366 lines
15 KiB
C#
366 lines
15 KiB
C#
using KLHZ.Trader.Core.Contracts.Declisions.Dtos;
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using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
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using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
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using KLHZ.Trader.Core.Math.Declisions.Dtos;
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using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
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namespace KLHZ.Trader.Core.Math.Declisions.Utils
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{
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/// <summary>
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/// Обработка последних интервалов истории изменения цен.
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/// </summary>
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public static class TwoPeriods
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{
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internal static PeriodPricesInfoDto GetPriceDiffForTimeSpan(this IPriceHistoryCacheUnit unit, TimeSpan timeShift, TimeSpan timeSpan, int? pointsShift = null)
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{
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var res = new PeriodPricesInfoDto(false, 0, 0, 0, 0, 0, timeSpan, 0, 0);
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var data = unit.GetData().Result;
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var times = data.timestamps;
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var prices = data.prices;
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if (times.Length < 2) return res;
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var lastPriceTime = times[times.Length - 1];
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var intervalEnd = lastPriceTime - timeShift;
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var intervalStart = intervalEnd - timeSpan;
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var max = decimal.MinValue;
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var min = decimal.MaxValue;
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var intervaEndIndex = -1;
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var intervaStartIndex = -1;
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int count = 0;
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for (int i = times.Length - 1; i > -1; i--)
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{
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if ((times[i] <= intervalEnd || pointsShift.HasValue && count < pointsShift.Value) && intervaEndIndex < 0)
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{
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intervaEndIndex = i;
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}
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if (prices[i] > max && intervaEndIndex >= 0)
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{
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max = prices[i];
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}
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if (prices[i] < min && intervaEndIndex >= 0)
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{
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min = prices[i];
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}
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if (times[i] <= intervalStart && intervaStartIndex < 0)
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{
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intervaStartIndex = i;
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if (intervaStartIndex != intervaEndIndex && intervaEndIndex >= 0)
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break;
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}
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count++;
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}
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if (intervaStartIndex >= 0 && intervaEndIndex >= 0)
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{
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res = new PeriodPricesInfoDto(
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true,
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prices[intervaStartIndex],
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prices[intervaEndIndex],
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prices[intervaEndIndex] - prices[intervaStartIndex],
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min,
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max,
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timeSpan,
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intervaStartIndex,
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intervaEndIndex);
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}
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return res;
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}
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internal static bool CheckStable(this PeriodPricesInfoDto data, decimal meanfullDiff)
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{
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meanfullDiff = System.Math.Abs(meanfullDiff);
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return data.Success && System.Math.Abs(data.PeriodDiff) < 1.5m * meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 2 * meanfullDiff;
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}
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internal static bool CheckGrowing(this PeriodPricesInfoDto data, decimal meanfullDiff)
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{
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return meanfullDiff > 0 && data.Success && data.PeriodDiff > meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * System.Math.Abs(data.PeriodDiff);
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}
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internal static bool CheckFalling(this PeriodPricesInfoDto data, decimal meanfullDiff)
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{
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meanfullDiff = -meanfullDiff;
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return meanfullDiff < 0 && data.Success && data.PeriodDiff < meanfullDiff && System.Math.Abs(data.PeriodMax - data.PeriodMin) < 3 * System.Math.Abs(data.PeriodDiff);
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}
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internal static float CalcTrendRelationAbs(PeriodPricesInfoDto first, PeriodPricesInfoDto second)
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{
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var k1 = System.Math.Abs(first.PeriodDiff) / System.Math.Abs((decimal)first.Period.TotalSeconds);
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var k2 = System.Math.Abs(second.PeriodDiff) / System.Math.Abs((decimal)second.Period.TotalSeconds);
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if (k2 == 0 && k1 != 0) return 1000;
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return (float)(k1 / k2);
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}
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internal static float CalcTrendRelationAbs(TwoPeriodsResultDto data)
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{
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var k1 = System.Math.Abs(data.DiffStart) / System.Math.Abs((decimal)data.PeriodStart.TotalSeconds);
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var k2 = System.Math.Abs(data.DiffEnd) / System.Math.Abs((decimal)data.PeriodEnd.TotalSeconds);
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if (k2 == 0 && k1 != 0) return 1000;
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return (float)(k1 / k2);
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}
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internal static bool CheckDowntrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
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var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
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var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
