Compare commits

...

6 Commits
dev ... main

Author SHA1 Message Date
vlad zverzhkhovskiy 69cb165caf рефакторинг
test / deploy_trader_prod (push) Successful in 10m34s Details
2025-10-20 17:23:10 +03:00
vlad zverzhkhovskiy 4508e1f0df фиксация записи результатов экспериментов в новую таблицу
test / deploy_trader_prod (push) Has started running Details
2025-10-20 16:50:38 +03:00
vlad zverzhkhovskiy f49d4a9134 переход на секционированные стаканы
test / deploy_trader_prod (push) Successful in 8m4s Details
2025-10-20 16:32:32 +03:00
vlad zverzhkhovskiy 9a5fedb41c hotfix
test / deploy_trader_prod (push) Successful in 1m58s Details
2025-10-20 16:09:42 +03:00
vlad zverzhkhovskiy e3ad8b214a hotfix
test / deploy_trader_prod (push) Successful in 2m41s Details
2025-10-20 15:54:44 +03:00
vlad zverzhkhovskiy 61b98e88f7 переход на секционированную таблицу
test / deploy_trader_prod (push) Successful in 5m43s Details
2025-10-20 15:36:39 +03:00
13 changed files with 157 additions and 84 deletions

View File

@ -5,16 +5,16 @@ namespace KLHZ.Trader.Core.Tests
{
public class HistoryCacheUnit3Tests
{
private static PriceChange[] GetHistory(int count, string figi)
private static Trade[] GetHistory(int count, string figi)
{
var res = new PriceChange[count];
var res = new Trade[count];
if (count != 0)
{
var startDt = DateTime.UtcNow.AddSeconds(-count);
for (int i = 0; i < count; i++)
{
startDt = startDt.AddSeconds(1);
res[i] = new PriceChange()
res[i] = new Trade()
{
Figi = figi,
Ticker = figi + "_ticker",

View File

@ -3,43 +3,43 @@
public static class BotModeSwitcher
{
private readonly static object _locker = new();
private static bool _canSell = true;
private static bool _canPurchase = true;
private static bool _canClose = true;
private static bool _canOpen = false;
public static bool CanSell()
public static bool CanClose()
{
lock (_locker)
return _canSell;
return _canClose;
}
public static bool CanPurchase()
public static bool CanOpen()
{
lock (_locker)
return _canPurchase;
return _canOpen;
}
public static void StopSelling()
public static void StopClosing()
{
lock (_locker)
_canSell = false;
_canClose = false;
}
public static void StopPurchase()
public static void StopOpening()
{
lock (_locker)
_canPurchase = false;
_canOpen = false;
}
public static void StartSelling()
public static void StartClosing()
{
lock (_locker)
_canSell = true;
_canClose = true;
}
public static void StartPurchase()
public static void StartOpening()
{
lock (_locker)
_canPurchase = true;
_canOpen = true;
}
}
}

View File

@ -9,11 +9,15 @@
public const string DisableTrading = "Стоп торги";
public const string EnableTrading = "Старт торги";
public const string DisableSelling = "Выключить продажи";
public const string EnableSelling = "Включить продажи";
public const string DisableClosing = "Выключить продажи";
public const string DisableClosing2 = "Выключить закрытия";
public const string EnableClosing = "Включить продажи";
public const string EnableClosing2 = "Включить закрытия";
public const string DisablePurchases = "Выключить покупки";
public const string EnablePurchases = "Включить покупки";
public const string DisableOpening = "Выключить покупки";
public const string DisableOpening2 = "Выключить открытия";
public const string EnableOpening = "Включить покупки";
public const string EnableOpening2 = "Включить открытия";
}
}
}

View File

@ -4,8 +4,8 @@ using System.ComponentModel.DataAnnotations.Schema;
namespace KLHZ.Trader.Core.DataLayer.Entities.Orders
{
[Table("orderbook_items")]
public class OrderbookItem : IOrderbookItem
[Table("orderbook_elements")]
public class OrderbookElement : IOrderbookItem
{
[Column("id")]
public long Id { get; set; }

View File

@ -4,8 +4,8 @@ using System.ComponentModel.DataAnnotations.Schema;
namespace KLHZ.Trader.Core.DataLayer.Entities.Prices
{
[Table("processed_prices")]
public class ProcessedPrice : IProcessedPrice
[Table("experiment_results")]
public class ExperimentsResult : IProcessedPrice
{
[Column("id")]
public long Id { get; set; }

