376 lines
18 KiB
C#
376 lines
18 KiB
C#
using KLHZ.Trader.Core.Common;
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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.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;
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using KLHZ.Trader.Core.DataLayer.Entities.Declisions;
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using KLHZ.Trader.Core.DataLayer.Entities.Declisions.Enums;
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using KLHZ.Trader.Core.DataLayer.Entities.Prices;
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using KLHZ.Trader.Core.Exchange.Extentions;
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using KLHZ.Trader.Core.Exchange.Models;
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using KLHZ.Trader.Core.Exchange.Models.Assets;
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using KLHZ.Trader.Core.Math.Declisions.Services.Cache;
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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.DependencyInjection;
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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.Threading.Channels;
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using Tinkoff.InvestApi;
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using AssetType = KLHZ.Trader.Core.Exchange.Models.Assets.AssetType;
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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 InvestApiClient _investApiClient;
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private readonly IServiceProvider _provider;
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private readonly IDataBus _dataBus;
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private readonly BotModeSwitcher _botModeSwitcher;
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private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
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private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongOpens = new();
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private readonly ConcurrentDictionary<string, DeferredTrade> DeferredLongCloses = new();
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private readonly ConcurrentDictionary<string, DateTime> OpeningStops = new();
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private readonly ConcurrentDictionary<string, ManagedAccount> Accounts = new();
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private readonly ConcurrentDictionary<string, IPriceHistoryCacheUnit> _historyCash = new();
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private readonly ILogger<Trader> _logger;
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private readonly double _buyStopLength;
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private readonly decimal _futureComission;
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private readonly decimal _shareComission;
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private readonly decimal _accountCashPart;
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private readonly decimal _accountCashPartFutures;
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private readonly decimal _defaultBuyPartOfAccount;
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private readonly string[] _managedAccountsNamePatterns = [];
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private readonly string[] _tradingInstrumentsFigis = [];
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private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
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private readonly Channel<IOrderbook> _ordersbookChannel = Channel.CreateUnbounded<IOrderbook>();
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private readonly CancellationTokenSource _cts = new();
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public Trader(
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ILogger<Trader> logger,
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BotModeSwitcher botModeSwitcher,
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IServiceProvider provider,
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IOptions<ExchangeConfig> options,
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IDataBus dataBus,
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IDbContextFactory<TraderDbContext> dbContextFactory,
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InvestApiClient investApiClient)
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{
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_logger = logger;
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_botModeSwitcher = botModeSwitcher;
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_dataBus = dataBus;
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_provider = provider;
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_investApiClient = investApiClient;
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_managedAccountsNamePatterns = options.Value.ManagingAccountNamePatterns.ToArray();
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_dbContextFactory = dbContextFactory;
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_futureComission = options.Value.FutureComission;
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_shareComission = options.Value.ShareComission;
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_accountCashPart = options.Value.AccountCashPart;
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_accountCashPartFutures = options.Value.AccountCashPartFutures;
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_defaultBuyPartOfAccount = options.Value.DefaultBuyPartOfAccount;
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_tradingInstrumentsFigis = options.Value.TradingInstrumentsFigis;
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_buyStopLength = (double)options.Value.StopBuyLengthMinuts;
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}
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public async Task StartAsync(CancellationToken cancellationToken)
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{
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//await InitStops();
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var accounts = await _investApiClient.GetAccounts(_managedAccountsNamePatterns);
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var accountsList = new List<ManagedAccount>();
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int i = 0;
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foreach (var accountId in accounts)
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{
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var acc = _provider.GetKeyedService<ManagedAccount>(i);
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if (acc != null)
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{
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await acc.Init(accountId);
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Accounts[accountId] = acc;
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i++;
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}
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else
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{
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break;
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}
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}
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_dataBus.AddChannel(nameof(Trader), _pricesChannel);
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_dataBus.AddChannel(nameof(Trader), _ordersbookChannel);
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_ = ProcessPrices();
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_ = ProcessOrdersbooks();
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}
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private async Task ProcessPrices()
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{
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var declisionsForSave = new List<Declision>();
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var processedPrices = new List<ProcessedPrice>();
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while (await _pricesChannel.Reader.WaitToReadAsync())
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{
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var bigWindowProcessor = nameof(Trader) + "_big";
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var smallWindowProcessor = nameof(Trader) + "_small";
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var message = await _pricesChannel.Reader.ReadAsync();
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if (_tradingInstrumentsFigis.Contains(message.Figi))
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{
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if (_historyCash.TryGetValue(message.Figi, out var unit))
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{
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await unit.AddData(message);
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}
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else
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{
