25 +50,25 @@ namespace KLHZ.Trader.Core.TG.Services
                             }
                         case Constants.BotCommandsButtons.EnableSelling:
                             {
-                                _botModeSwitcher.StartSelling();
+                                BotModeSwitcher.StartSelling();
                                 await botClient.SendMessage(update.Message.Chat, "Продажи начаты!");
                                 break;
                             }
                         case Constants.BotCommandsButtons.DisableSelling:
                             {
-                                _botModeSwitcher.StopSelling();
+                                BotModeSwitcher.StopSelling();
                                 await botClient.SendMessage(update.Message.Chat, "Продажи остановлены!");
                                 break;
                             }
                         case Constants.BotCommandsButtons.EnablePurchases:
                             {
-                                _botModeSwitcher.StartPurchase();
+                                BotModeSwitcher.StartPurchase();
                                 await botClient.SendMessage(update.Message.Chat, "Покупки начаты!");
                                 break;
                             }
                         case Constants.BotCommandsButtons.DisablePurchases:
                             {
-                                _botModeSwitcher.StopPurchase();
+                                BotModeSwitcher.StopPurchase();
                                 await botClient.SendMessage(update.Message.Chat, "Покупки остановлены!");
                                 break;
                             }

KLHZ.Trader.Service/Program.cs

@@ -1,4 +1,3 @@
-using KLHZ.Trader.Core.Common;
 using KLHZ.Trader.Core.Common.Messaging.Services;
 using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
 using KLHZ.Trader.Core.DataLayer;
@@ -53,7 +52,6 @@ builder.Services.AddHostedService<TradingCommandsExecutor>();
 builder.Services.AddSingleton<IUpdateHandler, BotMessagesHandler>();
 
 builder.Services.AddSingleton<TradeDataProvider>();
-builder.Services.AddSingleton<BotModeSwitcher>();
 builder.Services.AddSingleton<IDataBus, DataBus>();
 
 for (int i = 0; i < 10; i++)