780 lines
38 KiB
C#
780 lines
38 KiB
C#
using KLHZ.Trader.Core.Common;
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using KLHZ.Trader.Core.Contracts.Common.Enums;
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using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
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using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
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using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Enums;
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using KLHZ.Trader.Core.Contracts.Messaging.Dtos.Interfaces;
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using KLHZ.Trader.Core.Contracts.Messaging.Interfaces;
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using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums;
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using KLHZ.Trader.Core.Exchange.Interfaces;
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using KLHZ.Trader.Core.Exchange.Models.AssetsAccounting;
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using KLHZ.Trader.Core.Exchange.Models.Configs;
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using KLHZ.Trader.Core.Exchange.Models.Trading;
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using KLHZ.Trader.Core.Exchange.Utils;
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using KLHZ.Trader.Core.Math.Declisions.Utils;
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using Microsoft.EntityFrameworkCore;
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using Microsoft.Extensions.Hosting;
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using Microsoft.Extensions.Logging;
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using Microsoft.Extensions.Options;
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using System.Collections.Concurrent;
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using System.Collections.Immutable;
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using System.Security.Cryptography;
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using System.Threading.Channels;
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using Tinkoff.InvestApi;
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namespace KLHZ.Trader.Core.Exchange.Services
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{
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public class Trader : IHostedService
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{
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private readonly IDataBus _dataBus;
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private readonly TraderDataProvider _tradeDataProvider;
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private readonly PortfolioWrapper _portfolioWrapper;
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private readonly ExchangeConfig _exchangeConfig;
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private readonly ILogger<Trader> _logger;
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private readonly ConcurrentDictionary<string, TradingMode> TradingModes = new();
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private readonly ConcurrentDictionary<string, DeferredDeclision> DeferredDeclisions = new();
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private readonly ConcurrentDictionary<string, SupportLevel[]> SupportLevels = new();
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private readonly ConcurrentDictionary<string, decimal> _pirsonValues = new();
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private readonly ConcurrentDictionary<string, decimal> _dpirsonValues = new();
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private readonly ConcurrentDictionary<string, DateTime> _supportLevelsCalculationTimes = new();
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private readonly ConcurrentDictionary<string, DateTime> _usedSupportLevels = new();
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private readonly ConcurrentDictionary<string, DateTime> _usedSupportLevelsForClosing = new();
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private readonly ConcurrentDictionary<string, ITradeDataItem> _oldItems = new();
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private readonly Channel<ITradeDataItem> _pricesChannel = Channel.CreateUnbounded<ITradeDataItem>();
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private readonly Channel<ITradeCommand> _commands = Channel.CreateUnbounded<ITradeCommand>();
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private readonly Channel<IOrderbook> _orderbooks = Channel.CreateUnbounded<IOrderbook>();
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public Trader(
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ILogger<Trader> logger,
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IOptions<ExchangeConfig> options,
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IDataBus dataBus,
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PortfolioWrapper portfolioWrapper,
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TraderDataProvider tradeDataProvider,
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InvestApiClient investApiClient)
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{
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_portfolioWrapper = portfolioWrapper;
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_tradeDataProvider = tradeDataProvider;
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_logger = logger;
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_dataBus = dataBus;
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_exchangeConfig = options.Value;
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foreach (var f in _exchangeConfig.TradingInstrumentsFigis)
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{
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TradingModes[f] = TradingMode.None;
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}
