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Update filtering

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This commit is contained in:
Sik Yoon 2024-06-06 06:01:25 +09:00
parent 1e7be2681f
commit 0efc7505cb
2 changed files with 339 additions and 316 deletions
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323
src/strategy_team/future_strategy_long.rs
View File

@ -9,7 +9,7 @@ use super::{
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex, FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal, RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal, SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal,
sma, sma_open sma, sma_open, LrData, linear_regression
}; };
use crate::future::{Position, FuturesExchangeInfo}; use crate::future::{Position, FuturesExchangeInfo};
@ -31,114 +31,136 @@ pub async fn list_up_for_buy(
filtered_data.insert(symbol.clone(), FilteredDataValue::new()); filtered_data.insert(symbol.clone(), FilteredDataValue::new());
} }
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let ema10_open = ema_open(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema10_close = ema(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema200_close = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
// current lr > prev lr, current r_squared <= 0.01
let mut keys_to_remove: HashSet<String> = HashSet::new();
let lr_map = linear_regression(10, 0, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
let mut do_buy = false; let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await; if let (Some(lr_vec), Some(current_info)) = (lr_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
if let (Some(ema10_open_vec), Some(ema10_close_vec), Some(ema200_close_vec), Some(current_info)) if lr_vec.len() > 10
= (ema10_open.get(symbol), ema10_close.get(symbol), ema200_close.get(symbol), price_and_closetime) { && lr_vec.last().is_some_and(|x| x.close_time > server_epoch)
if ema10_open_vec.len() > 20 && lr_vec[lr_vec.len()-1].lr_value > lr_vec[lr_vec.len()-2].lr_value
&& ema10_close_vec.len() > 20 && lr_vec.last().unwrap().r_squared <= 0.01
&& ema200_close_vec.len() > 20
&& ema10_open_vec.last().unwrap().close_time > server_epoch
&& ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time
&& ema10_open_vec.last().unwrap().close_time == ema200_close_vec.last().unwrap().close_time
{ {
if ema10_open_vec.last().unwrap().ema_value < ema10_close_vec.last().unwrap().ema_value
&& current_info.0.to_f64().is_some_and(|a| a > ema200_close_vec.last().unwrap().ema_value)
{
values.current_price = current_info.0;
values.closetime = current_info.1;
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(3, 3), current ADX > prev ADX
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(adx_vec) = adx_vec.get(symbol) {
if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
if adx_vec.len() > 10
&& adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
{
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 30, multiplier: 2.0, 30m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let supertrend_30m_map =
supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
{
if supertrend_vec.len() > 10
&& supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
&& supertrend_vec.last().unwrap().area == SuperTrendArea::UP
&& supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::UP {
do_buy = true; do_buy = true;
} }
} }
if do_buy == false { if do_buy == false {
keys_to_remove.insert(symbol.clone()); keys_to_remove.insert(symbol.clone());
} }
} }
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let ema10_open = ema_open(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let ema10_close = ema(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let ema200_close = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
// if let (Some(ema10_open_vec), Some(ema10_close_vec), Some(ema200_close_vec), Some(current_info))
// = (ema10_open.get(symbol), ema10_close.get(symbol), ema200_close.get(symbol), price_and_closetime) {
// if ema10_open_vec.len() > 20
// && ema10_close_vec.len() > 20
// && ema200_close_vec.len() > 20
// && ema10_open_vec.last().unwrap().close_time > server_epoch
// && ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time
// && ema10_open_vec.last().unwrap().close_time == ema200_close_vec.last().unwrap().close_time
// {
// if ema10_open_vec.last().unwrap().ema_value < ema10_close_vec.last().unwrap().ema_value
// && current_info.0.to_f64().is_some_and(|a| a > ema200_close_vec.last().unwrap().ema_value)
// {
// values.current_price = current_info.0;
// values.closetime = current_info.1;
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(3, 3), current ADX > prev ADX
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let adx_vec = adx(3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let Some(adx_vec) = adx_vec.get(symbol) {
