573 lines
24 KiB
C#
573 lines
24 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.Core.DataLayer.Entities.Prices;
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using KLHZ.Trader.Core.Exchange.Services;
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using KLHZ.Trader.Core.Math.Declisions.Utils;
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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 TraderDataProvider _traderDataProvider;
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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, TraderDataProvider traderDataProvider)
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{
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_dbContextFactory = dbContextFactory;
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_dataBus = dataBus;
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_traderDataProvider = traderDataProvider;
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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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Value = c.Value,
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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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[HttpGet]
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public async Task CalcOrderbookMeanav(string figi)
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{
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try
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{
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var t = DateTime.UtcNow.AddHours(-4);
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using var context1 = await _dbContextFactory.CreateDbContextAsync();
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context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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var data = await context1.OrderbookItems
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.Where(i => i.Time > t && i.Figi == figi && (i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsSummary4 || i.ItemType == Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.AsksSummary4))
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.OrderBy(i => i.Time)
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.ToArrayAsync();
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var bids = new LinkedList<OrderbookItem>();
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var asks = new LinkedList<OrderbookItem>();
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var buffer = new List<OrderbookItem>();
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var dt = TimeSpan.FromMinutes(1);
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var q = data.ToLookup(d => d.Time);
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foreach (var d in q)
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{
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var pair = d.DistinctBy(www => www.ItemType).OrderBy(www => www.ItemType).ToArray();
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if (pair.Length == 2)
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{
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bids.AddLast(pair[1]);
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if (bids.Last().Time - bids.First().Time > dt)
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{
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bids.RemoveFirst();
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}
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if (pair[0].Count != 0)
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{
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pair[1].Price = ((decimal)pair[1].Count) / ((decimal)pair[0].Count);
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buffer.Add(new OrderbookItem()
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{
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Figi = pair[1].Figi,
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Ticker = pair[1].Ticker,
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Count = 1,
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ItemType = Core.DataLayer.Entities.Orders.Enums.OrderbookItemType.BidsAsksSummary4_2min,
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Price = bids.Sum(b => b.Price) / bids.Count,
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Time = pair[1].Time,
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});
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}
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if (buffer.Count > 10000)
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{
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await context1.OrderbookItems.AddRangeAsync(buffer);
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await context1.SaveChangesAsync();
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buffer.Clear();
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}
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}
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else
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{
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}
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}
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if (buffer.Count > 0)
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{
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await context1.OrderbookItems.AddRangeAsync(buffer);
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await context1.SaveChangesAsync();
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buffer.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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[HttpGet]
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public async Task CalcTradesMeanav(string figi)
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{
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try
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{
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var t = DateTime.UtcNow.AddHours(-4);
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using var context1 = await _dbContextFactory.CreateDbContextAsync();
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context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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var data = await context1.PriceChanges
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.Where(i => i.Time > t && i.Figi == figi)
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.OrderBy(i => i.Time)
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.ToArrayAsync();
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var sells = new LinkedList<PriceChange>();
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var buys = new LinkedList<PriceChange>();
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var buffer = new List<ProcessedPrice>();
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var dt = TimeSpan.FromMinutes(1);
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foreach (var d in data)
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{
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if (d.Direction == 1)
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{
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if (buys.Last().Time - buys.First().Time > dt)
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{
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buys.RemoveFirst();
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}
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buys.AddLast(d);
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}
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if (d.Direction == 2)
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{
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sells.AddLast(d);
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if (sells.Last().Time - sells.First().Time > dt)
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{
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sells.RemoveFirst();
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}
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sells.AddLast(d);
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}
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if (sells.Count > 0 && buys.Count > 0)
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{
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var meanS = ((decimal)sells.Sum(s => s.Count)) / sells.Count;
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var meanB = ((decimal)buys.Sum(s => s.Count)) / buys.Count;
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if (meanS != 0)
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{
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buffer.Add(new ProcessedPrice()
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{
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Figi = d.Figi,
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Processor = "tradesbalance",
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Ticker = d.Ticker,
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Count = 1,
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Direction = 0,
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Time = d.Time,
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Value = meanB / meanS
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});
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}
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}
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if (buffer.Count > 10000)
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{
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await context1.ProcessedPrices.AddRangeAsync(buffer);
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await context1.SaveChangesAsync();
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buffer.Clear();
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}
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}
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if (buffer.Count > 0)
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{
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await context1.ProcessedPrices.AddRangeAsync(buffer);
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await context1.SaveChangesAsync();