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}
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public Task StartAsync(CancellationToken cancellationToken)
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{
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_dataBus.AddChannel(nameof(Trader), _pricesChannel);
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_dataBus.AddChannel(nameof(Trader), _orderbooks);
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_dataBus.AddChannel(nameof(Trader), _commands);
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_ = ProcessPrices();
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_ = ProcessOrderbooks();
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_ = ProcessCommands();
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return Task.CompletedTask;
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}
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private async Task ProcessCommands()
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{
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while (await _commands.Reader.WaitToReadAsync())
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{
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var command = await _commands.Reader.ReadAsync();
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try
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{
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if (command.CommandType == TradeCommandType.OpenLong
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|| command.CommandType == TradeCommandType.OpenShort)
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{
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var fakeMessage = new TradeDataItem() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
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var positionType = command.CommandType == TradeCommandType.OpenLong ? PositionType.Long : PositionType.Short;
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var st = GetStops(fakeMessage);
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var stops = st.GetStops(positionType);
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var accounts = _portfolioWrapper.Accounts
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.Where(a => !a.Value.Assets.ContainsKey(command.Figi))
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.Take(1)
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.Select(a => a.Value)
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.ToArray();
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await OpenPositions(accounts, fakeMessage, positionType, stops.stopLoss, stops.takeProfit, System.Math.Abs(command.Count));
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}
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else
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{
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var fakeMessage = new TradeDataItem() { Figi = command.Figi, Ticker = "", Count = command.Count, Direction = 1, IsHistoricalData = false, Time = DateTime.UtcNow, Price = command.RecomendPrice ?? 0m };
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var assetsForClose = _portfolioWrapper.Accounts
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.SelectMany(a => a.Value.Assets.Values)
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.Where(a => a.Figi == fakeMessage.Figi)
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.ToArray();
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await ClosePositions(assetsForClose, fakeMessage, false);
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}
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}
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catch (Exception ex)
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{
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_logger.LogError(ex, "Ошибка при выполнении команды.");
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}
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}
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}
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private async Task ProcessOrderbooks()
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{
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while (await _orderbooks.Reader.WaitToReadAsync())
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{
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var message = await _orderbooks.Reader.ReadAsync();
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await _tradeDataProvider.AddOrderbook(message);
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}
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}
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private async Task ProcessPrices()
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{
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var pricesCache1 = new Dictionary<string, List<ITradeDataItem>>();
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var pricesCache2 = new Dictionary<string, List<ITradeDataItem>>();
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while (await _pricesChannel.Reader.WaitToReadAsync())
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{
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var message = await _pricesChannel.Reader.ReadAsync();
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if (!message.IsHistoricalData && DateTime.UtcNow - message.Time > TimeSpan.FromMinutes(1))
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{
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continue;
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}
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await CloseMarginPositionsIfNeed(message);
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try
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{
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if (message.IsHistoricalData)