View File

@ -4,8 +4,8 @@ using System.ComponentModel.DataAnnotations.Schema;
namespace KLHZ.Trader.Core.DataLayer.Entities.Prices
{
[Table("price_changes")]
public class PriceChange : ITradeDataItem
[Table("trades")]
public class Trade : ITradeDataItem
{
[Column("id")]
public long Id { get; set; }

View File

@ -9,9 +9,9 @@ namespace KLHZ.Trader.Core.DataLayer
public class TraderDbContext : DbContext
{
public DbSet<Declision> Declisions { get; set; }
public DbSet<PriceChange> PriceChanges { get; set; }
public DbSet<ProcessedPrice> ProcessedPrices { get; set; }
public DbSet<OrderbookItem> OrderbookItems { get; set; }
public DbSet<Trade> Trades { get; set; }
public DbSet<ExperimentsResult> ExperimentsResults { get; set; }
public DbSet<OrderbookElement> OrderbookElements { get; set; }
public TraderDbContext(DbContextOptions<TraderDbContext> options)
: base(options)
{
@ -30,29 +30,35 @@ namespace KLHZ.Trader.Core.DataLayer
v => DateTime.SpecifyKind(v, DateTimeKind.Utc));
});
modelBuilder.Entity<PriceChange>(entity =>
modelBuilder.Entity<Trade>(entity =>
{
entity.HasKey(e1 => e1.Id);
entity.HasKey(e1 => new { e1.Time, e1.Id });
entity.Ignore(e1 => e1.IsHistoricalData);
entity.Property(p => p.Id)
.ValueGeneratedOnAdd();
entity.Property(e => e.Time)
.HasConversion(
v => v.ToUniversalTime(),
v => DateTime.SpecifyKind(v, DateTimeKind.Utc));
});
modelBuilder.Entity<OrderbookItem>(entity =>
modelBuilder.Entity<ExperimentsResult>(entity =>
{
entity.HasKey(e1 => e1.Id);
entity.HasKey(e1 => new { e1.Time, e1.Id });
entity.Ignore(e1 => e1.IsHistoricalData);
entity.Property(p => p.Id)
.ValueGeneratedOnAdd();
entity.Property(e => e.Time)
.HasConversion(
v => v.ToUniversalTime(),
v => DateTime.SpecifyKind(v, DateTimeKind.Utc));
});
modelBuilder.Entity<ProcessedPrice>(entity =>
modelBuilder.Entity<OrderbookElement>(entity =>
{
entity.HasKey(e1 => e1.Id);
entity.Ignore(e1 => e1.IsHistoricalData);
entity.HasKey(e1 => new { e1.Time, e1.Id });
entity.Property(p => p.Id)
.ValueGeneratedOnAdd();
entity.Property(e => e.Time)
.HasConversion(
v => v.ToUniversalTime(),

View File

@ -13,6 +13,7 @@ using Microsoft.Extensions.Options;
using System.Collections.Concurrent;
using Tinkoff.InvestApi;
using Tinkoff.InvestApi.V1;
using Trade = KLHZ.Trader.Core.DataLayer.Entities.Prices.Trade;
namespace KLHZ.Trader.Core.Exchange.Services
{
@ -136,15 +137,15 @@ namespace KLHZ.Trader.Core.Exchange.Services
SubscribeOrderBookRequest = bookRequest
});
var lastUpdateDict = new Dictionary<string, PriceChange>();
var pricesBuffer = new List<PriceChange>();
var orderbookItemsBuffer = new List<OrderbookItem>();
var lastUpdateDict = new Dictionary<string, Trade>();
var pricesBuffer = new List<Trade>();
var orderbookItemsBuffer = new List<OrderbookElement>();
var lastWrite = DateTime.UtcNow;
await foreach (var response in stream.ResponseStream.ReadAllAsync())
{
if (response.Trade != null)
{
var message = new PriceChange()
var message = new Trade()
{
Figi = response.Trade.Figi,
Ticker = _tradeDataProvider.GetTickerByFigi(response.Trade.Figi),
@ -161,7 +162,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (response.Orderbook != null)
{
var asks = response.Orderbook.Asks.Take(4).Select(a => new OrderbookItem()
var asks = response.Orderbook.Asks.Take(4).Select(a => new OrderbookElement()
{
Count = a.Quantity,
Price = a.Price,
@ -171,7 +172,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
Time = response.Orderbook.Time.ToDateTime().ToUniversalTime(),
}).ToArray();
var bids = response.Orderbook.Bids.Take(4).Select(a => new OrderbookItem()
var bids = response.Orderbook.Bids.Take(4).Select(a => new OrderbookElement()
{
Count = a.Quantity,
Price = a.Price,
@ -203,16 +204,16 @@ namespace KLHZ.Trader.Core.Exchange.Services
try
{
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
//context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
lastWrite = DateTime.UtcNow;
if (orderbookItemsBuffer.Count > 0)
{
await context.OrderbookItems.AddRangeAsync(orderbookItemsBuffer);
await context.OrderbookElements.AddRangeAsync(orderbookItemsBuffer);
orderbookItemsBuffer.Clear();
}
if (pricesBuffer.Count > 0)
{
await context.PriceChanges.AddRangeAsync(pricesBuffer);
await context.Trades.AddRangeAsync(pricesBuffer);
pricesBuffer.Clear();
}
await context.SaveChangesAsync();

