vladzvx
/
klhztrader
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Compare commits

base: vladzvx:main
Branches Tags
vladzvx:main
vladzvx:dev
..
compare: vladzvx:dev
Branches Tags
vladzvx:main
vladzvx:dev

No commits in common. "main" and "dev" have entirely different histories.
main ... dev

13 changed files with 84 additions and 157 deletions
Show Stats Expand all files Collapse all files

6
KLHZ.Trader.Core.Tests/HistoryCacheUnit3Tests.cs
View File

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

28
KLHZ.Trader.Core/Common/BotModeSwitcher.cs
View File

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

12
KLHZ.Trader.Core/Common/Constants.cs
View File

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

4
KLHZ.Trader.Core/DataLayer/Entities/Orders/OrderbookElement.cs → KLHZ.Trader.Core/DataLayer/Entities/Orders/OrderbookItem.cs
View File

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

4
KLHZ.Trader.Core/DataLayer/Entities/Trades/Trade.cs → KLHZ.Trader.Core/DataLayer/Entities/Prices/PriceChange.cs
View File

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

4
KLHZ.Trader.Core/DataLayer/Entities/Prices/ExperimentsResult.cs → KLHZ.Trader.Core/DataLayer/Entities/Prices/ProcessedPrice.cs
View File

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

26
KLHZ.Trader.Core/DataLayer/TraderDbContext.cs
View File

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

19
KLHZ.Trader.Core/Exchange/Services/ExchangeDataReader.cs
View File

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

8
KLHZ.Trader.Core/Exchange/Services/Trader.cs
View File

@ -719,7 +719,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
var stops = st.GetStops(PositionType.Long);
if (!message.IsHistoricalData && BotModeSwitcher.CanOpen())
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
{
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.CanOpen())
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
{
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.CanClose())
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
{
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.CanClose())
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
{
var assetsForClose = _portfolioWrapper.Accounts
.SelectMany(a => a.Value.Assets.Values)

29
KLHZ.Trader.Core/Exchange/Services/TraderDataProvider.cs
View File

@ -1,5 +1,4 @@
using Google.Protobuf.WellKnownTypes;
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
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;
@ -11,7 +10,6 @@ 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;
@ -132,7 +130,7 @@ 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.Trades
var data = await context1.PriceChanges
.Where(c => _tradingInstrumentsFigis.Contains(c.Figi) && c.Time >= time)
.OrderBy(c => c.Time)
.Select(c => new TradeDataItem()
@ -169,13 +167,13 @@ namespace KLHZ.Trader.Core.Exchange.Services
{
return _assetTypesCache.TryGetValue(figi, out var t) ? t : AssetType.Unknown;
}
internal async Task LogPrice(ExperimentsResult price, bool saveImmediately)
internal async Task LogPrice(ProcessedPrice price, bool saveImmediately)
{
if (saveImmediately)
{
using var context = await _dbContextFactory.CreateDbContextAsync();
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
await context.ExperimentsResults.AddRangeAsync(price);
await context.ProcessedPrices.AddRangeAsync(price);
await context.SaveChangesAsync();
}
else
@ -200,7 +198,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
internal async Task LogPrice(ITradeDataItem message, string processor, decimal value)
{
await LogPrice(new ExperimentsResult()
await LogPrice(new ProcessedPrice()
{
Figi = message.Figi,
Ticker = message.Ticker,
@ -212,7 +210,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
internal async Task LogPrice(string figi, string ticker, DateTime time, decimal value, string processor)
{
await LogPrice(new ExperimentsResult()
await LogPrice(new ProcessedPrice()
{
Figi = figi,
Ticker = ticker,
@ -224,15 +222,6 @@ 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,
@ -261,14 +250,14 @@ namespace KLHZ.Trader.Core.Exchange.Services
private async Task WritePricesTask()
{
var buffer1 = new List<ExperimentsResult>();
var buffer1 = new List<ProcessedPrice>();
var buffer2 = new List<Declision>();
while (await _forSave.Reader.WaitToReadAsync())
{
try
{
var obj = await _forSave.Reader.ReadAsync();
if (obj is ExperimentsResult price)
if (obj is ProcessedPrice price)
{
buffer1.Add(price);
}
@ -282,7 +271,7 @@ namespace KLHZ.Trader.Core.Exchange.Services
context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
if (buffer1.Count > 0)
{
await context.ExperimentsResults.AddRangeAsync(buffer1);
await context.ProcessedPrices.AddRangeAsync(buffer1);
}
if (buffer2.Count > 0)
{

4
KLHZ.Trader.Core/Exchange/Utils/TraderUtils.cs
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.CanOpen()) return false;
if (!BotModeSwitcher.CanPurchase()) return false;
var balance = account.Balance;
var total = account.Total;
@ -76,7 +76,7 @@ namespace KLHZ.Trader.Core.Exchange.Utils
}
else
{
message = new Trade()
message = new PriceChange()
{
Figi = message.Figi,
Ticker = message.Ticker,

32
KLHZ.Trader.Core/TG/Services/BotMessagesHandler.cs
View File

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

65
KLHZ.Trader.Service/Controllers/PlayController.cs
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.OrderbookElements
var orderbooks = await context1.OrderbookItems
.Where(oi => (oi.Figi == figi1 || oi.Figi == figi2) && oi.Time >= time1 && oi.Time < time2)
.OrderBy(c => c.Time)
.ToArrayAsync();
var prices = await context1.Trades
var prices = await context1.PriceChanges
.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<OrderbookElement>();
var forRemove = new List<OrderbookItem>();
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<OrderbookElement>();
var forRemove = new List<OrderbookItem>();
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.ExperimentsResult>();
var forSave = new List<Core.DataLayer.Entities.Prices.ProcessedPrice>();
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.Trades
var prices = await context1.PriceChanges
.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.ExperimentsResult()
forSave.Add(new Core.DataLayer.Entities.Prices.ProcessedPrice()
{
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.ExperimentsResult()
forSave.Add(new Core.DataLayer.Entities.Prices.ProcessedPrice()
{
Figi = price.Figi,
Processor = "support_level",
@ -346,57 +346,10 @@ namespace KLHZ.Trader.Service.Controllers
}
}
await context1.ExperimentsResults.AddRangeAsync(forSave);
await context1.ProcessedPrices.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)
{
}
}
}
}