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{
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message = TraderUtils.FilterHighFreqValues(message, message.Direction == 1 ? pricesCache1 : pricesCache2);
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}
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if (_exchangeConfig.TradingInstrumentsFigis.Contains(message.Figi) && message.Direction == 1)
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{
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await _tradeDataProvider.AddData(message);
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if (message.Figi == "FUTIMOEXF000")
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{
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await ProcessIMOEXF(message);
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}
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}
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}
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catch (Exception ex)
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{
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_logger.LogError(ex, "Ошибка при боработке новой цены.");
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}
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}
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}
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private async Task ProcessIMOEXF(ITradeDataItem message)
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{
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if (message.Figi == "FUTIMOEXF000")
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{
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if (DeferredDeclisions.TryGetValue(message.Figi, out var dec))
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{
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if (dec.ExpirationTime < message.Time)
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{
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if (dec.Events[TradingEvent.OpenShort] > Constants.BlockingCoefficient)
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{
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if (dec.Message.Price < message.Price)
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{
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var stops2 = GetStops(message);
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var declisionsStops2 = ProcessStops(stops2, 2m);
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var e = TraderUtils.MergeResultsMult(dec.Events, declisionsStops2);
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await ExecuteDeclisions(e.ToImmutableDictionary(), message, stops2, 1);
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}
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}
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else if (dec.Events[TradingEvent.OpenLong] > Constants.BlockingCoefficient)
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{
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if (dec.Message.Price > message.Price)
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{
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var stops2 = GetStops(message);
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var declisionsStops2 = ProcessStops(stops2, 2m);
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var e = TraderUtils.MergeResultsMult(dec.Events, declisionsStops2);
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await ExecuteDeclisions(e.ToImmutableDictionary(), message, stops2, 1);
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}
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}
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else if (dec.Events[TradingEvent.CloseLong] > Constants.BlockingCoefficient
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|| dec.Events[TradingEvent.CloseShort] > Constants.BlockingCoefficient)
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{
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await ExecuteDeclisions(dec.Events, dec.Message, dec.Stops, 1);
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}
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DeferredDeclisions.TryRemove(message.Figi, out _);
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}
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}
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await CalcSupportLevels(message, 3, 5);
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var stops = GetStops(message);
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var pirson = await CalcPirson(message);
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var declisionPirson = await ProcessPirson(pirson, message);
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var declisionsSupportLevels = await ProcessSupportLevels(message);
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var declisionsStops = ProcessStops(stops, 2m);
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var res = TraderUtils.MergeResultsMult(declisionPirson, declisionsSupportLevels);
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res = TraderUtils.MergeResultsMult(res, declisionsStops);
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await ExecuteDeclisions(res.ToImmutableDictionary(), message, stops, 1);
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var declision = new DeferredDeclision()
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{
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Message = message,
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Stops = stops,
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Events = res.ToImmutableDictionary(),
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ExpirationTime = message.Time.AddSeconds(5)
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};
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if (declision.Events.Values.Any(v => v > Constants.BlockingCoefficient))
