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Author SHA1 Message Date
vlad zverzhkhovskiy ac7c985019 фиксация
test / deploy_trader_prod (push) Successful in 2m41s Details
2025-09-24 14:45:16 +03:00
vlad zverzhkhovskiy 3afd839265 фиксаиця 2025-09-24 14:23:24 +03:00
5 changed files with 83 additions and 38 deletions
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1
KLHZ.Trader.Core.Math/Declisions/Dtos/FFT/FFTAnalyzeResult.cs
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@ -9,6 +9,7 @@
public decimal Mediana { get; init; }
public decimal Upper30Decil { get; init; }
public decimal Lower20Decil { get; init; }
public int Length { get; init; }
public DateTime LastTime { get; init; }
public DateTime StartTime { get; init; }
public bool IsEmpty => this == Empty;

43
KLHZ.Trader.Core.Math/Declisions/Utils/FFT.cs
View File

@ -2,6 +2,7 @@
using KLHZ.Trader.Core.Math.Declisions.Dtos.FFT.Enums;
using MathNet.Numerics;
using MathNet.Numerics.IntegralTransforms;
using static System.Runtime.InteropServices.JavaScript.JSType;
namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
@ -51,6 +52,48 @@ namespace KLHZ.Trader.Core.Math.Declisions.Utils
Lower20Decil = newValues[(int)(newValues.Length * 0.2)],
Max = newValues.Max(),
Min = newValues.Min(),
Length = values.Length,
};
}
public static FFTAnalyzeResult ReAnalyze(FFTAnalyzeResult result, string key, TimeSpan minPeriod, TimeSpan maxPeriod)
{
var tmp = new List<Harmonic>();
for (int i = 0; i < result.Harmonics.Length; i++)
{
var per = CaclHarmonycPeriod(result.LastTime - result.StartTime, result.Length, i);
if (per >= minPeriod && per <= maxPeriod)
{
tmp.Add(result.Harmonics[i]);
}
}
var harms = tmp.ToArray();
var newValues = new decimal[result.Length];
var newValues2 = new decimal[result.Length];
var time = result.StartTime;
var dt = (result.LastTime - result.StartTime).TotalSeconds / result.Length;
for (int i = 0; i < result.Length; i++)
{
var currentTime = time.AddSeconds(i* dt);
newValues[i] = (decimal)CalcAmplitude(harms, result.StartTime, currentTime);
newValues2[i] = (decimal)CalcExtremum(harms, result.StartTime, currentTime);
}
newValues = newValues.Order().ToArray();
var ma = newValues2.Max();
var mi = newValues2.Min();
return new FFTAnalyzeResult()
{
Key = key,
Harmonics = harms,
LastTime = result.LastTime,
StartTime = result.StartTime,
Mediana = newValues[newValues.Length / 2],
Upper30Decil = newValues[(int)(newValues.Length * 0.7)],
Lower20Decil = newValues[(int)(newValues.Length * 0.2)],
Max = newValues.Max(),
Min = newValues.Min(),
};
}

6
KLHZ.Trader.Core/Exchange/Constants.cs
View File

@ -15,8 +15,8 @@
internal const decimal PowerUppingCoefficient = 1.69m;
internal const decimal UppingCoefficient = 1.3m;
internal const decimal LowingCoefficient = .77m;
internal const decimal PowerLowingCoefficient = .6m;
internal const decimal BlockingCoefficient = 0.1m;
internal const decimal LowingCoefficient = .76m;
internal const decimal PowerLowingCoefficient = .59m;
internal const decimal BlockingCoefficient = 0m;
}
}