// if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
// if adx_vec.len() > 10
// && adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
// {
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 30, multiplier: 2.0, 30m close price)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let supertrend_30m_map =
// supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
// {
// if supertrend_vec.len() > 10
// && supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
// && supertrend_vec.last().unwrap().area == SuperTrendArea::UP
// && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::UP {
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// set target_price and stop_loss // set target_price and stop_loss
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let Some(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol) // if let Some(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol)
{ // {
let element_number = 5; // let element_number = 5;
if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) { // if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
let min_price = truncated_vec // let min_price = truncated_vec
.iter() // .iter()
.min_by(|x, y| x.low_price.partial_cmp(&y.low_price).unwrap()) // .min_by(|x, y| x.low_price.partial_cmp(&y.low_price).unwrap())
.unwrap().low_price; // .unwrap().low_price;
if values.current_price.to_f64().is_some_and(|a| a < min_price) { // if values.current_price.to_f64().is_some_and(|a| a < min_price) {
let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - min_price) * 100.0) / values.current_price.to_f64().unwrap(); // let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - min_price) * 100.0) / values.current_price.to_f64().unwrap();
stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0; // stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0;
values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap(); // values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
let mut target_percent = stoploss_percent.abs() * 1.5; // let mut target_percent = stoploss_percent.abs() * 1.5;
target_percent = (target_percent * 100.0).floor() / 100.0; // target_percent = (target_percent * 100.0).floor() / 100.0;
values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap(); // values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// Wiliams -50.0 > %R(100) // Wiliams -50 > %R(100)
let mut keys_to_remove: HashSet<String> = HashSet::new(); let mut keys_to_remove: HashSet<String> = HashSet::new();
let mut wpr100_map = wiliams_percent_r(100, &alldata.rt_price_1m_vec, &filtered_data).await?; let mut wpr100_map = wiliams_percent_r(100, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
@ -147,7 +169,7 @@ pub async fn list_up_for_buy(
if let Some(wpr100_vec) = wpr100_map.get(symbol) { if let Some(wpr100_vec) = wpr100_map.get(symbol) {
if wpr100_vec.len() > 15 if wpr100_vec.len() > 15
&& wpr100_vec.last().unwrap().close_time > server_epoch && wpr100_vec.last().unwrap().close_time > server_epoch
&& wpr100_vec.last().unwrap().r_value < -40.0 { && wpr100_vec.last().unwrap().r_value < -50.0 {
do_buy = true; do_buy = true;
} }
} }
@ -349,76 +371,77 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let mut supertrend_vec: Vec<SupertrendData> = Vec::new(); // let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new(); let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_positions { for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
} }
let supertrend_30m_map = let lr_map = linear_regression(10, 0, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
supertrend(100, 1.5, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?; // let supertrend_30m_map =
// supertrend(100, 1.5, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
// let adx_vec = adx(15, 15, &all_data.rt_price_1m_vec, &filtered_symbols).await?; // let adx_vec = adx(15, 15, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
for element in filled_positions { for element in filled_positions {
let mut is_sell = false; let mut is_sell = false;
if !element.current_price.is_zero() { if let Some(lr_vec) = lr_map.get(&element.symbol) {
if element.pure_profit_percent >= element.target_percent { if !element.current_price.is_zero() && lr_vec.len() > 10 && lr_vec.last().is_some_and(|x| x.close_time > server_epoch) {
is_sell = true;
} else if element.pure_profit_percent <= element.stoploss_percent {
is_sell = true;
} else if server_epoch - element.close_time > 300_000 && supertrend_30m_map.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.area == SuperTrendArea::DOWN)) {
is_sell = true;
}
let minimum_candles = 5; if element.pure_profit_percent >= element.target_percent {
let maximum_candles = 20;
for count_candles in minimum_candles..=maximum_candles {