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{
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//DeferredDeclisions.TryAdd(message.Figi, declision);
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}
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_oldItems[message.Figi] = message;
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}
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}
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private async Task<ImmutableDictionary<TradingEvent, decimal>> ProcessPirson(PirsonCalculatingResult pirson, ITradeDataItem message)
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{
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var res = TraderUtils.GetInitDict(Constants.BlockingCoefficient);
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if (pirson.Success && _pirsonValues.TryGetValue(message.Figi, out var olddpirs))
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{
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var dpirson = pirson.Pirson - olddpirs;
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if (olddpirs < 0 && pirson.Pirson > 0 && pirson.PriceDiff > 0 && (pirson.TradesDiffRelative > 0.2m))
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{
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res[TradingEvent.OpenLong] = Constants.PowerUppingCoefficient;
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}
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//if (olddpirs < -0.7m && pirson.Pirson > -0.7m && pirson.PriceDiff > 0 && (pirson.TradesDiffRelative < -0.1m))
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//{
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// res[TradingEvent.OpenLong] = Constants.PowerUppingCoefficient;
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//}
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if (olddpirs > 0 && pirson.Pirson < 0 && pirson.PriceDiff < 0 && (pirson.TradesDiffRelative > 0.2m))
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{
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res[TradingEvent.OpenShort] = Constants.PowerUppingCoefficient;
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}
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//if (olddpirs > 0.3m && pirson.Pirson < 0.3m && pirson.PriceDiff < 0 && (pirson.TradesDiffRelative > 0.3m))
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//{
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// res[TradingEvent.OpenShort] = Constants.PowerUppingCoefficient;
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//}
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if (_dpirsonValues.TryGetValue(message.Figi, out var oldDprison))
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{
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if (oldDprison > 0.02m && dpirson < -0.02m && pirson.Pirson > 0.7m && pirson.TradesDiffRelative < -0.2m)
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{
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res[TradingEvent.CloseLong] = Constants.PowerUppingCoefficient;
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//await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point_long_out", message.Price);
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}
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if (oldDprison < 0 && dpirson > 0 && pirson.Pirson < -0.6m && pirson.TradesDiffRelative < -0.1m)
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{
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res[TradingEvent.CloseShort] = Constants.PowerUppingCoefficient;
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// await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point_short_out", message.Price);
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}
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}
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_dpirsonValues[message.Figi] = dpirson;
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}
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_pirsonValues[message.Figi] = pirson.Pirson;
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return res.ToImmutableDictionary();
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}
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private async Task<PirsonCalculatingResult> CalcPirson(ITradeDataItem message)
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{
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var cacheSize = TimeSpan.FromSeconds(400);
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var smallWindow = TimeSpan.FromSeconds(180);
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var bigWindow = TimeSpan.FromSeconds(360);
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var meanWindowForCottelation = TimeSpan.FromSeconds(360);
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var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
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var buys = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, cacheSize, selector: (i) => i.Direction == 1);
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var trades = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, cacheSize);
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if (trades.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Count, false, out var tradesDiff, out var tradesDiffRelative)
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&& buys.TryCalcTimeDiff(bigWindow, smallWindow, v => v.Price, true, out var pricesDiff))
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{
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await _tradeDataProvider.LogPrice(message, "privcesDiff", pricesDiff);
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await _tradeDataProvider.LogPrice(message, "tradevolume_diff", tradesDiff);
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await _tradeDataProvider.AddData(message.Figi, "5min_diff", new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Value2 = tradesDiff,
