VPM (Все сообщения пользователя)

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local qsize = get_queue_size(ctx.queue)
            if qsize > 10000 then sleep(1)
            elseif qsize > 1000 then sleep(5)
            elseif qsize > 100 then sleep(10)
            else sleep(20) end

function main()
    local last_trade_count = getNumberOf("trades") -- Запоминаем кол-во сделок при старте
    
    while is_run do
        local current_count = getNumberOf("trades")
        
        if current_count > last_trade_count then
            -- Проходим по всем новым сделкам
            for i = last_trade_count, current_count - 1 do
                local trade = getItem("trades", i)
                message("Новая сделка (Pull): " .. tostring(trade.sec_code) .. " по цене " .. trade.price)
            end
            last_trade_count = current_count
        end
        
        sleep(30) -- Пауза  мл.секунд, чтобы не вешать процессор
    end
end

-- ============================================================
-- 1. Order State Machine (FSM)
-- ============================================================
local OrderState = {}
OrderState.__index = OrderState

function OrderState:new(trans_id, params)
    local o = {
        state = "NEW",          -- NEW, SENT, ACK, PARTIAL, FILLED, CANCEL_PENDING, CANCELLED, REJECTED
        trans_id = trans_id,
        order_num = nil,
        strategy = params.strategy,
        sec = params.sec,
        side = params.side,
        qty = params.qty,
        price = params.price,
        filled = 0,
        created_at = os.time(),
        last_update = os.time(),
        is_net = params.is_net or false,
    }
    setmetatable(o, self)
    return o
end

function OrderState:on_sent()
    self.state = "SENT"
    self.last_update = os.time()
end

function OrderState:on_ack(order_num)
    self.order_num = order_num
    self.state = "ACK"
    self.last_update = os.time()
end

function OrderState:on_trade(trade_qty)
    if self.state == "CANCELLED" then
        self.logger:warn("Trade after cancel, still processing")
    end
    -- обновление filled
    if self.filled >= self.qty then
        self.state = "FILLED"
    else
        if self.state ~= "CANCELLED" then
            self.state = "PARTIAL"
        end
    end
end

function OrderState:on_cancel()
    if self.state == "FILLED" then return end
    if self:is_active() then
        self.state = "CANCEL_PENDING"
    end
end

function OrderState:on_cancelled()
    self.state = "CANCELLED"
    self.last_update = os.time()
end

function OrderState:on_reject()
    self.state = "REJECTED"
    self.last_update = os.time()
end

function OrderState:on_timeout()
    if self:is_active() then
        self.state = "CANCELLED"
        self.last_update = os.time()
    end
end

function OrderState:is_active()
    return self.state == "SENT" or self.state == "ACK" or self.state == "PARTIAL"
end

function OnTrade(trade)
    if not ctx or not ctx.instruments[trade.sec_code] then return end
    ctx.logger:info("OnTrade: %s %s qty=%d price=%.2f flags=0x%X brokerref=%s",
        trade.class_code, trade.sec_code, trade.qty, trade.price, trade.flags, trade.brokerref or "")

    -- Получаем номер заявки, связанной со сделкой
    local order_num = nil
    if trade.order_num and trade.order_num ~= "" then
        order_num = trade.order_num
    elseif trade.trade_num and trade.trade_num ~= "" then
        -- Пытаемся получить информацию о заявке по номеру сделки, если номер заявки недоступен напрямую
        local order_info = getOrderByNumber(trade.class_code, trade.trade_num)
        if order_info and order_info.order_num then
            order_num = order_info.order_num
        end
    end

    local event = ctx.pool:acquire()
    event.type_id = EVENT.TRADE
    event.sec_id = ctx.distributor.sec_to_id[trade.sec_code] or 0
    event.sec_code = trade.sec_code
    event.sec = trade.sec_code
    event.price = trade.price or 0
    event.qty = trade.qty or 0
    event.trade_num = trade.trade_num or 0
    event.flags = trade.flags or 0
    event.time = ctx.time:now()
    event.volume = trade.qty or 0
    event.brokerref = trade.brokerref
    event.order_num = order_num   -- сохраняем номер заявки
    ctx.queue:push(event)