if count_candles < maximum_candles
&& server_epoch - element.transact_time
> (1_800_000) * count_candles
&& ((element.pure_profit_percent > 0.0
&& element.target_percent
* ((maximum_candles - count_candles) as f64
/ (maximum_candles - minimum_candles + 1) as f64)
<= element.pure_profit_percent)
||
(element.pure_profit_percent < 0.0
&& element.stoploss_percent
* ((maximum_candles - count_candles) as f64
/ (maximum_candles - minimum_candles + 1) as f64)
>= element.pure_profit_percent)
)
{
is_sell = true; is_sell = true;
break; } else if element.pure_profit_percent <= element.stoploss_percent {
} else { is_sell = true;
break; } else if lr_vec.last().unwrap().r_squared >= 0.55 {
is_sell = true;
}
let minimum_candles = 5;
let maximum_candles = 6;
// for count_candles in minimum_candles..=maximum_candles {
// if count_candles < maximum_candles
// && server_epoch - element.transact_time
// > (1_800_000) * count_candles
// && ((element.pure_profit_percent > 0.0
// && element.target_percent
// * ((maximum_candles - count_candles) as f64
// / (maximum_candles - minimum_candles + 1) as f64)
// <= element.pure_profit_percent)
// ||
// (element.pure_profit_percent < 0.0
// && element.stoploss_percent
// * ((maximum_candles - count_candles) as f64
// / (maximum_candles - minimum_candles + 1) as f64)
// >= element.pure_profit_percent)
// )
// {
// is_sell = true;
// break;
// } else {
// break;
// }
// }
if server_epoch - element.close_time > 1_800_000 * maximum_candles {
is_sell = true;
}
//} else if server_epoch - element.close_time > 300_000
// && adx_vec.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.adx < 15.0)) {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(
&element,
TimeInForce::Gtc,
element.current_price,
element.base_qty_ordered,
&futures_exchange_info_map,
&client
)
.await;
} }
} }
if server_epoch - element.close_time > 1_800_000 * maximum_candles {
is_sell = true;
}
//} else if server_epoch - element.close_time > 300_000
// && adx_vec.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.adx < 15.0)) {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(
&element,
TimeInForce::Gtc,
element.current_price,
element.base_qty_ordered,
&futures_exchange_info_map,
&client
)
.await;
}
} }
}
}
Ok(()) Ok(())
} }

326
src/strategy_team/future_strategy_short.rs
View File

@ -33,20 +33,19 @@ pub async fn list_up_for_buy(
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
// current ADX(3, 3), current ADX > prev ADX // current lr < prev lr, current r_squared <= 0.01
let mut keys_to_remove: HashSet<String> = HashSet::new(); let mut keys_to_remove: HashSet<String> = HashSet::new();
let lr_map = linear_regression(3, 0, &alldata.rt_price_30m_vec, &filtered_data).await?; let lr_map = linear_regression(10, 0, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
let mut do_buy = false; let mut do_buy = false;
if let Some(lr_vec) = lr_map.get(symbol) { if let (Some(lr_vec), Some(current_info)) = (lr_map.get(symbol), get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await) {
println!("{}: {:?}", symbol, lr_vec); if lr_vec.len() > 10
// if let Some(last_idx) = lr_vec.iter().position(|elem| elem.close_time == values.closetime) { && lr_vec.last().is_some_and(|x| x.close_time > server_epoch)
// if lr_vec.len() > 10 && lr_vec[lr_vec.len()-1].lr_value < lr_vec[lr_vec.len()-2].lr_value
// && lr_vec[last_idx].adx > lr_vec[last_idx-1].adx && lr_vec.last().unwrap().r_squared <= 0.01
// { {
// do_buy = true; do_buy = true;
// } }
// }
} }
if do_buy == false { if do_buy == false {
keys_to_remove.insert(symbol.clone()); keys_to_remove.insert(symbol.clone());
@ -55,109 +54,109 @@ pub async fn list_up_for_buy(
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev) // sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let ema10_open = ema_open(5, &alldata.rt_price_30m_vec, &filtered_data).await?; // let ema10_open = ema_open(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema10_close = ema(5, &alldata.rt_price_30m_vec, &filtered_data).await?; // let ema10_close = ema(5, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema200_close = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?; // let ema200_close = ema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await; // let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
if let (Some(ema10_open_vec), Some(ema10_close_vec), Some(ema200_close_vec), Some(current_info)) // if let (Some(ema10_open_vec), Some(ema10_close_vec), Some(ema200_close_vec), Some(current_info))
= (ema10_open.get(symbol), ema10_close.get(symbol), ema200_close.get(symbol), price_and_closetime) { // = (ema10_open.get(symbol), ema10_close.get(symbol), ema200_close.get(symbol), price_and_closetime) {
if ema10_open_vec.len() > 20 // if ema10_open_vec.len() > 20