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unit = new PriceHistoryCacheUnit2(message.Figi, message);
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_historyCash.TryAdd(message.Figi, unit);
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}
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try
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{
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if (message.Figi == "FUTIMOEXF000")
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{
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DeferredTrade? longOpen;
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DeferredLongOpens.TryGetValue(message.Figi, out longOpen);
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if (longOpen != null)
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{
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if (longOpen.Time <= (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
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{
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DeferredLongOpens.TryRemove(message.Figi, out _);
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if (message.Value - longOpen.Price < 1)
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{
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LogDeclision(declisionsForSave, DeclisionTradeAction.OpenLong, message);
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}
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}
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}
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DeferredTrade? longClose;
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DeferredLongCloses.TryGetValue(message.Figi, out longClose);
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if (longClose != null)
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{
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if (longClose.Time <= (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
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{
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DeferredLongCloses.TryRemove(message.Figi, out _);
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if (longClose.Price - message.Value < 1)
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{
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LogDeclision(declisionsForSave, DeclisionTradeAction.CloseLong, message);
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}
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}
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}
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var windowMaxSize = 100;
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var data = await unit.GetData(windowMaxSize);
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if (OpeningStops.TryGetValue(message.Figi, out var dt))
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{
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if (dt < (message.IsHistoricalData ? message.Time : DateTime.UtcNow))
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{
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OpeningStops.TryRemove(message.Figi, out _);
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}
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}
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if ((unit.BidsCount / unit.AsksCount) < 0.5m || (unit.BidsCount / unit.AsksCount) > 2m)
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{
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var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(3);
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//OpeningStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
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//LogDeclision(declisionsForSave, DeclisionTradeAction.StopBuyShortTime, message);
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}
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var res = TradingEvent.None;
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var resultMoveAvFull = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 45, 180, 2.5m);
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var resultLongClose = MovingAverage.CheckByWindowAverageMean(data.timestamps, data.prices, windowMaxSize, 15, 120, 2.5m).events;
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var uptrendStarts = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(7), 1.5m, 3);
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var uptrendStarts2 = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(60), TimeSpan.FromSeconds(3), 1.5m, 2);
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var downtrendEnds = LocalTrends.CheckByLocalTrends(data.timestamps, data.prices, TimeSpan.FromSeconds(120), TimeSpan.FromSeconds(10), 1.5m, 5);
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res |= uptrendStarts;
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res |= uptrendStarts2;
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//res |= downtrendEnds;
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res |= resultLongClose;
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res |= resultMoveAvFull.events;
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if (resultMoveAvFull.bigWindowAv != 0)
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{
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LogPrice(processedPrices, message, bigWindowProcessor, resultMoveAvFull.bigWindowAv);
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LogPrice(processedPrices, message, smallWindowProcessor, resultMoveAvFull.smallWindowAv);
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}
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if ((resultLongClose & TradingEvent.StopBuy) == TradingEvent.StopBuy)
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{
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var stopTo = (message.IsHistoricalData ? message.Time : DateTime.UtcNow).AddMinutes(_buyStopLength);
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OpeningStops.AddOrUpdate(message.Figi, stopTo, (k, v) => stopTo);
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//LogDeclision(declisionsForSave, DeclisionTradeAction.StopBuy, message);
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}
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if ((res & TradingEvent.UptrendStart) == TradingEvent.UptrendStart
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&& !OpeningStops.TryGetValue(message.Figi, out _)
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&& data.timestamps.Length > 1
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&& (data.timestamps[data.timestamps.Length - 1] - data.timestamps[data.timestamps.Length - 2] < TimeSpan.FromMinutes(1)))
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{
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var trade = new DeferredTrade()
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{
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Figi = message.Figi,
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Price = message.Value,
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Time = message.Time.AddSeconds(15)
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};
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DeferredLongOpens[message.Figi] = trade;
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}
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if ((res & TradingEvent.UptrendEnd) == TradingEvent.UptrendEnd)
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{
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var trade = new DeferredTrade()
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{
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Figi = message.Figi,
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Price = message.Value,
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Time = message.Time.AddSeconds(15)
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};
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DeferredLongCloses[message.Figi] = trade;
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}
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//if ((resultLongOpen.events & TradingEvent.ShortOpen) == TradingEvent.ShortOpen
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// && !OpeningStops.TryGetValue(message.Figi, out _))
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//{
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// LogDeclision(declisionsForSave, DeclisionTradeAction.OpenShort, message);
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//}
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//if ((resultLongOpen.events & TradingEvent.ShortClose) == TradingEvent.ShortClose)
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//{
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// LogDeclision(declisionsForSave, DeclisionTradeAction.CloseShort, message);
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//}
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if ((!message.IsHistoricalData && (processedPrices.Count > 0 || declisionsForSave.Count > 0))