    local pm = ctx.position_managers[trade.sec_code]
    if pm then
        pm:update_from_trade(trade, order_num)   -- передаём order_num
    end
    if ctx.executor then
        ctx.executor:on_trade(trade)
    end
end

local RingBuffer = {}
RingBuffer.__index = RingBuffer

function RingBuffer:new(size)

    local o = {
        buffer = {},
        size = size,
        head = 0,
        count = 0
    }

    setmetatable(o, self)
    return o
end

function RingBuffer:push(value)

    self.head = (self.head % self.size) + 1
    self.buffer[self.head] = value

    if self.count < self.size then
        self.count = self.count + 1
    end
end

function RingBuffer:get(i)

    if i > self.count then
        return nil
    end

    local idx = (self.head - self.count + i - 1) % self.size + 1
    return self.buffer[idx]
end

function RingBuffer:last()

    if self.count == 0 then
        return nil
    end

    return self.buffer[self.head]
end

function RingBuffer:values()

    local out = {}

    for i = 1, self.count do
        out[i] = self:get(i)
    end

    return out
end

function RingBuffer:clear()

    self.buffer = {}
    self.head = 0
    self.count = 0

end

return RingBuffer

-- Класс Stack (LIFO)
Stack = {}
Stack.__index = Stack

function Stack:new(max_size)
    local o = {
        elements = {},      -- таблица-хранилище
        max_size = max_size or 5,  -- по умолчанию храним 5 элементов
        count = 0
    }
    setmetatable(o, Stack)
    return o
end

-- Добавить элемент наверх (push)
function Stack:push(value)
    table.insert(self.elements, value)
    self.count = self.count + 1
    
    -- Если превышен максимальный размер, удаляем самый старый (снизу)
    if self.count > self.max_size then
        table.remove(self.elements, 1)  -- удаляем первый (самый старый)
        self.count = self.max_size
    end
end

-- Удалить и вернуть верхний элемент (pop)
function Stack:pop()
    if self.count == 0 then return nil end
    local value = table.remove(self.elements)  -- удаляем последний
    self.count = self.count - 1
    return value
end

-- Посмотреть верхний элемент без удаления (peek)
function Stack:peek()
    if self.count == 0 then return nil end
    return self.elements[self.count]
end

-- Получить все элементы в порядке от старого к новому (для отображения)
function Stack:get_all()
    return self.elements
end

-- Получить все элементы в обратном порядке (новые сверху)
function Stack:get_all_reversed()
    local rev = {}
    for i = self.count, 1, -1 do
        table.insert(rev, self.elements[i])
    end
    return rev
end

-- Текущий размер
function Stack:size()
    return self.count
end

-- В начале скрипта, после конфигурации
local deltaP_stack = Stack:new(20)   -- для нормализации (20 значений)
local deltaQ_stack = Stack:new(20)

local c_stack = Stack:new(5)         -- для отображения последних 5 значений
local alpha_stack = Stack:new(5)
local signal_stack = Stack:new(5)

-- для отображения исходных данных (опционально)
local deltaP_display_stack = Stack:new(5)
local deltaQ_display_stack = Stack:new(5)
local deltaOI_display_stack = Stack:new(5)
local deltaNB_display_stack = Stack:new(5)
local deltaNA_display_stack = Stack:new(5)

[QUOTE][USER=16131]VPM[/USER] написал:
-- Инициализация модулей в правильном порядке (с учётом зависимостей)

    -- 1. ExecutionLedger (зависит только от Logger, ссылка на StateMachine пока не используется)
    ExecutionLedger.init({ logger = Logger, stateMachine = StateMachine })

    -- 2. OrderManager (зависит от ExecutionLedger и Logger)
    OrderManager.init({
        ExecutionLedger = ExecutionLedger,
        Logger = Logger
    })

    -- 3. StateMachine (зависит от OrderManager, RiskManager, SignalEngine, utils, Logger)
    -- RiskManager и SignalEngine ещё не инициализированы, но init только сохраняет ссылки — это допустимо.
    StateMachine.init({
        utils = utils,
        OrderManager = OrderManager,
        RiskManager = RiskManager,
        SignalEngine = SignalEngine,
        Logger = Logger,
        ExecutionLedger = ExecutionLedger   -- <-- добавить
    })