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buffer.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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[HttpGet]
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public async Task TestInmterpolate(string figi)
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{
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try
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{
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var t1 = DateTime.UtcNow.AddHours(-4);
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var t2 = DateTime.UtcNow.AddHours(1);
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//t1 = new DateTime(2025, 9, 15, 10, 1, 0, DateTimeKind.Utc);
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//t2 = new DateTime(2025, 9, 15, 10, 1, 50, DateTimeKind.Utc);
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using var context1 = await _dbContextFactory.CreateDbContextAsync();
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context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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var data = await context1.PriceChanges
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.Where(i => i.Time >= t1 && i.Time <= t2 && i.Figi == figi)
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.OrderBy(i => i.Time)
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.ToArrayAsync();
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var buffer = new List<ProcessedPrice>();
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var res = SignalProcessing.InterpolateData(data.Select(d => d.Time).ToArray(), data.Select(d => d.Value).ToArray(),
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TimeSpan.FromSeconds(1));
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for (int i = 0; i < res.Item1.Length; i++)
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{
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buffer.Add(new ProcessedPrice()
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{
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Figi = figi,
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Processor = "1secinterpol",
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Ticker = data[0].Ticker,
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Count = 1,
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Direction = 0,
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Time = res.Item1[i],
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Value = (decimal)res.Item2[i]
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});
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}
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await context1.ProcessedPrices.AddRangeAsync(buffer);
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await context1.SaveChangesAsync();
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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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[HttpGet]
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public async Task TestFFT(string figi)
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{
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try
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{
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var t1 = new DateTime(2025, 9, 15, 6, 30, 0, DateTimeKind.Utc);
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var t2 = new DateTime(2025, 9, 15, 7, 50, 50, DateTimeKind.Utc);
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using var context1 = await _dbContextFactory.CreateDbContextAsync();
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context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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var data = await context1.PriceChanges
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.Where(i => i.Time >= t1 && i.Time <= t2 && i.Figi == figi)
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.OrderBy(i => i.Time)
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.ToArrayAsync();
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var buffer = new List<ProcessedPrice>();
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var values = data.Select(d => d.Value).ToArray();
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var times = data.Select(d => d.Time).ToArray();
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var res = SignalProcessing.InterpolateData(times, values,
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TimeSpan.FromSeconds(10));
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//FFT.GetMainHarmonictPeriod(res.Item2, res.Item1.Last() - res.Item1.First());
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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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//[HttpGet]
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//public async Task GetBalance(string figi)
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//{
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// try
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// {
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// var time1 = DateTime.UtcNow.AddDays(-7);
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// using var context1 = await _dbContextFactory.CreateDbContextAsync();
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// context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
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// var data = await context1.PriceChanges
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// .Where(c => c.Figi == figi && c.Time >= time1)
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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 = figi,
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// Ticker = c.Ticker,
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// Time = c.Time,
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// Value = c.Value,
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// IsHistoricalData = true
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// })
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// .ToArrayAsync();
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// var buffer = new List<ProcessedPrice>();
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// var list = new LinkedList<(DateTime time, double value)>();
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// var previous = -1000d;
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// foreach (var mess in data)
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// {
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// await _traderDataProvider.AddData(mess, TimeSpan.FromHours(6));
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// var dataFromCache = await _traderDataProvider.GetData(figi, TimeSpan.FromMinutes(15));
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// if (dataFromCache.isFullIntervalExists)
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// {
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// if (ShapeAreaCalculator.TryGetAreasRelation(dataFromCache.timestamps, dataFromCache.prices,mess.Value,out var res))
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// {
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// if (list.Count > 0 && mess.Time - list.Last().time > TimeSpan.FromMinutes(5))
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// {
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// list.Clear();
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// }
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// list.AddLast((mess.Time, res));
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// if (list.Last().time - list.First().time > TimeSpan.FromMinutes(1))
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// {
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// list.RemoveFirst();
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// }
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// var newRes = (decimal)(list.Sum(i => i.value) / list.Count);
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// if (list.Count > 0)
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// {
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// try
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// {
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// buffer.Add(new ProcessedPrice()
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// {
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// Figi = figi,
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// Processor = "balancescalc30min",
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// Ticker = mess.Ticker,
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// Time = mess.Time,
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// Value = newRes,
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// //Value = (decimal)res,
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// });
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// }
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// catch(Exception ex)
|
|
// {
|
|
|
|
// }
|
|
|
|
// }
|
|
// }
|
|
// }
|
|
// else
|
|
// {
|
|
// previous = -1d;
|
|
// }
|
|
// if (buffer.Count > 10000)
|
|
// {
|
|
// await context1.ProcessedPrices.AddRangeAsync(buffer);
|
|
// await context1.SaveChangesAsync();
|
|
// buffer.Clear();
|
|
// }
|
|
// }
|
|
// if (buffer.Count > 0)
|
|
// {
|
|
// await context1.ProcessedPrices.AddRangeAsync(buffer);
|
|
// await context1.SaveChangesAsync();
|
|
// buffer.Clear();
|
|
// }
|
|
// }
|
|
// catch (Exception ex)
|
|
// {
|
|
|
|
// }
|
|
//}
|
|
|
|
////[HttpGet]
|
|
//public async Task LoadTradesToHistory(string figi)
|
|
//{
|
|
// try
|
|
// {
|
|
// using var context1 = await _dbContextFactory.CreateDbContextAsync();
|
|
// context1.ChangeTracker.QueryTrackingBehavior = QueryTrackingBehavior.NoTracking;
|
|
// var data = await context1.InstrumentTrades
|
|
// .Where(c => c.Figi == figi)
|
|
// .OrderBy(c => c.BoughtAt)
|
|
// .Select(c => new PriceChange()
|
|
// {
|
|
// Figi = figi,
|
|
// Ticker = c.Ticker,
|
|
// Time = c.BoughtAt,
|
|
// Value = c.Price,
|
|
// IsHistoricalData = true
|
|
// })
|
|
// .ToArrayAsync();
|
|
// await context1.PriceChanges.Where(p => p.Figi == figi).ExecuteDeleteAsync();
|
|
// await context1.PriceChanges.AddRangeAsync(data);
|
|
// await context1.SaveChangesAsync();
|
|
// }
|
|
// catch (Exception ex)
|
|
// {
|
|
|
|
// }
|
|
//}
|
|
}
|
|
}
|