klhztrader/KLHZ.Trader.Core/Declisions/Services/Trader.cs

using KLHZ.Trader.Core.Common;
using KLHZ.Trader.Core.Common.Messaging.Contracts;
using KLHZ.Trader.Core.Common.Messaging.Contracts.Messages;
using KLHZ.Trader.Core.Common.Messaging.Contracts.Messages.Enums;
using KLHZ.Trader.Core.DataLayer;
using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
using KLHZ.Trader.Core.Declisions.Models;
using KLHZ.Trader.Core.Declisions.Utils;
using KLHZ.Trader.Core.Exchange;
using KLHZ.Trader.Core.Exchange.Extentions;
using KLHZ.Trader.Core.Exchange.Models;
using KLHZ.Trader.Core.Exchange.Services;
using Microsoft.EntityFrameworkCore;
using Microsoft.Extensions.DependencyInjection;
using Microsoft.Extensions.Hosting;
using Microsoft.Extensions.Options;
using System.Collections.Concurrent;
using System.Threading.Channels;
using Tinkoff.InvestApi;
using AssetType = KLHZ.Trader.Core.Exchange.Models.AssetType;

namespace KLHZ.Trader.Core.Declisions.Services
{
    public class Trader : IHostedService
    {
        private readonly InvestApiClient _investApiClient;
        private readonly IServiceProvider _provider;
        private readonly IDataBus _dataBus;
        private readonly BotModeSwitcher _botModeSwitcher;
        private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
        private readonly ConcurrentDictionary<string, ManagedAccount> Accounts = new();
        private readonly ConcurrentDictionary<string, PriceHistoryCacheUnit> _historyCash = new();

        private readonly decimal _futureComission;
        private readonly decimal _shareComission;
        private readonly decimal _accountCashPart;
        private readonly decimal _accountCashPartFutures;
        private readonly decimal _defaultBuyPartOfAccount;
        private readonly string[] _managedAccountsNamePatterns = [];

        private readonly Channel<INewPriceMessage> _pricesChannel = Channel.CreateUnbounded<INewPriceMessage>();

        public Trader(
            BotModeSwitcher botModeSwitcher,
            IServiceProvider provider,
            IOptions<ExchangeConfig> options,
            IDataBus dataBus,
            IDbContextFactory<TraderDbContext> dbContextFactory,
            InvestApiClient investApiClient)
        {
            _botModeSwitcher = botModeSwitcher;
            _dataBus = dataBus;
            _provider = provider;
            _investApiClient = investApiClient;
            _managedAccountsNamePatterns = options.Value.ManagingAccountNamePatterns.ToArray();
            _dbContextFactory = dbContextFactory;
            _futureComission = options.Value.FutureComission;
            _shareComission = options.Value.ShareComission;
            _accountCashPart = options.Value.AccountCashPart;
            _accountCashPartFutures = options.Value.AccountCashPartFutures;
            _defaultBuyPartOfAccount = options.Value.DefaultBuyPartOfAccount;
        }

        public async Task StartAsync(CancellationToken cancellationToken)
        {
            var accounts = await _investApiClient.GetAccounts(_managedAccountsNamePatterns);
            var accountsList = new List<ManagedAccount>();
            int i = 0;
            foreach (var accountId in accounts)
            {
                var acc = _provider.GetKeyedService<ManagedAccount>(i);
                if (acc != null)
                {
                    await acc.Init(accountId);
                    Accounts[accountId] = acc;
                    i++;
                }
                else
                {
                    break;
                }
            }

            _dataBus.AddChannel(nameof(Trader), _pricesChannel);
            _ = ProcessMessages();
        }


        private async Task ProcessMessages()
        {
            while (await _pricesChannel.Reader.WaitToReadAsync())
            {
                var message = await _pricesChannel.Reader.ReadAsync();
                if (_historyCash.TryGetValue(message.Figi, out var data))
                {
                    data.AddData(message);
                }
                else
                {
                    data = new PriceHistoryCacheUnit(message.Figi, message);
                    _historyCash.TryAdd(message.Figi, data);
                }

                if (message.IsHistoricalData)
                {
                    float meanfullDiff;
                    if (message.Figi == "BBG004730N88")
                    {
                        meanfullDiff = 0.16f;
                    }
                    else if (message.Figi == "FUTIMOEXF000")
                    {
                        meanfullDiff = 1.5f;
                    }
                    else
                    {
                        continue;
                    }

                    try
                    {
                        var downtrendStarts = data.CheckDowntrendStarting(TimeSpan.FromSeconds(30), TimeSpan.FromSeconds(7), meanfullDiff);
                        var uptrendStarts = data.CheckUptrendStarting(TimeSpan.FromSeconds(45), TimeSpan.FromSeconds(10), meanfullDiff);