    -- 4. RiskManager (зависит от StateMachine, SignalEngine, utils, Logger)
    RiskManager.init({
        utils = utils,
        StateMachine = StateMachine,
        SignalEngine = SignalEngine,
        Logger = Logger,
        config = {
            daily_loss_limit = daily_loss_limit,
            max_consecutive_losses = max_consecutive_losses,
            max_position_size = max_position_size,
            max_total_exposure = max_total_exposure,
            broker_comiss_stock = broker_comiss_stock,
            broker_comiss_fut = broker_comiss_fut,
            exchange_comiss_stock = exchange_comiss_stock
        }
    })

    -- 5. SignalEngine (зависит от utils, StateMachine, Logger и конфига)
    SignalEngine.init({
        utils = utils,
        StateMachine = StateMachine,
        Logger = Logger,
        config = {
            broker_comiss_stock = broker_comiss_stock,
            exchange_comiss_stock = exchange_comiss_stock,
            broker_comiss_fut = broker_comiss_fut,
            exchange_pay = exchange_pay,
            div = div,                     -- таблица дивидендов должна быть загружена ранее
            div_before_expiry = div_before_expiry,
            nalog = nalog,
            rate = rate,
            min_edge_abs = min_edge_abs
        }
    })

    -- 6. Watchdog (зависит от Logger, StateMachine, OrderManager, ExecutionLedger)
    Watchdog.init({
        Logger = Logger,
        StateMachine = StateMachine,
        OrderManager = OrderManager,
        ExecutionLedger = ExecutionLedger,
        config = {
            order_timeout = order_timeout,
            execution_timeout = 10
        }
    })

    -- 7. Recovery (если есть)
    Recovery.init({
        Logger = Logger,
        StateMachine = StateMachine
    })
    Recovery.recover()[/QUOTE]

Сборка в главном скрипте

-- main.lua
require("core.order_engine")
require("adapter.quik_exchange")
require("adapter.callbacks")
require("strategies.simple_strategy")

function main()
    -- 1. Инициализация адаптера
    local exchange = QuikExchange:new("SPBFUT12345", "SPBFUT", "SiH5")

    -- 2. Инициализация ядра
    local engine = OrderEngine:new(exchange)

    -- 3. Передаём ссылку в callbacks
    set_engine(engine)

    -- 4. Создаём стратегию
    local strategy = Strategy:new(engine)

    -- 5. Главный цикл
    while true do
        local price_param = getParamEx(exchange.class, exchange.sec, "LAST")
        local price = tonumber(price_param.param_value)

        if price then
            strategy:on_price(price)
            engine:process()
        end

        sleep(100)
    end
end

dofile(path .. '\\QL.lua')
dofile(path .. "\\ContanGO\\Проект\\config.lua")

local utils = dofile(path .. "\\ContanGO\\Проект\\core\\utils.lua")
local Logger = dofile(path .. "\\ContanGO\\Проект\\core\\logger.lua")
local OrderManager = dofile(path .. "\\ContanGO\\Проект\\core\\order_manager.lua")
local StateMachine = dofile(path .. "\\ContanGO\\Проект\\core\\state_machine.lua")
local Recovery = dofile(path .. "\\ContanGO\\Проект\\core\\recovery.lua")
local SignalEngine = dofile(path .. "\\ContanGO\\Проект\\core\\signal_engine.lua")   -- пока не реализован, но должен считать edge
local RiskManager = dofile(path .. "\\ContanGO\\Проект\\core\\risk_manager.lua")     -- проверка лимитов
local Watchdog = dofile(path .. "\\ContanGO\\Проект\\core\\watchdog.lua")
local ExecutionLedger = dofile(path .. "\\ContanGO\\Проект\\core\\execution_ledger.lua")

function OnInit()
    -- Логирование (ваш код)
    Logger.init(log_file)
    Logger.log("INIT", "", "Starting robot")

    -- Дополнительное логирование (опционально)
    do
        local log = _G.getScriptPath()..'\\arbitrage.log'
        toLog(log, "Start INIT robot arbitrage")
    end

