240 lines
10 KiB
C#
240 lines
10 KiB
C#
using KLHZ.Trader.Core.Contracts.Messaging.Dtos;
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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.Orders;
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using KLHZ.Trader.Service.Models;
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using Microsoft.AspNetCore.Mvc;
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using Microsoft.EntityFrameworkCore;
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namespace KLHZ.Trader.Service.Controllers
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{
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[ApiController]
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[Route("[controller]/[action]")]
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public class PlayController : ControllerBase
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{
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private readonly IDataBus _dataBus;
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private readonly IDbContextFactory<TraderDbContext> _dbContextFactory;
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public PlayController(IDataBus dataBus, IDbContextFactory<TraderDbContext> dbContextFactory)
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{
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_dbContextFactory = dbContextFactory;
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_dataBus = dataBus;
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}
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[HttpGet]
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public async Task Run(double? shift = null)
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{
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try
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{
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var figi1 = "FUTIMOEXF000";
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//var figi1 = "BBG004730N88";
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var figi2 = "BBG004730N88";
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//var figi2 = "FUTIMOEXF000";
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var time1 = DateTime.UtcNow.AddDays(-shift ?? -7).Date;
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//var time1 = new DateTime(2025, 9, 24, 11, 00, 0, DateTimeKind.Utc);
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//var time2 = DateTime.UtcNow.AddMinutes(18);
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using var context1 = await _dbContextFactory.CreateDbContextAsync();
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context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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while (time1 < DateTime.UtcNow)
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{
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var data = new List<TimeSeriesData>();
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var data2 = new List<TimeSeriesData>();
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var time2 = time1.AddHours(1);
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var orderbooks = await context1.OrderbookItems
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.Where(oi => (oi.Figi == figi1 || oi.Figi == figi2) && oi.Time >= time1 && oi.Time < time2)
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.OrderBy(c => c.Time)
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.ToArrayAsync();
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var prices = await context1.PriceChanges
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.Where(c => (c.Figi == figi1 || c.Figi == figi2) && c.Time >= time1 && c.Time < time2)
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.OrderBy(c => c.Time)
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.Select(c => new NewPriceMessage()
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{
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Figi = c.Figi,
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Ticker = c.Ticker,
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Time = c.Time,
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Price = c.Price,
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IsHistoricalData = true,
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Direction = c.Direction,
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Count = c.Count,
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})
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.ToArrayAsync();
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var lookupImoexf = orderbooks.Where(o => o.Figi == "FUTIMOEXF000").ToLookup(o => o.Time);
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var lookupSber = orderbooks.Where(o => o.Figi == "BBG004730N88").ToLookup(o => o.Time);
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foreach (var item in lookupImoexf)
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{
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var asks = item
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.Where(i => i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.Ask)
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.OrderBy(o => o.Price)
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.ToList();
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var bids = item
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.Where(i => i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.Bid)
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.OrderByDescending(o => o.Price)
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.ToList();
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var forRemove = new List<OrderbookItem>();
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if (asks.Count > 4 || bids.Count > 4)
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{
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}
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foreach (var bid in bids)
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{
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var bids2 = bids.Where(b => b.Price == bid.Price).ToList();
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var summCount = bids2.Sum(b => b.Count);
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var b = bids2.First();
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b.Count = summCount;
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bids2.Remove(b);
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forRemove.AddRange(bids2);
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}
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foreach (var ask in asks)
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{
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var asks2 = asks.Where(b => b.Price == ask.Price).ToList();
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var summCount = asks2.Sum(b => b.Count);
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var b = asks2.First();
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b.Count = summCount;
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asks2.Remove(b);
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forRemove.AddRange(asks2);
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}
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asks.RemoveAll(a => forRemove.Contains(a));
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bids.RemoveAll(a => forRemove.Contains(a));
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var orderbook = new NewOrderbookMessage() { Figi = "FUTIMOEXF000", Ticker = "IMOEXF", Asks = asks.ToArray(), Bids = bids.ToArray(), AsksCount = asks.Sum(a => a.Count), BidsCount = bids.Sum(a => a.Count), Time = item.Key };
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var wrapper = new TimeSeriesData()
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{
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Figi = orderbook.Figi,
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Orderbook = orderbook,
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Time = item.Key,
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};
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data.Add(wrapper);
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}
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foreach (var item in lookupSber)
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{
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var asks = item
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.Where(i => i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.Ask)
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.OrderBy(o => o.Price)
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.ToList();
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var bids = item
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.Where(i => i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.Bid)
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.OrderByDescending(o => o.Price)
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.ToList();
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var forRemove = new List<OrderbookItem>();
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if (asks.Count > 4 || bids.Count > 4)
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{
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}
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foreach (var bid in bids)
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{
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var bids2 = bids.Where(b => b.Price == bid.Price).ToList();
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var summCount = bids2.Sum(b => b.Count);
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var b = bids2.First();
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b.Count = summCount;
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bids2.Remove(b);
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forRemove.AddRange(bids2);
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}
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foreach (var ask in asks)
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{
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var asks2 = asks.Where(b => b.Price == ask.Price).ToList();
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var summCount = asks2.Sum(b => b.Count);
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var b = asks2.First();
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b.Count = summCount;
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asks2.Remove(b);
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forRemove.AddRange(asks2);
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}
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asks.RemoveAll(a => forRemove.Contains(a));
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bids.RemoveAll(a => forRemove.Contains(a));
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var orderbook = new NewOrderbookMessage() { Figi = "BBG004730N88", Ticker = "SBER", Asks = asks.ToArray(), Bids = bids.ToArray(), AsksCount = asks.Sum(a => a.Count), BidsCount = bids.Sum(a => a.Count), Time = item.Key };
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var wrapper = new TimeSeriesData()
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{
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Figi = orderbook.Figi,
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Orderbook = orderbook,
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Time = item.Key,
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};
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data.Add(wrapper);
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}
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time1 = time2;
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foreach (var price in prices)
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{
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var wrapper = new TimeSeriesData()
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{
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Figi = price.Figi,
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NewPrice = price,
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Time = price.Time,
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};
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data.Add(wrapper);
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}
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data = data.OrderBy(d => d.Time).ToList();
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for (int i = 0; i < data.Count; i++)
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{
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if (data[i].NewPrice != null && i > 0)
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{
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for (int i1 = i - 1; i1 >= 0; i1--)
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{
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var ob = data[i1].Orderbook;
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if (data[i1].Figi == data[i].Figi && ob != null)
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{
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var d = new TimeSeriesData()
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{
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Figi = ob.Figi,
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Orderbook = ob,
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Time = data[i].Time,
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NewPrice = data[i].NewPrice,
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};
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data2.Add(d);
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break;
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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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var ob = data[i].Orderbook;
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if (ob != null)
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{
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var d = new TimeSeriesData()
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{
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Figi = ob.Figi,
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Orderbook = ob,
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Time = ob.Time,
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};
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data2.Add(d);
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}
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}
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}
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foreach (var mess in data2)
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{
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if (mess.Orderbook != null)
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{
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await _dataBus.Broadcast(mess.Orderbook);
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}
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if (mess.NewPrice != null)
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{
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//await _traderDataProvider.AddData(mess.NewPrice, TimeSpan.FromHours(6));
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await _dataBus.Broadcast(mess.NewPrice);
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}
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}
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data.Clear();
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data2.Clear();
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}
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}
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catch (Exception ex)
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{
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}
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}
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}
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}
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