460 lines
24 KiB
C#
460 lines
24 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.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.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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using Asset = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.Asset;
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using AssetType = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.AssetType;
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using PositionType = KLHZ.Trader.Core.Exchange.Models.AssetsAccounting.PositionType;
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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, decimal> DPirsonValues = new();
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private readonly Channel<INewPrice> _pricesChannel = Channel.CreateUnbounded<INewPrice>();
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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 == Contracts.Messaging.Dtos.Enums.TradeCommandType.OpenLong
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|| command.CommandType == Contracts.Messaging.Dtos.Enums.TradeCommandType.OpenShort)
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{
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var fakeMessage = new NewPriceMessage() { 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 stops = GetStops(fakeMessage, 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 NewPriceMessage() { 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<INewPrice>>();
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var pricesCache2 = new Dictionary<string, List<INewPrice>>();
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var timesCache = new Dictionary<string, DateTime>();
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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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var changeMods = TraderUtils.GetInitDict(0);
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try
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{
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message = TraderUtils.FilterHighFreqValues(message, message.Direction == 1 ? pricesCache1 : pricesCache2);
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#region Добавление данных в кеши.
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if (message.Figi == "BBG004730N88" || message.Figi == "FUTIMOEXF000")
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{
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if (message.Direction == 1)
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{
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await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "1", new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minBuyCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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}
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if (message.Direction == 2)
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{
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await _tradeDataProvider.AddDataTo5MinuteWindowCache(message.Figi, Constants._5minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo15MinuteWindowCache(message.Figi, Constants._15minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo1MinuteWindowCache(message.Figi, Constants._1minSellCacheKey, new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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await _tradeDataProvider.AddDataTo20SecondsWindowCache(message.Figi, "2", new Contracts.Declisions.Dtos.CachedValue()
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{
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Time = message.Time,
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Count = message.Count,
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Price = message.Price,
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});
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}
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}
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#endregion
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if (_exchangeConfig.TradingInstrumentsFigis.Contains(message.Figi) && message.Direction == 1)
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{
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var smallWindow = TimeSpan.FromSeconds(120);
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var bigWindow = TimeSpan.FromSeconds(240);
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var meanWindow = TimeSpan.FromSeconds(240);
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var currentTime = message.IsHistoricalData ? message.Time : DateTime.UtcNow;
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var buys = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, Constants._15minBuyCacheKey);
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var sells = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, Constants._15minSellCacheKey);
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var trades = buys.ToList();
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trades.AddRange(sells);
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var trades2 = trades.OrderBy(t => t.Time).ToArray();
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if (trades2.TryCalcTimeWindowsDiff(bigWindow, smallWindow, v => v.Count, false, out var tradesDiff)
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&& buys.TryCalcTimeWindowsDiff(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.AddDataTo15MinuteWindowCache(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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});
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var diffs = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, "5min_diff");
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if (diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value, true, out var resdp)
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&& diffs.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value2, true, out var resv))
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{
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await _tradeDataProvider.LogPrice(message, "privcesDiffDiff", (decimal)resdp);
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await _tradeDataProvider.LogPrice(message, "tradevolume_diff_diff", (decimal)resv);
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if (diffs.TryCalcPirsonCorrelation(meanWindow, out var pirson))
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{
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await _tradeDataProvider.LogPrice(message, "diffs_pirson", (decimal)pirson);
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await _tradeDataProvider.AddDataTo15MinuteWindowCache(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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});
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var diffs_pirson = await _tradeDataProvider.GetDataFrom15MinuteWindowCache(message.Figi, "diffs_pirson");
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if (diffs_pirson.TryCalcTimeWindowsDiff(bigWindow, smallWindow, (c) => c.Value, true, out var res))
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{
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if (DPirsonValues.TryGetValue(message.Figi, out var olddpirs))
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{
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if (olddpirs < 0.5m && res > 0.5m)
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{
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await _tradeDataProvider.LogPrice(message, "diffs_pirson_diff_point0.5", message.Price);
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}
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}
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DPirsonValues[message.Figi] = res;
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}
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}
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}
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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 ClosePositions(Asset[] assets, INewPrice 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);
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}
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if (profit > 0)
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{
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profit = System.Math.Round(profit, 2);
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assetForClose = asset;
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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}";
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if (loggedDeclisions == 0)
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{