View File

@ -719,7 +719,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
var stops = st.GetStops(PositionType.Long);
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
if (!message.IsHistoricalData && BotModeSwitcher.CanOpen())
{
var accounts = _portfolioWrapper.Accounts
.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
@ -740,7 +740,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
)
{
var stops = st.GetStops(PositionType.Short);
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
if (!message.IsHistoricalData && BotModeSwitcher.CanOpen())
{
var accounts = _portfolioWrapper.Accounts
.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
@ -758,7 +758,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
}
if (result[TradingEvent.CloseLong] >= Constants.UppingCoefficient)
{
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
if (!message.IsHistoricalData && BotModeSwitcher.CanClose())
{
var assetsForClose = _portfolioWrapper.Accounts
.SelectMany(a => a.Value.Assets.Values)
@ -772,7 +772,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
if (result[TradingEvent.CloseShort] >= Constants.UppingCoefficient)
{
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
if (!message.IsHistoricalData && BotModeSwitcher.CanClose())
{
var assetsForClose = _portfolioWrapper.Accounts
.SelectMany(a => a.Value.Assets.Values)

View File

@ -1,4 +1,5 @@
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using Google.Protobuf.WellKnownTypes;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
using KLHZ.Trader.Core.DataLayer;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
@ -10,6 +11,7 @@ using Microsoft.EntityFrameworkCore;
using Microsoft.Extensions.Logging;
using Microsoft.Extensions.Options;
using System.Collections.Concurrent;
using System.Diagnostics;
using System.Threading.Channels;
using Tinkoff.InvestApi;
using AssetType = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.AssetType;
@ -130,7 +132,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
var time = DateTime.UtcNow.AddHours(-20);
using var context1 = await _dbContextFactory.CreateDbContextAsync();
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var data = await context1.PriceChanges
var data = await context1.Trades
.Where(c => _tradingInstrumentsFigis.Contains(c.Figi) && c.Time >= time)
.OrderBy(c => c.Time)
.Select(c => new TradeDataItem()
@ -167,13 +169,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
return _assetTypesCache.TryGetValue(figi, out var t) ? t : AssetType.Unknown;
}
internal async Task LogPrice(ProcessedPrice price, bool saveImmediately)
internal async Task LogPrice(ExperimentsResult price, bool saveImmediately)
{
if (saveImmediately)
{
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
await context.ProcessedPrices.AddRangeAsync(price);
await context.ExperimentsResults.AddRangeAsync(price);
await context.SaveChangesAsync();
}
else
@ -198,7 +200,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
internal async Task LogPrice(ITradeDataItem message, string processor, decimal value)
{
await LogPrice(new ProcessedPrice()
await LogPrice(new ExperimentsResult()
{
Figi = message.Figi,
Ticker = message.Ticker,
@ -210,7 +212,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
internal async Task LogPrice(string figi, string ticker, DateTime time, decimal value, string processor)
{
await LogPrice(new ProcessedPrice()
await LogPrice(new ExperimentsResult()
{
Figi = figi,
Ticker = ticker,
@ -222,6 +224,15 @@ namespace KLHZ.Trader.Core.Exchange.Services
internal async Task LogDeclision(DeclisionTradeAction action, ITradeDataItem message, decimal? profit = null)
{
await LogPrice(new ExperimentsResult()
{
Figi = message.Figi,
Ticker = message.Ticker,
Processor = action.ToString(),
Time = message.Time,
Price = message.Price,
}, false);
await LogDeclision(new Declision()
{
AccountId = string.Empty,
@ -250,14 +261,14 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task WritePricesTask()
{
var buffer1 = new List<ProcessedPrice>();
var buffer1 = new List<ExperimentsResult>();
var buffer2 = new List<Declision>();
while (await _forSave.Reader.WaitToReadAsync())
{
try
{
var obj = await _forSave.Reader.ReadAsync();
if (obj is ProcessedPrice price)
if (obj is ExperimentsResult price)
{
buffer1.Add(price);
}
@ -271,7 +282,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
if (buffer1.Count > 0)
{
await context.ProcessedPrices.AddRangeAsync(buffer1);
await context.ExperimentsResults.AddRangeAsync(buffer1);
}
if (buffer2.Count > 0)
{

