219 lines
11 KiB
C#
219 lines
11 KiB
C#
using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
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using KLHZ.Trader.Core.Math.Common;
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namespace KLHZ.Trader.Core.Math.Declisions.Utils
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{
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public static class MovingAverage
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{
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internal static (DateTime time, decimal value) CalcTimeWindowAverageValue(DateTime[] timestamps, decimal[] values, int window, int shift = 0)
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{
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var sum = values[values.Length - 1 - shift];
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var count = 1m;
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var startTime = timestamps[timestamps.Length - 1 - shift];
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for (int i = 2; i + shift < values.Length
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&& startTime - timestamps[values.Length - i - shift] < TimeSpan.FromSeconds(window); i++)
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{
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var k = values.Length - i - shift;
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sum += values[values.Length - i - shift];
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count++;
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}
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return (startTime, sum / count);
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}
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public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean(DateTime[] timestamps,
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decimal[] prices, int size, int smallWindow, int bigWindow, TimeSpan timeForUptreandStart,
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decimal uptrendStartingDetectionMeanfullStep = 0m, decimal uptrendEndingDetectionMeanfullStep = 3m)
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{
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var res = TradingEvent.None;
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var bigWindowAv = 0m;
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var smallWindowAv = 0m;
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var s = 0;
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var pricesForFinalComparison = new decimal[size];
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var twavss = new decimal[size];
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var twavbs = new decimal[size];
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var times = new DateTime[size];
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var crossings = new List<int>();
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for (int shift = 0; shift < size - 1 && shift < prices.Length - 1; shift++)
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{
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s = shift;
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var i2 = size - 1 - shift;
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var i1 = size - 2 - shift;
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var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
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var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
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pricesForFinalComparison[i2] = prices[prices.Length - 1 - shift];
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if (shift == 0)
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{
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bigWindowAv = twavb.value;
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smallWindowAv = twavs.value;
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}
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twavss[i2] = twavs.value;
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twavbs[i2] = twavb.value;
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times[i2] = twavb.time;
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if (shift > 0)
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{
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var isCrossing = Lines.IsLinesCrossing(
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times[i1 + 1],
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times[i2 + 1],
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twavss[i1 + 1],
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twavss[i2 + 1],
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twavbs[i1 + 1],
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twavbs[i2 + 1]);
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if (shift == 1 && !isCrossing.res) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
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//текущей и предыдущей точкой - можно не продолжать выполнение.
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{
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break;
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}
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if (isCrossing.res)
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{
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crossings.Add(i2);
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if (crossings.Count == 6 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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crossings.Add(shift);
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}
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var diffTotal = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
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for (int crossingShift = 1; crossingShift < crossings.Count - 2; crossingShift++)
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{
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var diff = pricesForFinalComparison[crossings[crossingShift]] - pricesForFinalComparison[crossings[crossingShift + 1]];
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if (diff >= -0.5m)
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{
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diffTotal += diff;
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}
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else
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{
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break;
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}
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}
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// если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
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if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
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{
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if (diffTotal >= uptrendEndingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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res |= TradingEvent.CloseLong;
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}
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break;
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}
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}
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if (crossings.Count == 2 || (shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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if ((shift + 1 == size - 1 || shift + 1 == prices.Length - 1))
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{
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crossings.Add(shift);
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}
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// если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
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if (twavss[size - 1] >= twavbs[size - 1] && twavss[size - 2] < twavbs[size - 2])
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{
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if (pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]] <= uptrendStartingDetectionMeanfullStep
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&& times[crossings[0]] - times[crossings[1]] >= timeForUptreandStart)
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{
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res |= TradingEvent.OpenLong;
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}
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break;
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}
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}
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}
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}
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}
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return (res, bigWindowAv, smallWindowAv);
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}
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public static (TradingEvent events, decimal bigWindowAv, decimal smallWindowAv) CheckByWindowAverageMean2(DateTime[] timestamps,
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decimal[] prices, int size, int smallWindow, int bigWindow,
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decimal? uptrendStartingDetectionMeanfullStep = null, decimal? uptrendEndingDetectionMeanfullStep = null)
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{
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var res = TradingEvent.None;
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var bigWindowAv = 0m;
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var smallWindowAv = 0m;
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var s = 0;
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var pricesForFinalComparison = new decimal[size];
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var timesForFinalComparison = new DateTime[size];
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var twavss = new decimal[size];
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var twavbs = new decimal[size];
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var times = new DateTime[size];
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var crossings = new List<int>();
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var crossingValues = new List<decimal>();
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for (int shift = 0; shift < size - 1 && shift < prices.Length - 1; shift++)
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{
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s = shift;
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var i2 = size - 1 - shift;
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var i1 = size - 2 - shift;
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var twavs = CalcTimeWindowAverageValue(timestamps, prices, smallWindow, shift);
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var twavb = CalcTimeWindowAverageValue(timestamps, prices, bigWindow, shift);
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pricesForFinalComparison[i2] = prices[prices.Length - 1 - shift];
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timesForFinalComparison[i2] = timestamps[prices.Length - 1 - shift];
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if (shift == 0)
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{
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bigWindowAv = twavb.value;
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smallWindowAv = twavs.value;
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}
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twavss[i2] = twavs.value;
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twavbs[i2] = twavb.value;
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times[i2] = twavb.time;
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if (shift > 0)
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{
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var isCrossing = Lines.IsLinesCrossing(
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times[i1 + 1],
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times[i2 + 1],
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twavss[i1 + 1],
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twavss[i2 + 1],
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twavbs[i1 + 1],
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twavbs[i2 + 1]);
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if (shift == 1 && !isCrossing.res) //если нет пересечения скользящих средний с окном 120 и 15 секунд между
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//текущей и предыдущей точкой - можно не продолжать выполнение.
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{
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break;
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}
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if (isCrossing.res)
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{
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crossings.Add(i2);
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crossingValues.Add(isCrossing.y);
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if (crossings.Count == 2)
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{
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var dt = timesForFinalComparison[crossings[0]] - timesForFinalComparison[crossings[1]];
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var d1 = pricesForFinalComparison[crossings[0]] - pricesForFinalComparison[crossings[1]];
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var d2 = crossingValues[0] - crossingValues[1];
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// если фильтрация окном 15 наползает на окно 120 сверху, потенциальное время закрытия лонга и возможно открытия шорта
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if (twavss[size - 1] <= twavbs[size - 1] && twavss[size - 2] > twavbs[size - 2])
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{
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if (!uptrendEndingDetectionMeanfullStep.HasValue || ((d1 >= uptrendEndingDetectionMeanfullStep
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//|| d2 >= uptrendEndingDetectionMeanfullStep
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)
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&& dt > TimeSpan.FromSeconds(10)))
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{
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res |= TradingEvent.CloseLong;
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}
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break;
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}
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// если фильтрация окном 120 наползает на окно 15 сверху, потенциальное время открытия лонга и закрытия шорта
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if (twavss[size - 1] >= twavbs[size - 1] && twavss[size - 2] < twavbs[size - 2])
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{
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if (!uptrendStartingDetectionMeanfullStep.HasValue || ((d1 <= uptrendStartingDetectionMeanfullStep
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// || d2 <= uptrendStartingDetectionMeanfullStep
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) && dt > TimeSpan.FromSeconds(10)))
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{
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res |= TradingEvent.OpenLong;
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}
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break;
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}
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}
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}
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}
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}
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return (res, bigWindowAv, smallWindowAv);
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}
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}
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}
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