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var isEndStable = endDiff.CheckStable(meanfullDiff);
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var isEndGrown = endDiff.CheckGrowing(meanfullDiff);
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var isStartFalls = startDiff.CheckFalling(meanfullDiff);
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var isTotalFalls = totalDiff.CheckFalling(meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(startDiff, endDiff);
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var res = totalDiff.Success && isStartFalls && (isEndStable || isEndGrown) && trendRelation >= 2;
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if (startDiff.Success)
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{
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}
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return res;
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}
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internal static bool CheckUptrendEnding(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
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var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
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var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
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var isEndStable = endDiff.CheckStable(meanfullDiff);
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var isEndFalls = endDiff.CheckFalling(meanfullDiff);
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var isStartGrows = startDiff.CheckGrowing(meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(startDiff, endDiff);
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var isEndLocal = endDiff.PeriodDiff == 0;
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var res = totalDiff.Success && isStartGrows && (isEndStable || isEndFalls) && trendRelation >= 2 && !isEndLocal;
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if (res)
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{
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}
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return res;
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}
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internal static bool CheckDowntrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
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var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
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var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
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var isEndFalls = endDiff.CheckFalling(meanfullDiff);
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var isStartStable = startDiff.CheckStable(meanfullDiff);
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var isStartGrows = startDiff.CheckGrowing(meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(endDiff, startDiff);
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return totalDiff.Success && (isStartStable || isStartGrows) && isEndFalls && trendRelation >= 2;
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}
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internal static bool CheckUptrendStarting(this PriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var totalDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, firstPeriod + secondPeriod);
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var startDiff = unit.GetPriceDiffForTimeSpan(secondPeriod, firstPeriod);
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var endDiff = unit.GetPriceDiffForTimeSpan(TimeSpan.Zero, secondPeriod);
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var isEndGrows = endDiff.CheckGrowing(meanfullDiff);
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var isStartStable = startDiff.CheckStable(meanfullDiff);
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var isStartFalls = startDiff.CheckStable(meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(endDiff, startDiff);
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var res = totalDiff.Success && (isStartStable || isStartFalls) && isEndGrows && endDiff.PeriodDiff > meanfullDiff;
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if (isStartStable)
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{
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res &= trendRelation >= 2;
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}
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else
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{
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}
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if (res)
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{
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}
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return res;
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}
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internal static TwoPeriodsResultDto GetTwoPeriodsProcessingData(this (DateTime[] timestamps, decimal[] prices) data, TimeSpan shift, int shiftPointsStart, int shiftPointsEnd, TimeSpan firstPeriod, decimal meanfullDiff)
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{
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var res = new TwoPeriodsResultDto(success: false, 0, 0, 0, 0, 0, TimeSpan.Zero, TimeSpan.Zero);
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var time = data.timestamps;
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var prices = data.prices;
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int count = -1;
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var lastTime = time[time.Length - 1];
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var bound = -1;
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var start = -1;
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var end = time.Length - 1;
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for (int i = time.Length - 1; i > -1; i--)
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{
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if (count > 0 && bound < 0 && (count == shiftPointsEnd || lastTime - time[i] >= shift))
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{
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bound = i;
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shift = lastTime - time[i];
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}
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if (lastTime - time[i] >= shift + firstPeriod)
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{
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start = i;
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break;
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}
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count++;
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}
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if (start < bound && start >= 0 && bound > 0)
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{
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var diff1 = prices[bound] - prices[start];
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var diff2 = prices[end] - prices[bound];
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res = new TwoPeriodsResultDto(true, diff1, diff2, start, bound, end, time[bound] - time[start], time[end] - time[bound]);
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}
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return res;
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}
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public static bool CheckLongClose(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int pointsStart, int pointsEnd)
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{
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var data = unit.GetData().Result;
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var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, pointsStart, pointsEnd, firstPeriod, meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(periodStat);
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var isStartOk = periodStat.Success && periodStat.DiffStart > 0 && periodStat.DiffStart > 1.5m * meanfullDiff;