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|| (message.IsHistoricalData && ((processedPrices.Count + declisionsForSave.Count > 10000) || _pricesChannel.Reader.Count == 0)))
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{
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using var context = await _dbContextFactory.CreateDbContextAsync();
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context.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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if (processedPrices.Count > 0)
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{
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await context.ProcessedPrices.AddRangeAsync(processedPrices);
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processedPrices.Clear();
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}
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if (declisionsForSave.Count > 0)
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{
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await context.Declisions.AddRangeAsync(declisionsForSave);
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declisionsForSave.Clear();
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}
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await context.SaveChangesAsync();
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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 IMOEXF");
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}
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}
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}
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}
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private static void LogPrice(List<ProcessedPrice> prices, INewPrice message, string processor, decimal value)
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{
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prices.Add(new ProcessedPrice()
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{
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Figi = message.Figi,
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Ticker = message.Ticker,
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Processor = processor,
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Time = message.Time,
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Value = value,
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});
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}
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private static void LogDeclision(List<Declision> declisions, DeclisionTradeAction action, INewPrice message)
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{
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declisions.Add(new Declision()
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{
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AccountId = string.Empty,
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Figi = message.Figi,
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Ticker = message.Ticker,
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Price = message.Value,
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Time = message.IsHistoricalData ? message.Time : DateTime.UtcNow,
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Action = action,
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});
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}
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private async Task ProcessOrdersbooks()
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{
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while (await _ordersbookChannel.Reader.WaitToReadAsync())
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{
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var message = await _ordersbookChannel.Reader.ReadAsync();
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if (!_historyCash.TryGetValue(message.Figi, out var data))
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{
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data = new PriceHistoryCacheUnit2(message.Figi);
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_historyCash.TryAdd(message.Figi, data);
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}
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await data.AddOrderbook(message);
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}
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}
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public Task StopAsync(CancellationToken cancellationToken)
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{
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_cts.Cancel();
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return Task.CompletedTask;
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}
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private decimal GetComission(AssetType assetType)
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{
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if (assetType == AssetType.Common)
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{
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return _shareComission;
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}
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else if (assetType == AssetType.Futures)
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{
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return _futureComission;
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}
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else
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{
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return 0;
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}
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}
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private decimal GetCount(string accountId, decimal boutPrice)
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{
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var balance = Accounts[accountId].Balance;
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return System.Math.Floor(balance * _defaultBuyPartOfAccount / boutPrice);
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}
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private bool IsBuyAllowed(string accountId, decimal boutPrice, decimal count, bool needBigCash)
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{
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if (!_botModeSwitcher.CanPurchase()) return false;
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var balance = Accounts[accountId].Balance;
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var total = Accounts[accountId].Total;
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var futures = Accounts[accountId].Assets.Values.FirstOrDefault(v => v.Type == AssetType.Futures);
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if (futures != null || needBigCash)
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{
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if ((balance - boutPrice * count) / total < _accountCashPartFutures) return false;
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}
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else
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{
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if ((balance - boutPrice * count) / total < _accountCashPart) return false;
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}
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return true;
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}
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private bool IsSellAllowed(AssetType assetType, PositionType positionType, decimal boutPrice, decimal? requiredPrice, TradeCommandType commandType)
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{
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if (commandType >= TradeCommandType.MarketSell && commandType < TradeCommandType.ForceClosePosition && requiredPrice.HasValue)
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{
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var comission = GetComission(assetType);
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if (positionType == PositionType.Long)
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{
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return requiredPrice.Value * (1 - comission) > boutPrice * (1 + comission);
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}
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else if (positionType == PositionType.Short)
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{
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return requiredPrice.Value * (1 + comission) < boutPrice * (1 - comission);
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}
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}
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if (commandType == TradeCommandType.ForceClosePosition) return true;
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return false;
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}
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}
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}
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