&& ema10_close_vec.len() > 20 // && ema10_close_vec.len() > 20
&& ema10_open_vec.last().unwrap().close_time > server_epoch // && ema10_open_vec.last().unwrap().close_time > server_epoch
&& ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time // && ema10_open_vec.last().unwrap().close_time == ema10_close_vec.last().unwrap().close_time
&& ema10_open_vec.last().unwrap().close_time == ema200_close_vec.last().unwrap().close_time // && ema10_open_vec.last().unwrap().close_time == ema200_close_vec.last().unwrap().close_time
{ // {
if ema10_open_vec.last().unwrap().ema_value > ema10_close_vec.last().unwrap().ema_value // if ema10_open_vec.last().unwrap().ema_value > ema10_close_vec.last().unwrap().ema_value
&& current_info.0.to_f64().is_some_and(|a| a < ema200_close_vec.last().unwrap().ema_value) // && current_info.0.to_f64().is_some_and(|a| a < ema200_close_vec.last().unwrap().ema_value)
{ // {
values.current_price = current_info.0; // values.current_price = current_info.0;
values.closetime = current_info.1; // values.closetime = current_info.1;
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(3, 3), current ADX > prev ADX // current ADX(3, 3), current ADX > prev ADX
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?; // let adx_vec = adx(3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let Some(adx_vec) = adx_vec.get(symbol) { // if let Some(adx_vec) = adx_vec.get(symbol) {
if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) { // if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
if adx_vec.len() > 10 // if adx_vec.len() > 10
&& adx_vec[last_idx].adx > adx_vec[last_idx-1].adx // && adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
{ // {
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 30, multiplier: 2.0, 30m close price) // supertrend(ATR period 30, multiplier: 2.0, 30m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let supertrend_30m_map = // let supertrend_30m_map =
supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?; // supertrend(100, 1.5, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let Some(supertrend_vec) = supertrend_30m_map.get(symbol) // if let Some(supertrend_vec) = supertrend_30m_map.get(symbol)
{ // {
if supertrend_vec.len() > 10 // if supertrend_vec.len() > 10
&& supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime) // && supertrend_vec.last().is_some_and(|a| a.close_time == values.closetime)
&& supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN // && supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN
&& supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::DOWN { // && supertrend_vec[supertrend_vec.len()-2].area == SuperTrendArea::DOWN {
do_buy = true; // do_buy = true;
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// set target_price and stop_loss // set target_price and stop_loss
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
let mut do_buy = false; // let mut do_buy = false;
if let Some(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol) // if let Some(realtime_price_vec) = alldata.rt_price_30m_vec.get(symbol)
{ // {
let element_number = 5; // let element_number = 5;
if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) { // if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
let max_price = truncated_vec // let max_price = truncated_vec
.iter() // .iter()
.max_by(|x, y| x.high_price.partial_cmp(&y.high_price).unwrap()) // .max_by(|x, y| x.high_price.partial_cmp(&y.high_price).unwrap())
.unwrap().high_price; // .unwrap().high_price;
if values.current_price.to_f64().is_some_and(|a| a < max_price) { // if values.current_price.to_f64().is_some_and(|a| a < max_price) {
let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - max_price) * 100.0) / values.current_price.to_f64().unwrap(); // let mut stoploss_percent = ((values.current_price.to_f64().unwrap() - max_price) * 100.0) / values.current_price.to_f64().unwrap();
stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0; // stoploss_percent = (stoploss_percent * 100.0).floor() / 100.0;
values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap(); // values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
let mut target_percent = stoploss_percent.abs() * 1.5; // let mut target_percent = stoploss_percent.abs() * 1.5;
target_percent = (target_percent * 100.0).floor() / 100.0; // target_percent = (target_percent * 100.0).floor() / 100.0;
values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap(); // values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
do_buy = true; // do_buy = true;
} // }
} // }
} // }
if do_buy == false { // if do_buy == false {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// Wiliams -50.0 < %R(100) // Wiliams -50.0 < %R(100)
let mut keys_to_remove: HashSet<String> = HashSet::new(); let mut keys_to_remove: HashSet<String> = HashSet::new();