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Value = pricesDiff,
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Figi = message.Figi,
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Ticker = message.Ticker,
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});
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var diffs = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, cacheSize, "5min_diff");
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if (diffs.TryCalcPirsonCorrelation(meanWindowForCottelation, out var pirson))
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{
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var res = pirson;
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await _tradeDataProvider.LogPrice(message, "diffs_pirson", (decimal)pirson);
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//await _tradeDataProvider.AddData(message.Figi, "diffs_pirson", new Contracts.Declisions.Dtos.CachedValue()
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//{
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// Time = message.Time,
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// Value = (decimal)pirson,
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// Figi = message.Figi,
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// Ticker = message.Ticker,
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//});
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return new PirsonCalculatingResult()
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{
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Pirson = res,
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PriceDiff = pricesDiff,
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TradesDiff = tradesDiff,
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TradesDiffRelative = tradesDiffRelative,
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Success = true,
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};
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}
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}
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return new PirsonCalculatingResult()
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{
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Success = false,
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};
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}
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private async Task CloseMarginPositionsIfNeed(ITradeDataItem message)
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{
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var state = ExchangeScheduler.GetCurrentState(message.Time);
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if (!message.IsHistoricalData && state == ExchangeState.ClearingTime)
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{
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var futuresFigis = _portfolioWrapper.Accounts.Values.SelectMany(v => v.Assets.Values.Where(a => a.Type == AssetType.Futures)).ToArray();
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await ClosePositions(futuresFigis, message, false);
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}
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}
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private async Task CalcSupportLevels(ITradeDataItem message, int leverage, decimal supportLevelWidth, int depthHours = 3)
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{
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if (_supportLevelsCalculationTimes.TryGetValue(message.Figi, out var lastTime))
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{
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if ((message.Time - lastTime).TotalMinutes < 30)
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{
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return;
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}
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}
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var data = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, TimeSpan.FromHours(depthHours));
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if (data.Length > 0)
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{
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if (data[^1].Time - data[0].Time < TimeSpan.FromHours(0.5))
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{
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data = await _tradeDataProvider.GetDataForTimeWindow(message.Figi, TimeSpan.FromHours(depthHours + 12));
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if (data[^1].Time - data[0].Time < TimeSpan.FromHours(0.5))
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{
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return;
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}
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}
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var hist = Statistics.CalcHistogram(data);
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var convs = Statistics.CalcConvolution(hist, leverage).ToList();
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var orderedConvs = convs.OrderByDescending(c => c.Sum).Take(5).ToList();
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orderedConvs = [.. orderedConvs.OrderBy(c => c.Value)];
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var levelsForAdd = new List<SupportLevel>();
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foreach (var c in orderedConvs)
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{
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var low = c.Value - supportLevelWidth;
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var high = c.Value + supportLevelWidth;
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if (levelsForAdd.Count > 0)
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{