View File

@ -42,7 +42,7 @@ namespace KLHZ.Trader.Core.Exchange.Utils
internal static bool IsOperationAllowed(IManagedAccount account, decimal boutPrice, decimal count,
decimal accountCashPartFutures, decimal accountCashPart)
{
if (!BotModeSwitcher.CanPurchase()) return false;
if (!BotModeSwitcher.CanOpen()) return false;
var balance = account.Balance;
var total = account.Total;
@ -76,7 +76,7 @@ namespace KLHZ.Trader.Core.Exchange.Utils
}
else
{
message = new PriceChange()
message = new Trade()
{
Figi = message.Figi,
Ticker = message.Ticker,

View File

@ -45,35 +45,39 @@ namespace KLHZ.Trader.Core.TG.Services
case "/start":
{
var replyKeyboardMarkup = new ReplyKeyboardMarkup(new[] {
new KeyboardButton[] { Constants.BotCommandsButtons.EnableSelling, Constants.BotCommandsButtons.DisableSelling},
new KeyboardButton[] { Constants.BotCommandsButtons.EnablePurchases, Constants.BotCommandsButtons.DisablePurchases}});
new KeyboardButton[] { Constants.BotCommandsButtons.EnableClosing2, Constants.BotCommandsButtons.DisableClosing2},
new KeyboardButton[] { Constants.BotCommandsButtons.EnableOpening2, Constants.BotCommandsButtons.EnableOpening2}});
await botClient.SendMessage(update.Message.Chat, "Принято!", replyMarkup: replyKeyboardMarkup);
break;
}
case Constants.BotCommandsButtons.EnableSelling:
case Constants.BotCommandsButtons.EnableClosing:
case Constants.BotCommandsButtons.EnableClosing2:
{
BotModeSwitcher.StartSelling();
await botClient.SendMessage(update.Message.Chat, "Продажи начаты!");
BotModeSwitcher.StartClosing();
await botClient.SendMessage(update.Message.Chat, "Закрытия разрешены!");
break;
}
case Constants.BotCommandsButtons.DisableSelling:
case Constants.BotCommandsButtons.DisableClosing:
case Constants.BotCommandsButtons.DisableClosing2:
{
BotModeSwitcher.StopSelling();
await botClient.SendMessage(update.Message.Chat, "Продажи остановлены!");
BotModeSwitcher.StopClosing();
await botClient.SendMessage(update.Message.Chat, "Закрытия запрещены!");
break;
}
case Constants.BotCommandsButtons.EnablePurchases:
case Constants.BotCommandsButtons.EnableOpening:
case Constants.BotCommandsButtons.EnableOpening2:
{
BotModeSwitcher.StartPurchase();
await botClient.SendMessage(update.Message.Chat, "Покупки начаты!");
BotModeSwitcher.StartOpening();
await botClient.SendMessage(update.Message.Chat, "Открытия начаты!");
break;
}
case Constants.BotCommandsButtons.DisablePurchases:
case Constants.BotCommandsButtons.DisableOpening:
case Constants.BotCommandsButtons.DisableOpening2:
{
BotModeSwitcher.StopPurchase();
await botClient.SendMessage(update.Message.Chat, "Покупки остановлены!");
BotModeSwitcher.StopOpening();
await botClient.SendMessage(update.Message.Chat, "Открытия остановлены!");
break;
}
case "скинуть IMOEXF":