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loggedDeclisions++;
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await _tradeDataProvider.LogDeclision(asset.Count < 0 ? DeclisionTradeAction.CloseShortReal : DeclisionTradeAction.CloseLongReal, message, profit);
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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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mess = $"Закрываю позицию {asset.Figi} ({(asset.Count > 0 ? "лонг" : "шорт")}) на счёте {_portfolioWrapper.Accounts[asset.AccountId].AccountName}. Количество {(long)asset.Count}, цена ~{price}";
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assetForClose = asset;
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}
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if (assetForClose != null && mess != null)
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{
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await _portfolioWrapper.Accounts[asset.AccountId].ClosePosition(message.Figi);
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await _dataBus.Broadcast(new MessageForAdmin() { Text = mess });
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}
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}
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}
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private async Task OpenPositions(IManagedAccount[] accounts, INewPrice message, PositionType positionType, decimal stopLossShift, decimal takeProfitShift, long count = 1)
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{
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var loggedDeclisions = 0;
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var sign = positionType == PositionType.Long ? 1 : 1;
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foreach (var acc in accounts)
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{
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if (TraderUtils.IsOperationAllowed(acc, message.Price, 1, _exchangeConfig.AccountCashPartFutures, _exchangeConfig.AccountCashPart))
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{
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await acc.OpenPosition(message.Figi, positionType, stopLossShift, takeProfitShift, count);
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await _dataBus.Broadcast(new MessageForAdmin()
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{
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Text = $"Открываю позицию {message.Figi} ({(positionType == PositionType.Long ? "лонг" : "шорт")}) " +
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$"на счёте {acc.AccountName}. Количество {(positionType == PositionType.Long ? "" : "-")}{count}, " +
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$"цена ~{System.Math.Round(message.Price, 2)}. Стоп лосс: {(positionType == PositionType.Long ? "-" : "+")}{stopLossShift}. " +
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$"Тейк профит: {(positionType == PositionType.Long ? "+" : "-")}{takeProfitShift}"
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});
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}
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if (loggedDeclisions == 0)
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{
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLongReal, message);
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loggedDeclisions++;
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}
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}
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}
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private async Task ExecuteDeclisions(INewPrice message, ImmutableDictionary<TradingEvent, decimal> result)
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{
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var state = ExchangeScheduler.GetCurrentState();
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if (result[TradingEvent.UptrendStart] >= Constants.UppingCoefficient
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&& state == ExchangeState.Open
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)
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{
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var stops = GetStops(message, PositionType.Long);
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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{
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var accounts = _portfolioWrapper.Accounts
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.Where(a => !a.Value.Assets.ContainsKey(message.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, message, PositionType.Long, stops.stopLoss, stops.takeProfit, 1);
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}
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price + stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsLong, message.Price - stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
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}
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if (result[TradingEvent.DowntrendStart] >= Constants.UppingCoefficient
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&& state == ExchangeState.Open
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)
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{
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var stops = GetStops(message, PositionType.Short);
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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{
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var accounts = _portfolioWrapper.Accounts
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.Where(a => !a.Value.Assets.ContainsKey(message.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, message, PositionType.Short, stops.stopLoss, stops.takeProfit, 1);
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}
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.OpenShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price - stops.takeProfit, message.Time.AddMilliseconds(-RandomNumberGenerator.GetInt32(300, 1000)), message);
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.ResetStopsShort, message.Price + stops.stopLoss, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(300, 1000)), message);
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}
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if (result[TradingEvent.UptrendEnd] >= Constants.UppingCoefficient * 10)
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{
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if (!message.IsHistoricalData && BotModeSwitcher.CanSell())
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{
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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 == message.Figi && a.Count > 0)
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.ToArray();
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await ClosePositions(assetsForClose, message);
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}
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseLong, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), message);
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}
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if (result[TradingEvent.DowntrendEnd] >= Constants.UppingCoefficient * 10)
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{
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if (!message.IsHistoricalData && BotModeSwitcher.CanPurchase())
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{
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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 == message.Figi && a.Count < 0)
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.ToArray();
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await ClosePositions(assetsForClose, message);
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}
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await _tradeDataProvider.LogDeclision(DeclisionTradeAction.CloseShort, message.Price, message.Time.AddMilliseconds(RandomNumberGenerator.GetInt32(-100, 100)), 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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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 _exchangeConfig.ShareComission;
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}
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else if (assetType == AssetType.Futures)
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{
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||
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 (decimal stopLoss, decimal takeProfit) GetStops(INewPrice message, PositionType type)
|
||
{
|
||
decimal stopLossShift = 2m;
|
||
decimal takeProfitShift = 6;
|
||
return (stopLossShift, takeProfitShift);
|
||
}
|
||
}
|
||
}
|