feat(technicals): add technical analysis microservice with indicator engines, pattern detectors, and strategies

2026-08-24 21:36:05 +02:00
parent 12e7b57b16
commit f43ce2b7e9
36 changed files with 6792 additions and 0 deletions
@@ -0,0 +1,148 @@
+using System;
+using System.Threading;
+using System.Threading.Tasks;
+using FinlyticCore.Dtos.TechnicalAnalysis;
+using FinlyticCore.Services;
+using FinlyticTechnicals.Util;
+
+namespace FinlyticTechnicals.Services;
+
+/// <summary>
+/// Cleaned, normalized real-time tick ready for multi-timeframe aggregation.
+/// </summary>
+public record CleanLiveTick(
+    string Isin,
+    decimal MidPrice,
+    decimal Bid,
+    decimal Ask,
+    decimal LastPrice,
+    decimal SpreadPercent,
+    bool IsSpreadVolatile,
+    DateTime TimestampUtc
+);
+
+public interface ITradeRepublicIngestionService
+{
+    /// <summary>
+    /// Event triggered when a cleaned, UTC-normalized tick arrives.
+    /// </summary>
+    event Func<CleanLiveTick, Task>? OnTickReceived;
+
+    /// <summary>
+    /// Processes a raw tick from Trade Republic (e.g. via WebSocket or Poller).
+    /// </summary>
+    Task<CleanLiveTick?> ProcessRawTickAsync(string isin, decimal bid, decimal ask, decimal? last, DateTime? timestamp, CancellationToken cancellationToken = default);
+}
+
+public class TradeRepublicIngestionService : ITradeRepublicIngestionService
+{
+    private readonly IFinlyticLogger<TradeRepublicIngestionService> _finlyticLogger;
+    private static readonly TimeZoneInfo BerlinTimeZone = GetBerlinTimeZone();
+
+    public event Func<CleanLiveTick, Task>? OnTickReceived;
+
+    public TradeRepublicIngestionService(IFinlyticLogger<TradeRepublicIngestionService> finlyticLogger)
+    {
+        _finlyticLogger = finlyticLogger;
+    }
+
+    /// <summary>
+    /// Processes a raw incoming tick with strict UTC normalization, spread check, and mid-price calculation.
+    /// </summary>
+    public async Task<CleanLiveTick?> ProcessRawTickAsync(string isin, decimal bid, decimal ask, decimal? last, DateTime? timestamp, CancellationToken cancellationToken = default)
+    {
+        if (string.IsNullOrWhiteSpace(isin)) return null;
+
+        var cleanIsin = isin.Trim().ToUpperInvariant();
+
+        // 1. Strict UTC Normalization
+        DateTime utcTimestamp;
+        if (timestamp.HasValue)
+        {
+            var rawTime = timestamp.Value;
+            if (rawTime.Kind == DateTimeKind.Utc)
+            {
+                utcTimestamp = rawTime;
+            }
+            else if (rawTime.Kind == DateTimeKind.Unspecified)
+            {
+                // Trade Republic ticks typically arrive in German local market time (Europe/Berlin)
+                utcTimestamp = TimeZoneInfo.ConvertTimeToUtc(rawTime, BerlinTimeZone);
+            }
+            else
+            {
+                utcTimestamp = rawTime.ToUniversalTime();
+            }
+        }
+        else
+        {
+            utcTimestamp = DateTime.UtcNow;
+        }
+
+        // 2. Clean Mid-Price Calculation: (Bid + Ask) / 2
+        decimal cleanMidPrice;
+        if (bid > 0m && ask > 0m)
+        {
+            cleanMidPrice = (bid + ask) / 2m;
+        }
+        else if (last.HasValue && last.Value > 0m)
+        {
+            cleanMidPrice = last.Value;
+            if (bid <= 0m) bid = cleanMidPrice;
+            if (ask <= 0m) ask = cleanMidPrice;
+        }
+        else
+        {
+            return null; // Invalid quote
+        }
+
+        // 3. Spread Calculation & Volatility Tagging
+        decimal spreadPercent = 0m;
+        bool isSpreadVolatile = false;
+        if (cleanMidPrice > 0m && ask >= bid)
+        {
+            spreadPercent = ((ask - bid) / cleanMidPrice) * 100m;
+            if (spreadPercent > 1.5m)
+            {
+                isSpreadVolatile = true;
+            }
+        }
+
+        var cleanTick = new CleanLiveTick(
+            Isin: cleanIsin,
+            MidPrice: cleanMidPrice,
+            Bid: bid,
+            Ask: ask,
+            LastPrice: last ?? cleanMidPrice,
+            SpreadPercent: spreadPercent,
+            IsSpreadVolatile: isSpreadVolatile,
+            TimestampUtc: utcTimestamp
+        );
+
+        if (OnTickReceived != null)
+        {
+            await OnTickReceived.Invoke(cleanTick);
+        }
+
+        return cleanTick;
+    }
+
+    private static TimeZoneInfo GetBerlinTimeZone()
+    {
+        try
+        {
+            return TimeZoneInfo.FindSystemTimeZoneById("W. Europe Standard Time"); // Windows ID
+        }
+        catch
+        {
+            try
+            {
+                return TimeZoneInfo.FindSystemTimeZoneById("Europe/Berlin"); // Linux IANA ID
+            }
+            catch
+            {
+                return TimeZoneInfo.Utc;
+            }
+        }
+    }
+}