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var last = levelsForAdd.Last();
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if (last.HighValue < low)
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{
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levelsForAdd.Add(new SupportLevel()
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{
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HighValue = high,
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LowValue = low,
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Value = c.Value,
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CalculatedAt = message.Time,
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});
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}
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else if (last.HighValue >= low && last.HighValue < high)
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{
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levelsForAdd[^1] = new SupportLevel()
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{
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LowValue = last.LowValue,
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HighValue = high,
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Value = last.LowValue + (high - last.LowValue) / 2,
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CalculatedAt = message.Time,
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};
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}
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}
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else
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{
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levelsForAdd.Add(new SupportLevel()
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{
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HighValue = high,
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LowValue = low,
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Value = c.Value,
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CalculatedAt = message.Time,
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});
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}
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}
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var finalLevels = new SupportLevel[levelsForAdd.Count];
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var i = 0;
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foreach (var level in levelsForAdd)
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{
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DateTime? time = null;
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foreach (var item in data)
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{
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if (item.Price >= level.LowValue && item.Price < level.HighValue)
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{
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time = item.Time;
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}
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}
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finalLevels[i] = new SupportLevel()
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{
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HighValue = level.HighValue,
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LowValue = level.LowValue,
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Value = level.Value,
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LastLevelTime = time,
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CalculatedAt = message.Time,
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};
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i++;
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}
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SupportLevels[message.Figi] = finalLevels;
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await _tradeDataProvider.LogPrice(message, "support_level_calc", message.Price);
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}
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_supportLevelsCalculationTimes[message.Figi] = message.Time;
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}
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private async Task ClosePositions(Asset[] assets, ITradeDataItem message, bool withProfitOnly = true)
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{
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var loggedDeclisions = 0;
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var assetType = _tradeDataProvider.GetAssetTypeByFigi(message.Figi);
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var assetsForClose = new List<Asset>();
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var price = message.Price;
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if (price == 0)
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{
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price = await _tradeDataProvider.GetLastPrice(message.Figi);
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}
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price = System.Math.Round(price, 2);
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var messages = new List<string>();
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foreach (var asset in assets)
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{
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Asset? assetForClose = null;
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string? mess = null;
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if (withProfitOnly)
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{
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var profit = 0m;
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if (assetType == AssetType.Futures)
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{
