klhztrader/KLHZ.Trader.Core.Math/Declisions/Utils/LocalTrends.cs

using KLHZ.Trader.Core.Contracts.Declisions.Dtos.Enums;
using KLHZ.Trader.Core.Contracts.Declisions.Interfaces;
using KLHZ.Trader.Core.Math.Declisions.Dtos;

namespace KLHZ.Trader.Core.Math.Declisions.Utils
{
    /// <summary>
    /// Обработка последних интервалов истории изменения цен.
    /// </summary>
    public static class LocalTrends
    {
        public static TradingEvent CheckByLocalTrends(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
        {
            var res = TradingEvent.None;
            res |= CheckUptrendStart(times, prices, firstPeriod, secondPeriod, meanfullDiff, boundIndex);
            res |= CheckUptrendEnd(times, prices, firstPeriod, secondPeriod, meanfullDiff, boundIndex);

            return res;
        }

        internal static TradingEvent CheckUptrendStart(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
        {
            var periodStat = GetTwoPeriodsProcessingData(times, prices, firstPeriod, secondPeriod, boundIndex, meanfullDiff);
            var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
            var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
            return isStartOk && isEndOk && prices[periodStat.Start] - prices[periodStat.End] >= meanfullDiff ? TradingEvent.UptrendStart : TradingEvent.None;
        }

        internal static TradingEvent CheckUptrendEnd(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
        {
            var periodStat = GetTwoPeriodsProcessingData(times, prices, firstPeriod, secondPeriod, boundIndex, meanfullDiff);
            var isStartOk = periodStat.Success && periodStat.DiffStart > 0 && periodStat.DiffStart > 1.5m * meanfullDiff;
            var isEndOk = periodStat.Success && periodStat.DiffEnd < meanfullDiff;
            return isStartOk && isEndOk && prices[periodStat.End] - prices[periodStat.Start] >= meanfullDiff ? TradingEvent.UptrendEnd : TradingEvent.None; ;
        }

        internal static TwoLocalTrendsResultDto GetTwoPeriodsProcessingData(DateTime[] times, decimal[] prices, TimeSpan firstPeriod, TimeSpan lastPeriod, int boundIndex, decimal meanfullDiff)
        {
            var res = new TwoLocalTrendsResultDto(success: false, 0, 0, 0, 0, 0, TimeSpan.Zero, TimeSpan.Zero);
            int count = -1;
            var lastTime = times[times.Length - 1];
            var bound = -1;
            var start = -1;
            var end = times.Length - 1;

            for (int i = times.Length - 1; i > -1; i--)
            {
                if (count > 0 && bound < 0 && (count == boundIndex || lastTime - times[i] >= lastPeriod))
                {
                    bound = i;
                    lastPeriod = lastTime - times[i];
                }
                if (lastTime - times[i] >= lastPeriod + firstPeriod)
                {
                    start = i;

                    break;
                }

                count++;
            }

            if (start < bound && start >= 0 && bound > 0)
            {
                var diff1 = prices[bound] - prices[start];
                var diff2 = prices[end] - prices[bound];
                res = new TwoLocalTrendsResultDto(true, diff1, diff2, start, bound, end, times[bound] - times[start], times[end] - times[bound]);
            }
            return res;
        }
        internal static bool CheckLongOpen(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
        {
            var data = unit.GetData().Result;
            var periodStat = GetTwoPeriodsProcessingData(data.timestamps, data.prices, firstPeriod, secondPeriod, boundIndex, meanfullDiff);
            var isStartOk = periodStat.Success && periodStat.DiffStart < -meanfullDiff;
            var isEndOk = periodStat.Success && periodStat.DiffEnd >= meanfullDiff;
            return isStartOk && isEndOk && data.prices[periodStat.Start] - data.prices[periodStat.End] >= meanfullDiff;
        }

        internal static bool CheckLongClose(this IPriceHistoryCacheUnit unit, TimeSpan firstPeriod, TimeSpan secondPeriod, decimal meanfullDiff, int boundIndex)
        {
            var data = unit.GetData().Result;
            var periodStat = GetTwoPeriodsProcessingData(data.timestamps, data.prices, firstPeriod, secondPeriod, boundIndex, meanfullDiff);
            var isStartOk = periodStat.Success && periodStat.DiffStart > 0 && periodStat.DiffStart > 1.5m * meanfullDiff;
            var isEndOk = periodStat.Success && periodStat.DiffEnd < meanfullDiff;
            return isStartOk && isEndOk && data.prices[periodStat.End] - data.prices[periodStat.Start] >= meanfullDiff;
        }

        internal static TradingEvent Detect(IPriceHistoryCacheUnit data)
        {
            decimal meanfullDiff = 1m;

            var res = TradingEvent.None;
            //var downtrendStarts = data.CheckDowntrendStarting(TimeSpan.FromSeconds(30), TimeSpan.FromSeconds(7), meanfullDiff);
            var uptrendStarts = data.CheckLongOpen(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(7), meanfullDiff, 3);
            var uptrendStarts2 = data.CheckLongOpen(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(3), meanfullDiff, 2);
            var downtrendEnds = data.CheckLongOpen(TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(10), meanfullDiff, 5);
            uptrendStarts |= downtrendEnds;
            uptrendStarts |= uptrendStarts2;
            if (uptrendStarts)
            {
                res |= TradingEvent.LongClose;
            }
            //var downtrendEnds = data.CheckDowntrendEnding(TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(15), meanfullDiff);

            var uptrendEnds = data.CheckLongClose(TimeSpan.FromSeconds(15), TimeSpan.FromSeconds(20), meanfullDiff * 1.5m, 8);
            var uptrendEnds2 = data.CheckLongClose(TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(30), meanfullDiff, 8);
            uptrendEnds |= uptrendEnds2;
            if (uptrendEnds)
            {
                res |= TradingEvent.LongOpen;
            }
            return res;
        }
    }
}