    -- Объявление глобальных таблиц для хранения данных по инструментам
    exchange_pay = {}
    div_date = {}
    div_before_expiry = {}

    -- Инициализация контекстов для каждой акции из списка
    for stock in string.gmatch(ticker_list, "%a+") do
        local fut_code = futures_map[stock] or utils.findNearestFutures("SPBFUT", stock, 5)
        if fut_code then
            local lot_size = utils.safeParam("SPBFUT", fut_code, "LOTSIZE") or 1
            StateMachine.initContext(stock, fut_code, lot_size)

            -- Комиссия биржи
            exchange_pay[stock] = utils.safeParam("SPBFUT", fut_code, "EXCH_PAY") or 0

            -- Дата дивидендов (нужна реализация функции getDividendDate)
            div_date[stock] = getDividendDate(stock)

            -- Дивиденд до экспирации?
            if div_date[stock] then
                local exp_date = utils.safeParam("SPBFUT", fut_code, "MAT_DATE")
                div_before_expiry[stock] = exp_date and (tonumber(div_date[stock]) < tonumber(exp_date))
            else
                div_before_expiry[stock] = false
            end

            Logger.log("INIT", stock, string.format("Fut=%s lot=%d", fut_code, lot_size))
        else
            Logger.log("ERROR", stock, "No futures found")
        end
    end

    -- Инициализация модулей в правильном порядке (с учётом зависимостей)

    -- 1. ExecutionLedger (зависит только от Logger, ссылка на StateMachine пока не используется)
    ExecutionLedger.init({ logger = Logger, stateMachine = StateMachine })

    -- 2. OrderManager (зависит от ExecutionLedger и Logger)
    OrderManager.init({
        ExecutionLedger = ExecutionLedger,
        Logger = Logger
    })

    -- 3. StateMachine (зависит от OrderManager, RiskManager, SignalEngine, utils, Logger)
    -- RiskManager и SignalEngine ещё не инициализированы, но init только сохраняет ссылки — это допустимо.
    StateMachine.init({
        utils = utils,
        OrderManager = OrderManager,
        RiskManager = RiskManager,
        SignalEngine = SignalEngine,
        Logger = Logger,
        ExecutionLedger = ExecutionLedger   -- <-- добавить
    })

    -- 4. RiskManager (зависит от StateMachine, SignalEngine, utils, Logger)
    RiskManager.init({
        utils = utils,
        StateMachine = StateMachine,
        SignalEngine = SignalEngine,
        Logger = Logger,
        config = {
            daily_loss_limit = daily_loss_limit,
            max_consecutive_losses = max_consecutive_losses,
            max_position_size = max_position_size,
            max_total_exposure = max_total_exposure,
            broker_comiss_stock = broker_comiss_stock,
            broker_comiss_fut = broker_comiss_fut,
            exchange_comiss_stock = exchange_comiss_stock
        }
    })

    -- 5. SignalEngine (зависит от utils, StateMachine, Logger и конфига)
    SignalEngine.init({
        utils = utils,
        StateMachine = StateMachine,
        Logger = Logger,
        config = {
            broker_comiss_stock = broker_comiss_stock,
            exchange_comiss_stock = exchange_comiss_stock,
            broker_comiss_fut = broker_comiss_fut,
            exchange_pay = exchange_pay,
            div = div,                     -- таблица дивидендов должна быть загружена ранее
            div_before_expiry = div_before_expiry,
            nalog = nalog,
            rate = rate,
            min_edge_abs = min_edge_abs
        }
    })

    -- 6. Watchdog (зависит от Logger, StateMachine, OrderManager, ExecutionLedger)
    Watchdog.init({
        Logger = Logger,
        StateMachine = StateMachine,
        OrderManager = OrderManager,
        ExecutionLedger = ExecutionLedger,
        config = {
            order_timeout = order_timeout,
            execution_timeout = 10
        }
    })

    -- 7. Recovery (если есть)
    Recovery.init({
        Logger = Logger,
        StateMachine = StateMachine
    })
    Recovery.recover()

    Logger.log("INIT", "", "All modules initialized")
end