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if (_tradeDataProvider.Orderbooks.TryGetValue(message.Figi, out var orderbook))
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{
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if (asset.Count < 0 && orderbook.Asks.Length > 0)
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{
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price = orderbook.Asks[0].Price;
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}
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else if (orderbook.Bids.Length > 0)
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{
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price = orderbook.Bids[0].Price;
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}
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}
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profit = TradingCalculator.CaclProfit(asset.BoughtPrice, price,
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||
GetComission(assetType), GetLeverage(message.Figi, asset.Count < 0), asset.Count < 0);
|
||
}
|
||
if (profit > 0)
|
||
{
|
||
profit = System.Math.Round(profit, 2);
|
||
assetForClose = asset;
|
||
mess = $"Закрываю позицию {asset.Figi} ({(asset.Count > 0 ? "лонг" : "шорт")}) на счёте {_portfolioWrapper.Accounts[asset.AccountId].AccountName}. Количество {(long)asset.Count}, цена ~{price}, профит {profit}";
|
||
if (loggedDeclisions == 0)
|
||
{
|
||
loggedDeclisions++;
|
||
await _tradeDataProvider.LogDeclision(asset.Count < 0 ? DeclisionTradeAction.CloseShortReal : DeclisionTradeAction.CloseLongReal, message, profit);
|
||
}
|
||
}
|
||
}
|
||
else
|
||
{
|
||
mess = $"Закрываю позицию {asset.Figi} ({(asset.Count > 0 ? "лонг" : "шорт")}) на счёте {_portfolioWrapper.Accounts[asset.AccountId].AccountName}. Количество {(long)asset.Count}, цена ~{price}";
|
||
assetForClose = asset;
|
||
}
|
||
|
||
if (assetForClose != null && mess != null)
|
||
{
|
||
await _portfolioWrapper.Accounts[asset.AccountId].ClosePosition(message.Figi);
|
||
await _dataBus.Broadcast(new MessageForAdmin() { Text = mess });
|
||
}
|
||
}
|
||
}
|
||
|
||
private async Task OpenPositions(IManagedAccount[] accounts, ITradeDataItem message, PositionType positionType, decimal stopLossShift, decimal takeProfitShift, long count = 1)
|
||
{
|
||
var loggedDeclisions = 0;
|
||
var sign = positionType == PositionType.Long ? 1 : 1;
|
||
foreach (var acc in accounts)
|
||
{
|
||
if (TraderUtils.IsOperationAllowed(acc, message.Price, count, _exchangeConfig.AccountCashPartFutures, _exchangeConfig.AccountCashPart))
|
||
{
|
||
await acc.OpenPosition(message.Figi, positionType, stopLossShift, takeProfitShift, count);
|
||
await _dataBus.Broadcast(new MessageForAdmin()
|
||
{
|
||
Text = $"Открываю позицию {message.Figi} ({(positionType == PositionType.Long ? "лонг" : "шорт")}) " +
|
||
$"на счёте {acc.AccountName}. Количество {(positionType == PositionType.Long ? "" : "-")}{count}, " +
|
||
$"цена ~{System.Math.Round(message.Price, 2)}. Стоп лосс: {(positionType == PositionType.Long ? "-" : "+")}{stopLossShift}. " +
|
||
$"Тейк профит: {(positionType == PositionType.Long ? "+" : "-")}{takeProfitShift}"
|
||
});
|
||
}
|
||
|
||
if (loggedDeclisions == 0)
|
||
{
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLongReal, message);
|
||
loggedDeclisions++;
|
||
}
|
||
}
|
||
}
|
||
|
||
private async Task ExecuteDeclisions(ImmutableDictionary<TradingEvent, decimal> result, ITradeDataItem message, Stops st, int accountsForOpening = 1)
|
||
{
|
||
var state = ExchangeScheduler.GetCurrentState(message.Time);
|
||
if (result[TradingEvent.OpenLong] >= Constants.UppingCoefficient
|
||
&& state == ExchangeState.Open
|
||
)
|
||
{
|
||
var stops = st.GetStops(PositionType.Long);
|
||
|
||
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
|
||
{
|
||
var accounts = _portfolioWrapper.Accounts
|
||
.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
|
||
.Take(accountsForOpening)
|
||
.Select(a => a.Value)
|
||
.ToArray();
|
||
await OpenPositions(accounts, message, PositionType.Long, stops.stopLoss, stops.takeProfit, 1);
|
||
}
|
||
var val = message.Price;
|
||
var valLow = message.Price - stops.stopLoss;
|
||
var valHigh = message.Price + stops.takeProfit;
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLong, val, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
|
||
//await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, valHigh, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, valLow, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
|
||
}
|
||
if (result[TradingEvent.OpenShort] >= Constants.UppingCoefficient
|
||
&& state == ExchangeState.Open
|
||
)
|
||
{
|
||
var stops = st.GetStops(PositionType.Short);
|
||
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
|
||
{
|
||
var accounts = _portfolioWrapper.Accounts
|
||
.Where(a => !a.Value.Assets.ContainsKey(message.Figi))
|
||
.Take(1)
|
||
.Select(a => a.Value)
|
||
.ToArray();
|
||
await OpenPositions(accounts, message, PositionType.Short, stops.stopLoss, stops.takeProfit, 1);
|
||
}
|
||
var val = message.Price;
|
||
var valLow = message.Price - stops.takeProfit;
|
||
var valHigh = message.Price + stops.stopLoss;
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenShort, val, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
|
||
//await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, valLow, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, valHigh, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
|
||
}
|
||
if (result[TradingEvent.CloseLong] >= Constants.UppingCoefficient)
|
||
{
|
||
if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
|
||
{
|
||
var assetsForClose = _portfolioWrapper.Accounts
|
||
.SelectMany(a => a.Value.Assets.Values)
|
||
.Where(a => a.Figi == message.Figi && a.Count > 0)
|
||
.ToArray();
|
||
await ClosePositions(assetsForClose, message);
|
||
}
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
|
||
|
||
}
|
||
|
||
if (result[TradingEvent.CloseShort] >= Constants.UppingCoefficient)
|
||
{
|
||