@ -168,7 +167,7 @@ pub async fn list_up_for_buy(
if let Some(wpr100_vec) = wpr100_map.get(symbol) { if let Some(wpr100_vec) = wpr100_map.get(symbol) {
if wpr100_vec.len() > 15 if wpr100_vec.len() > 15
&& wpr100_vec.last().unwrap().close_time > server_epoch && wpr100_vec.last().unwrap().close_time > server_epoch
&& wpr100_vec.last().unwrap().r_value > -60.0 { && wpr100_vec.last().unwrap().r_value > -50.0 {
do_buy = true; do_buy = true;
} }
} }
@ -369,13 +368,14 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
.unwrap(); .unwrap();
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let mut supertrend_vec: Vec<SupertrendData> = Vec::new(); // let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new(); let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_positions { for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
} }
let supertrend_30m_map = let lr_map = linear_regression(10, 0, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
supertrend(100, 1.5, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?; // let supertrend_30m_map =
// supertrend(100, 1.5, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
// let adx_vec = adx(15, 15, &all_data.rt_price_1m_vec, &filtered_symbols).await?; // let adx_vec = adx(15, 15, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
for element in filled_positions { for element in filled_positions {
let mut is_sell = false; let mut is_sell = false;
@ -388,66 +388,66 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
// ); // );
// TODO: BNB 코인이 없으면 // TODO: BNB 코인이 없으면
if !element.current_price.is_zero() { if let Some(lr_vec) = lr_map.get(&element.symbol) {
if element.pure_profit_percent >= element.target_percent { if !element.current_price.is_zero() && lr_vec.len() > 10 && lr_vec.last().is_some_and(|x| x.close_time > server_epoch) {
is_sell = true;
} else if element.pure_profit_percent <= element.stoploss_percent {
is_sell = true;
} else if server_epoch - element.close_time > 300_000 && supertrend_30m_map.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.area == SuperTrendArea::UP)) {
is_sell = true;
}
let minimum_candles = 5; if element.pure_profit_percent >= element.target_percent {
let maximum_candles = 20;
for count_candles in minimum_candles..=maximum_candles {
if count_candles < maximum_candles
&& server_epoch - element.transact_time
> (1_800_000) * count_candles
&& ((element.pure_profit_percent > 0.0
&& element.target_percent
* ((maximum_candles - count_candles) as f64
/ (maximum_candles - minimum_candles + 1) as f64)
<= element.pure_profit_percent)
||
(element.pure_profit_percent < 0.0
&& element.stoploss_percent
* ((maximum_candles - count_candles) as f64
/ (maximum_candles - minimum_candles + 1) as f64)
>= element.pure_profit_percent)
)
{
is_sell = true; is_sell = true;
break; } else if element.pure_profit_percent <= element.stoploss_percent {
} else { is_sell = true;
break; } else if lr_vec.last().unwrap().r_squared >= 0.55 {
is_sell = true;
}
let minimum_candles = 5;
let maximum_candles = 6;
// for count_candles in minimum_candles..=maximum_candles {
// if count_candles < maximum_candles
// && server_epoch - element.transact_time
// > (1_800_000) * count_candles
// && ((element.pure_profit_percent > 0.0
// && element.target_percent
// * ((maximum_candles - count_candles) as f64
// / (maximum_candles - minimum_candles + 1) as f64)
// <= element.pure_profit_percent)
// ||
// (element.pure_profit_percent < 0.0
// && element.stoploss_percent
// * ((maximum_candles - count_candles) as f64
// / (maximum_candles - minimum_candles + 1) as f64)
// >= element.pure_profit_percent)
// )
// {
// is_sell = true;
// break;
// } else {
// break;
// }
// }
if server_epoch - element.close_time > 1_800_000 * maximum_candles {
is_sell = true;
}
//} else if server_epoch - element.close_time > 300_000
// && adx_vec.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.adx < 15.0)) {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(
&element,
TimeInForce::Gtc,
element.current_price,
element.base_qty_ordered,
&futures_exchange_info_map,
&client
)
.await;
} }
} }
if server_epoch - element.close_time > 1_800_000 * maximum_candles {
is_sell = true;
}
// else if server_epoch - element.close_time > 300_000 && supertrend_1m_map.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.area == SuperTrendArea::UP)) {
// is_sell = true;
// } else if server_epoch - element.close_time > 300_000 && adx_vec.get(&element.symbol).is_some_and(|a| a.len() > 10 && a.last().is_some_and(|b| b.close_time > server_epoch && b.adx < 15.0)) {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(
&element,
TimeInForce::Gtc,
element.current_price,
element.base_qty_ordered,
&futures_exchange_info_map,
&client
)
.await;
}
} }
}
}
Ok(()) Ok(())
} }