                        var downtrendEnds = data.CheckDowntrendEnding(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(15), meanfullDiff);
                        var uptrendEnds = data.CheckUptrendEnding(TimeSpan.FromSeconds(25), TimeSpan.FromSeconds(11), meanfullDiff);
                        //var uptrendEnds2 = data.CheckUptrendEnding(TimeSpan.FromSeconds(20), TimeSpan.FromSeconds(20), meanfullDiff);

                        //var uptrendEnds = uptrendEnds1 || uptrendEnds2;

                        var declisionAction = DeclisionTradeAction.Unknown;

                        if (downtrendStarts)
                        {
                            //declisionAction = DeclisionTradeAction.OpenShort;
                        }
                        else if (uptrendStarts)
                        {
                            declisionAction = DeclisionTradeAction.OpenLong;
                        }
                        else if (downtrendEnds)
                        {
                            //declisionAction = DeclisionTradeAction.CloseShort;
                        }
                        else if(uptrendEnds)
                        {
                            declisionAction = DeclisionTradeAction.CloseLong;
                        }

                        if (declisionAction != DeclisionTradeAction.Unknown)
                        {
                            using var context = await _dbContextFactory.CreateDbContextAsync();
                            context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
                            await context.Declisions.AddAsync(new Declision()
                            {
                                AccountId = string.Empty,
                                Figi = message.Figi,
                                Ticker = message.Ticker,
                                Price = message.Value,
                                Time = message.IsHistoricalData? message.Time: DateTime.UtcNow,
                                Action = declisionAction,
                            });
                            await context.SaveChangesAsync();
                        }
                    }
                    catch (Exception ex)
                    {

                    }

                }
            }
        }

        public async Task Preprocess(string figi)
        {
            if (_historyCash.TryGetValue(figi, out var unit))
            {
                var periodData1 = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, TimeSpan.FromSeconds(10));
                var periodData2 = unit.GetPriceDiffForTimeSpan(TimeSpan.FromSeconds(10), TimeSpan.FromSeconds(30));
                if (Math.Abs(periodData1.PeriodDiff) <= 1 && periodData2.PeriodDiff > 2)
                {
                    //можно покупать.
                }

                if (Math.Abs(periodData1.PeriodDiff) <= 1 && periodData2.PeriodDiff < -2)
                {
                    //можно продавать.
                }

            }
        }
        public Task StopAsync(CancellationToken cancellationToken)
        {
            return Task.CompletedTask;
        }

        private decimal GetComission(AssetType assetType)
        {
            if (assetType == AssetType.Common)
            {
                return _shareComission;
            }
            else if (assetType == AssetType.Futures)
            {
                return _futureComission;
            }
            else
            {
                return 0;
            }
        }

        private decimal GetCount(string accountId, decimal boutPrice)
        {
            var balance = Accounts[accountId].Balance;
            return System.Math.Floor(balance * _defaultBuyPartOfAccount / boutPrice);
        }

        private bool IsBuyAllowed(string accountId, decimal boutPrice, decimal count, bool needBigCash)
        {
            if (!_botModeSwitcher.CanPurchase()) return false;

            var balance = Accounts[accountId].Balance;
            var total = Accounts[accountId].Total;

            var futures = Accounts[accountId].Assets.Values.FirstOrDefault(v => v.Type == AssetType.Futures);
            if (futures != null || needBigCash)
            {
                if ((balance - boutPrice * count) / total < _accountCashPartFutures) return false;
            }
            else
            {
                if ((balance - boutPrice * count) / total < _accountCashPart) return false;
            }

            return true;
        }

        private bool IsSellAllowed(AssetType assetType, PositionType positionType, decimal boutPrice, decimal? requiredPrice, TradeCommandType commandType)
        {
            if (commandType >= TradeCommandType.MarketSell && commandType < TradeCommandType.ForceClosePosition && requiredPrice.HasValue)
            {
                var comission = GetComission(assetType);
                if (positionType == PositionType.Long)
                {
                    return requiredPrice.Value * (1 - comission) > boutPrice * (1 + comission);
                }
                else if (positionType == PositionType.Short)
                {
                    return requiredPrice.Value * (1 + comission) < boutPrice * (1 - comission);
                }
            }

            if (commandType == TradeCommandType.ForceClosePosition) return true;

            return false;
        }

    }
}