if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
|
||
{
|
||
var assetsForClose = _portfolioWrapper.Accounts
|
||
.SelectMany(a => a.Value.Assets.Values)
|
||
.Where(a => a.Figi == message.Figi && a.Count < 0)
|
||
.ToArray();
|
||
await ClosePositions(assetsForClose, message);
|
||
}
|
||
await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
|
||
|
||
}
|
||
}
|
||
|
||
public Task StopAsync(CancellationToken cancellationToken)
|
||
{
|
||
return Task.CompletedTask;
|
||
}
|
||
|
||
private decimal GetComission(AssetType assetType)
|
||
{
|
||
if (assetType == AssetType.Common)
|
||
{
|
||
return _exchangeConfig.ShareComission;
|
||
}
|
||
else if (assetType == AssetType.Futures)
|
||
{
|
||
return _exchangeConfig.FutureComission;
|
||
}
|
||
else
|
||
{
|
||
return 0;
|
||
}
|
||
}
|
||
|
||
private decimal GetLeverage(string figi, bool isShort)
|
||
{
|
||
var res = 1m;
|
||
var leverage = _exchangeConfig.InstrumentsSettings.FirstOrDefault(l => l.Figi == figi);
|
||
if (leverage != null)
|
||
{
|
||
res = isShort ? leverage.ShortLeverage : leverage.LongLeverage;
|
||
}
|
||
return res;
|
||
}
|
||
|
||
private Stops GetStops(ITradeDataItem message)
|
||
{
|
||
var additionalShift = message.Price * 0.001m;
|
||
var longStopLossShift = message.Price * 0.0025m;
|
||
var longTakeProfitShift = message.Price * 0.02m;
|
||
var shortStopLossShift = message.Price * 0.0025m;
|
||
var shortTakeProfitShift = message.Price * 0.02m;
|
||
if (SupportLevels.TryGetValue(message.Figi, out var levels))
|
||
{
|
||
if (levels.Length > 0)
|
||
{
|
||
var levelsByTime = levels.Where(l => l.LastLevelTime.HasValue)
|
||
.OrderByDescending(l => l.LastLevelTime)
|
||
.ToArray();
|
||
if (message.Price >= levelsByTime[0].LowValue && message.Price < levelsByTime[0].HighValue)
|
||
{
|
||
longStopLossShift = message.Price - levelsByTime[0].LowValue;
|
||
shortStopLossShift = levelsByTime[0].HighValue - message.Price;
|
||
}
|
||
else
|
||
{
|
||
var levelsByDiffForLong = levels.Where(l => l.LastLevelTime.HasValue)
|
||
.OrderBy(l => l.Value - message.Price)
|
||
.ToArray();
|
||
|
||
var levelsByDiffForShort = levels.Where(l => l.LastLevelTime.HasValue)
|
||
.OrderByDescending(l => l.Value - message.Price)
|
||
.ToArray();
|
||
|
||
var nearestLevel = levelsByDiffForLong[0];
|
||
if (message.Price > nearestLevel.HighValue)
|
||
{
|
||
longStopLossShift = message.Price - nearestLevel.HighValue + additionalShift;
|
||
}
|
||
|
||
nearestLevel = levelsByDiffForShort[0];
|
||
if (message.Price < nearestLevel.LowValue)
|
||
{
|
||
shortStopLossShift = nearestLevel.LowValue - message.Price + additionalShift;
|
||
}
|
||
}
|
||
}
|
||
}
|
||
return new Stops(longStopLossShift, longTakeProfitShift, shortStopLossShift, shortTakeProfitShift);
|
||
}
|
||
|
||
private static ImmutableDictionary<TradingEvent, decimal> ProcessStops(Stops stops, decimal meanfullLevel)
|
||
{
|
||
var res = TraderUtils.GetInitDict(1);
|
||
if (stops.LongTakeProfitShift < meanfullLevel || stops.LongStopLossShift < meanfullLevel)
|
||
{
|
||
res[TradingEvent.OpenLong] = Constants.BlockingCoefficient;
|
||
}
|
||
if (stops.ShortTakeProfitShift < meanfullLevel || stops.ShortStopLossShift < meanfullLevel)
|
||
{
|
||
res[TradingEvent.OpenShort] = Constants.BlockingCoefficient;
|
||
}
|
||
|
||
return res.ToImmutableDictionary();
|
||
}
|
||
|
||
private async Task<ImmutableDictionary<TradingEvent, decimal>> ProcessSupportLevels(ITradeDataItem message)
|
||
{
|
||
var res = TraderUtils.GetInitDict(1);
|
||
if (SupportLevels.TryGetValue(message.Figi, out var levels))
|
||
{
|
||
foreach (var lev in levels)
|
||
{
|
||
if (message.Price >= lev.LowValue && message.Price < lev.HighValue)
|
||
{
|
||
await _tradeDataProvider.LogPrice(message, "support_level", message.Price);
|
||
}
|
||
}
|
||
|
||
if (levels.Length > 0)
|
||
{
|
||
var levelsByTime = levels.Where(l => l.LastLevelTime.HasValue)
|
||
.OrderByDescending(l => l.LastLevelTime)
|
||
.ToArray();
|
||
var levelByTime = levelsByTime[0];
|
||
if (message.Price >= levelByTime.LowValue && message.Price < levelByTime.HighValue)
|
||
{
|
||
if (message.Price > levelByTime.Value)
|
||
{
|
||
res[TradingEvent.OpenLong] = Constants.BlockingCoefficient;
|
||
}
|
||
if (message.Price < levelByTime.Value)
|
||
{
|
||
res[TradingEvent.OpenShort] = Constants.BlockingCoefficient;
|
||
}
|
||
if (_oldItems.TryGetValue(message.Figi, out var old1))
|
||
{
|
||
var islevelUsed = false;
|
||
if (_usedSupportLevelsForClosing.TryGetValue(message.Figi, out var time))
|
||
{
|
||
if (time == levelByTime.CalculatedAt)
|
||
{
|
||
islevelUsed = true;
|
||
}
|
||
}
|
||
if (!islevelUsed)
|
||
{
|
||
if (old1.Price < levelByTime.LowValue || levelByTime.CalculatedAt == message.Time)
|
||
{
|
||
res[TradingEvent.CloseLong] = Constants.ForceExecuteCoefficient;
|
||
_usedSupportLevelsForClosing[message.Figi] = levelByTime.CalculatedAt;
|
||
}
|
||
if (old1.Price > levelByTime.HighValue || levelByTime.CalculatedAt == message.Time)
|
||
{
|
||
res[TradingEvent.CloseShort] = Constants.ForceExecuteCoefficient;
|
||
_usedSupportLevelsForClosing[message.Figi] = levelByTime.CalculatedAt;
|
||
}
|
||
}
|
||
|
||
}
|
||
}
|
||
else if (_oldItems.TryGetValue(message.Figi, out var old))
|
||
{
|
||
if (old.Price >= levelByTime.LowValue && old.Price < levelByTime.HighValue)
|
||
{
|
||
var islevelUsed = false;
|
||
if (_usedSupportLevels.TryGetValue(message.Figi, out var time))
|
||
{
|
||
if (time == levelByTime.CalculatedAt)
|
||
{
|
||
islevelUsed = true;
|
||
}
|
||
}
|
||
if (!islevelUsed)
|
||
{
|
||
if (message.Price < levelByTime.LowValue)
|
||
{
|
||
res[TradingEvent.OpenShort] = Constants.ForceExecuteCoefficient;
|
||
_usedSupportLevels[message.Figi] = levelByTime.CalculatedAt;
|
||
}
|
||
else if (message.Price > levelByTime.HighValue)
|
||
{
|
||
res[TradingEvent.OpenLong] = Constants.ForceExecuteCoefficient;
|
||
_usedSupportLevels[message.Figi] = levelByTime.CalculatedAt;
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
}
|
||
return res.ToImmutableDictionary();
|
||
}
|
||
}
|
||
}
|