View File

@ -43,11 +43,11 @@ namespace KLHZ.Trader.Service.Controllers
var data = new List<TimeSeriesData>();
var data2 = new List<TimeSeriesData>();
var time2 = time1.AddHours(1);
var orderbooks = await context1.OrderbookItems
var orderbooks = await context1.OrderbookElements
.Where(oi => (oi.Figi == figi1 || oi.Figi == figi2) && oi.Time >= time1 && oi.Time < time2)
.OrderBy(c => c.Time)
.ToArrayAsync();
var prices = await context1.PriceChanges
var prices = await context1.Trades
.Where(c => (c.Figi == figi1 || c.Figi == figi2) && c.Time >= time1 && c.Time < time2)
.OrderBy(c => c.Time)
.Select(c => new TradeDataItem()
@ -77,7 +77,7 @@ namespace KLHZ.Trader.Service.Controllers
.OrderByDescending(o => o.Price)
.ToList();
var forRemove = new List<OrderbookItem>();
var forRemove = new List<OrderbookElement>();
if (asks.Count > 4 || bids.Count > 4)
{
@ -124,7 +124,7 @@ namespace KLHZ.Trader.Service.Controllers
.Where(i => i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.Bid)
.OrderByDescending(o => o.Price)
.ToList();
var forRemove = new List<OrderbookItem>();
var forRemove = new List<OrderbookElement>();
if (asks.Count > 4 || bids.Count > 4)
{
@ -242,7 +242,7 @@ namespace KLHZ.Trader.Service.Controllers
var time = DateTime.UtcNow.AddDays(-shift ?? -7).Date;
while (time < DateTime.UtcNow)
{
var forSave = new List<Core.DataLayer.Entities.Prices.ProcessedPrice>();
var forSave = new List<Core.DataLayer.Entities.Prices.ExperimentsResult>();
time = time.AddMinutes(timeStep);
var figi1 = "FUTIMOEXF000";
//var figi1 = "BBG004730N88";
@ -255,7 +255,7 @@ namespace KLHZ.Trader.Service.Controllers
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var time1 = time2.AddHours(-3);
var prices = await context1.PriceChanges
var prices = await context1.Trades
.Where(c => (c.Figi == figi1 || c.Figi == figi2) && c.Time >= time1 && c.Time < time2 && c.Direction == 1)
.OrderBy(c => c.Time)
.Select(c => new TradeDataItem()
@ -273,7 +273,7 @@ namespace KLHZ.Trader.Service.Controllers
if (pricesToSave.Any())
{
var p1 = pricesToSave.Last();
forSave.Add(new Core.DataLayer.Entities.Prices.ProcessedPrice()
forSave.Add(new Core.DataLayer.Entities.Prices.ExperimentsResult()
{
Figi = p1.Figi,
Processor = "support_level_calc",
@ -332,7 +332,7 @@ namespace KLHZ.Trader.Service.Controllers
{
if (price.Price >= p.left && price.Price <= p.right)
{
forSave.Add(new Core.DataLayer.Entities.Prices.ProcessedPrice()
forSave.Add(new Core.DataLayer.Entities.Prices.ExperimentsResult()
{
Figi = price.Figi,
Processor = "support_level",
@ -346,10 +346,57 @@ namespace KLHZ.Trader.Service.Controllers
}
}
await context1.ProcessedPrices.AddRangeAsync(forSave);
await context1.ExperimentsResults.AddRangeAsync(forSave);
await context1.SaveChangesAsync();
}
}
}
[HttpGet]
public async Task MigrateData()
{
try
{
using var context1 = await _dbContextFactory.CreateDbContextAsync();
context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
var figis = context1.Trades.Select(p => p.Figi).Distinct().ToArray();
foreach (var f in figis)
{
try
{
var time1 = new DateTime(2025, 8, 25, 0, 0, 0, DateTimeKind.Utc);
while (time1 < DateTime.UtcNow)
{
var time2 = time1.AddDays(7);
var prices = await context1.Trades
.Where(c => (c.Figi == f) && c.Time >= time1 && c.Time < time2)
.OrderBy(c => c.Time)
.ToArrayAsync();
await context1.Trades.AddRangeAsync(prices);
await context1.SaveChangesAsync();
time1 = time2;
}
}
catch (Exception ex)
{
}
}
}
catch (Exception ex)
{
}
}
}
}