55
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -21,7 +21,6 @@ using System.Collections.Concurrent;
using System.Collections.Immutable;
using System.Security.Cryptography;
using System.Threading.Channels;
using Telegram.Bot.Types;
using Tinkoff.InvestApi;
using Asset = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.Asset;
using AssetType = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.AssetType;
@ -118,8 +117,10 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (data.isFullIntervalExists)
{
var interpolatedData = SignalProcessing.InterpolateData(data.timestamps, data.prices, TimeSpan.FromSeconds(5));
fft = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi, TimeSpan.FromMinutes(3), TimeSpan.FromMinutes(40));
var fftFull = FFT.Analyze(interpolatedData.timestamps, interpolatedData.values, message.Figi+"_full", TimeSpan.FromSeconds(15), TimeSpan.FromHours(24));
fft = FFT.ReAnalyze(fftFull, message.Figi, TimeSpan.FromMinutes(3), TimeSpan.FromMinutes(40));
await _tradeDataProvider.SetFFtResult(fft);
await _tradeDataProvider.SetFFtResult(fftFull);
}
}
else
@ -308,11 +309,11 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
if (newMod == TradingMode.Growing && newMod != oldMod && !LongOpeningStops.ContainsKey(message.Figi))
{
changeMods[TradingEvent.UptrendStart] = Constants.PowerUppingCoefficient;
//changeMods[TradingEvent.UptrendStart] = Constants.PowerUppingCoefficient;
}
if (newMod == TradingMode.Dropping && newMod != oldMod && !ShortOpeningStops.ContainsKey(message.Figi))
{
changeMods[TradingEvent.DowntrendStart] = Constants.PowerUppingCoefficient;
//changeMods[TradingEvent.DowntrendStart] = Constants.PowerUppingCoefficient;
}
TradingModes[message.Figi] = newMod;
if (oldMod != newMod)
@ -383,7 +384,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
private async Task<Dictionary<TradingEvent, decimal>> GetWindowAverageStartData((DateTime[] timestamps, decimal[] prices) data, int smallWindow, int bigWindow,
INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m, decimal initValue = 1)
INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
{
var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean2(data.timestamps, data.prices,
windowMaxSize, smallWindow, bigWindow, uptrendStartingDetectionMeanfullStep, uptrendEndingDetectionMeanfullStep);
@ -397,13 +398,13 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
res[TradingEvent.UptrendEnd] = Constants.PowerLowingCoefficient;
if ((resultMoveAvFull.events & TradingEvent.UptrendStart) == TradingEvent.UptrendStart)
{
res[TradingEvent.UptrendStart] = initValue;
res[TradingEvent.DowntrendEnd] = initValue;
res[TradingEvent.UptrendStart] = Constants.PowerUppingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.PowerUppingCoefficient;
}
if ((resultMoveAvFull.events & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
{
res[TradingEvent.UptrendEnd] = initValue;
res[TradingEvent.DowntrendStart] = initValue;
res[TradingEvent.UptrendEnd] = Constants.PowerUppingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.PowerUppingCoefficient;
}
return res;
}
@ -520,7 +521,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
return;
}
//var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, -2m, 2m,3);
var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0m, 0.5m, 2*Constants.PowerUppingCoefficient);
var resTask1 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0m, 0.5m);
//var resTask3 = GetWindowAverageStartData(data, 30, 180, message, windowMaxSize, 0, 0,0.7m);
var getFFTModsTask = GetFFTMods(message);
//var getAreasModsTask = GetAreasMods(data, message);
@ -539,9 +540,9 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
//result = MergeResults(result, resTask2.Result.ToImmutableDictionary());
//result = MergeResults(result, resTask3.Result.ToImmutableDictionary());
result = MergeResultsMax(result, changeModeData);
result = MergeResultsMult(result, getFFTModsTask.Result);
////result = MergeResults(result, getAreasModsTask.Result);
result = MergeResultsMult(result, getSellsDiffsModsTask.Result);
//result = MergeResultsMult(result, getFFTModsTask.Result);
//////result = MergeResults(result, getAreasModsTask.Result);
//result = MergeResultsMult(result, getSellsDiffsModsTask.Result);
result = MergeResultsMult(result, getTradingModeModsTask.Result);
if (result[TradingEvent.UptrendStart] > Constants.UppingCoefficient
@ -565,7 +566,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
await LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Value + stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
await LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Value - stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
}
if (result[TradingEvent.DowntrendStart] > Constants.PowerUppingCoefficient
if (result[TradingEvent.DowntrendStart] > Constants.UppingCoefficient
&& !ShortOpeningStops.ContainsKey(message.Figi)
&& state == ExchangeState.Open
)
@ -725,6 +726,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
if (!largeData.isFullIntervalExists && smallData.isFullIntervalExists)
{
largeData = await _tradeDataProvider.GetData(figi, TimeSpan.FromMinutes(30));
smallData = await _tradeDataProvider.GetData(figi, TimeSpan.FromMinutes(10));
}
if (!largeData.isFullIntervalExists && smallData.isFullIntervalExists)
{
@ -810,11 +812,10 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
var res = GetInitDict(1);
var position = await CheckHarmonicPosition(message);
if (position == ValueAmplitudePosition.LowerThenMediana)
{
//res[TradingEvent.UptrendStart] = Constants.UppingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.PowerUppingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.UppingCoefficient;
//res[TradingEvent.UptrendEnd] = Constants.LowingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.BlockingCoefficient;
}
@ -823,7 +824,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
res[TradingEvent.UptrendStart] = Constants.BlockingCoefficient;
//res[TradingEvent.DowntrendEnd] = Constants.LowingCoefficient;
//res[TradingEvent.UptrendEnd] = Constants.UppingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.PowerUppingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.UppingCoefficient;
}
return res.ToImmutableDictionary();
}
@ -890,8 +891,8 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
{
uptrendStartMode *= Constants.UppingCoefficient;
downstartMode *= Constants.UppingCoefficient;
uptrendEndMode *=Constants.BlockingCoefficient;
downtrendEndMode *= Constants.BlockingCoefficient;
uptrendEndMode *= Constants.LowingCoefficient;
downtrendEndMode *= Constants.LowingCoefficient;
}
//else if (System.Math.Abs(bys_rel) <= 0.2m && System.Math.Abs(sells_rel) <= 0.2m)
//{
@ -920,23 +921,23 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
}
if (mode == TradingMode.Growing)
{
res[TradingEvent.UptrendEnd] = Constants.PowerLowingCoefficient;
res[TradingEvent.UptrendStart] = 10;
res[TradingEvent.UptrendEnd] = Constants.LowingCoefficient;
res[TradingEvent.UptrendStart] = Constants.UppingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.BlockingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.PowerUppingCoefficient;
}
if (mode == TradingMode.Stable)
{
res[TradingEvent.UptrendEnd] = 1;
//res[TradingEvent.UptrendStart] = Constants.UppingCoefficient;
//res[TradingEvent.UptrendEnd] = 1;
res[TradingEvent.UptrendStart] = Constants.LowingCoefficient;
//res[TradingEvent.DowntrendEnd] = Constants.UppingCoefficient;
// res[TradingEvent.DowntrendStart] = Constants.BlockingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.LowingCoefficient;
}
if (mode == TradingMode.SlowDropping)
{
//res[TradingEvent.UptrendEnd] = Constants.PowerUppingCoefficient;
//res[TradingEvent.UptrendStart] = Constants.PowerLowingCoefficient;
//res[TradingEvent.DowntrendStart] = Constants.UppingCoefficient;
res[TradingEvent.UptrendStart] = Constants.LowingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.UppingCoefficient;
//res[TradingEvent.DowntrendEnd] = Constants.UppingCoefficient;
}
if (mode == TradingMode.Dropping)
@ -944,7 +945,7 @@ INewPrice message, int windowMaxSize, decimal uptrendStartingDetectionMeanfullSt
res[TradingEvent.UptrendEnd] = Constants.PowerUppingCoefficient;
res[TradingEvent.UptrendStart] = Constants.BlockingCoefficient;
res[TradingEvent.DowntrendStart] = Constants.UppingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.PowerLowingCoefficient;
res[TradingEvent.DowntrendEnd] = Constants.LowingCoefficient;
}
return Task.FromResult(res.ToImmutableDictionary());
}

4
KLHZ.Trader.Service/Controllers/PlayController.cs
View File

@ -34,8 +34,8 @@ namespace KLHZ.Trader.Service.Controllers
//var figi1 = "BBG004730N88";
var figi2 = "BBG004730N88";
//var figi2 = "FUTIMOEXF000";
//var time1 = DateTime.UtcNow.AddDays(-shift ?? -7).Date;
var time1 = new DateTime(2025, 9, 24, 7, 00, 0, DateTimeKind.Utc);
var time1 = DateTime.UtcNow.AddDays(-shift ?? -7).Date;
//var time1 = new DateTime(2025, 9, 24, 7, 00, 0, DateTimeKind.Utc);
//var time2 = DateTime.UtcNow.AddMinutes(18);
using var context1 = await _dbContextFactory.CreateDbContextAsync();
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;