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var isEndOk = periodStat.Success && periodStat.DiffEnd < meanfullDiff;
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if (isEndOk)
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{
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}
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if (isStartOk)
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{
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}
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if (isEndOk && isStartOk)
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{
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}
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return isStartOk && isEndOk && data.prices[periodStat.End] - data.prices[periodStat.Start] >= meanfullDiff;
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}
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internal static bool CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var data = unit.GetData().Result;
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var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, 15, 2, firstPeriod, meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(periodStat);
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var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
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var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
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if (isEndOk)
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{
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}
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if (isStartOk)
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{
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}
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if (isEndOk && isStartOk)
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{
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}
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return isStartOk && isEndOk;
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}
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internal static bool _CheckUptrendStarting2(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff)
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{
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var data = unit.GetData().Result;
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var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, 15, 1, firstPeriod, meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(periodStat);
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var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
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var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
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if (isEndOk)
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{
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}
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if (isStartOk)
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{
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}
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if (isEndOk && isStartOk)
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{
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}
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return isStartOk && isEndOk;
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}
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public static bool CheckLongOpen(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int pointsStart, int pointsEnd)
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{
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var data = unit.GetData().Result;
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var periodStat = data.GetTwoPeriodsProcessingData(secondPeriod, pointsStart, pointsEnd, firstPeriod, meanfullDiff);
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var trendRelation = CalcTrendRelationAbs(periodStat);
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var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
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var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
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if (isEndOk)
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{
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}
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if (isStartOk)
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{
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}
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if (isEndOk && isStartOk)
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{
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}
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return isStartOk && isEndOk && data.prices[periodStat.Start] - data.prices[periodStat.End] >= meanfullDiff;
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}
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public static TradingEvent Detect(IPriceHistoryCacheUnit data)
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{
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decimal meanfullDiff;
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if (data.Figi == "BBG004730N88")
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{
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meanfullDiff = 0.05m;
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}
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else if (data.Figi == "FUTIMOEXF000")
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{
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meanfullDiff = 1m;
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}
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else
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{
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return TradingEvent.None;
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}
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var res = TradingEvent.None;
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//var downtrendStarts = data.CheckDowntrendStarting(TimeSpan.FromSeconds(30), TimeSpan.FromSeconds(7), meanfullDiff);
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var uptrendStarts = data.CheckLongOpen(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(7), meanfullDiff, 8, 3);
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var uptrendStarts2 = data.CheckLongOpen(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(3), meanfullDiff, 15, 2);
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var downtrendEnds = data.CheckLongOpen(TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(10), meanfullDiff, 15, 5);
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uptrendStarts |= downtrendEnds;
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uptrendStarts |= uptrendStarts2;
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if (uptrendStarts)
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{
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res |= TradingEvent.LongClose;
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}
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//var downtrendEnds = data.CheckDowntrendEnding(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(15), meanfullDiff);
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var uptrendEnds = data.CheckLongClose(TimeSpan.FromSeconds(15), TimeSpan.FromSeconds(20), meanfullDiff * 1.5m, 8, 8);
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var uptrendEnds2 = data.CheckLongClose(TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(30), meanfullDiff, 15, 8);
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uptrendEnds |= uptrendEnds2;
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if (uptrendEnds)
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{
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res |= TradingEvent.LongOpen;
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}
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return res;
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}
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}
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}
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