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Add wiliams percent r indicator (#6)

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Co-authored-by: Sik Yoon <younxxxx@gmail.com>
Reviewed-on: http://192.168.1.100:3000/Sik/tradingbot/pulls/6
This commit is contained in:
Sik 2024-04-29 12:59:11 +00:00
parent 8dd2b12ee6
commit 29d773e36f
4 changed files with 153 additions and 40 deletions
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3
src/strategy_team/mod.rs
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@ -30,6 +30,9 @@ use crate::value_estimation_team::indicators::supertrend::{
supertrend, SuperTrendArea, SuperTrendSignal, SupertrendData,
};
use crate::value_estimation_team::indicators::tema::{tema, TemaData};
use crate::value_estimation_team::indicators::wiliams_percent_r::{
wiliams_percent_r, WiliamsPercentR,
};
use futures::future::try_join_all;
use reqwest::{Client, ClientBuilder};
use rust_decimal::{prelude::FromPrimitive, prelude::ToPrimitive, Decimal, RoundingStrategy};

106
src/strategy_team/strategy_008.rs
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@ -1,12 +1,14 @@
use crate::value_estimation_team::indicators::wiliams_percent_r;
use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price, get_server_epoch, heatmap_volume,
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
stoch_rsi, supertrend, tema, try_join_all, update_record3, AdxData, AllData, Arc,
BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR,
};
// BUY conditions
@ -49,6 +51,25 @@ pub async fn list_up_for_buy(
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Wiliams %R < -50.0
let mut keys_to_remove: HashSet<String> = HashSet::new();
let mut wprs = wiliams_percent_r(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
if let Some(wpr_vec) = wprs.get(symbol) {
if wpr_vec.len() > 15
&& wpr_vec.last().unwrap().close_time > server_epoch
&& wpr_vec.last().unwrap().r_value < -50.0
{
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current Tema(300) < current Tema(200) < current Tema(100)
// previous Tema(300) < previous Tema(100)
// previous Tema(200) < previous Tema(100)
@ -62,24 +83,30 @@ pub async fn list_up_for_buy(
if let (Some(tema100_vec), Some(tema200_vec), Some(tema300_vec)) = (
tema_100.get(symbol),
tema_200.get(symbol),
tema_300.get(symbol)
tema_300.get(symbol),
) {
if (tema100_vec.len() > 15
&& tema200_vec.len() > 15
&& tema300_vec.len() > 15)
if (tema100_vec.len() > 15 && tema200_vec.len() > 15 && tema300_vec.len() > 15)
&& tema100_vec.last().unwrap().close_time == tema200_vec.last().unwrap().close_time
&& tema200_vec.last().unwrap().close_time == tema300_vec.last().unwrap().close_time
&& tema100_vec.last().unwrap().close_time > server_epoch
{
if tema100_vec.last().unwrap().tema_value > tema300_vec.last().unwrap().tema_value
&& tema200_vec.last().unwrap().tema_value > tema300_vec.last().unwrap().tema_value
&& tema200_vec.last().unwrap().tema_value < tema100_vec.last().unwrap().tema_value
&& tema100_vec[tema100_vec.len() - 2].tema_value > tema300_vec[tema300_vec.len() - 2].tema_value
&& tema200_vec[tema200_vec.len() - 2].tema_value < tema300_vec[tema300_vec.len() - 2].tema_value
&& tema200_vec[tema200_vec.len() - 2].tema_value < tema100_vec[tema100_vec.len() - 2].tema_value
&& tema100_vec[tema100_vec.len() - 3].tema_value > tema300_vec[tema300_vec.len() - 3].tema_value
&& tema200_vec[tema200_vec.len() - 3].tema_value < tema300_vec[tema300_vec.len() - 3].tema_value
&& tema200_vec[tema200_vec.len() - 3].tema_value < tema100_vec[tema100_vec.len() - 3].tema_value
&& tema200_vec.last().unwrap().tema_value
> tema300_vec.last().unwrap().tema_value
&& tema200_vec.last().unwrap().tema_value
< tema100_vec.last().unwrap().tema_value
&& tema100_vec[tema100_vec.len() - 2].tema_value
> tema300_vec[tema300_vec.len() - 2].tema_value
&& tema200_vec[tema200_vec.len() - 2].tema_value
< tema300_vec[tema300_vec.len() - 2].tema_value
&& tema200_vec[tema200_vec.len() - 2].tema_value
< tema100_vec[tema100_vec.len() - 2].tema_value
&& tema100_vec[tema100_vec.len() - 3].tema_value
> tema300_vec[tema300_vec.len() - 3].tema_value
&& tema200_vec[tema200_vec.len() - 3].tema_value
< tema300_vec[tema300_vec.len() - 3].tema_value
&& tema200_vec[tema200_vec.len() - 3].tema_value
< tema100_vec[tema100_vec.len() - 3].tema_value
{
} else {
keys_to_remove.insert(symbol.clone());
@ -174,29 +201,29 @@ pub async fn list_up_for_buy(
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 200, StochRSI_len: 200, K: 3, D: 3) K_current < 70, K_prev < 70, K_prev_1 < 70
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(200, 200, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
if stoch_rsis.contains_key(symbol) {
let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
let search_result = stoch_rsi_vec
.iter()
.position(|x| x.close_time == values.closetime);
if stoch_rsi_vec.len() > 10
&& search_result.is_some_and(|a| {
stoch_rsi_vec[a].k < 70.0
&& stoch_rsi_vec[a - 1].k < 70.0
&& stoch_rsi_vec[a - 2].k < 70.0
})
{
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let stoch_rsis = stoch_rsi(200, 200, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// if stoch_rsis.contains_key(symbol) {
// let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
// let search_result = stoch_rsi_vec
// .iter()
// .position(|x| x.close_time == values.closetime);
// if stoch_rsi_vec.len() > 10
// && search_result.is_some_and(|a| {
// stoch_rsi_vec[a].k < 70.0
// && stoch_rsi_vec[a - 1].k < 70.0
// && stoch_rsi_vec[a - 2].k < 70.0
// })
// {
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new();
@ -212,8 +239,7 @@ pub async fn list_up_for_buy(
)
.await?;
for (symbol, values) in &mut filtered_data {
if stoch_rsis.contains_key(symbol) {
let heatmap_volume_vec = heatmap_volumes.get(symbol).unwrap();
if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
if heatmap_volume_vec.len() > 50 {
let heatmap_volume_trunc = heatmap_volume_vec
.get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1)

1
src/value_estimation_team/indicators/mod.rs
View File

@ -9,6 +9,7 @@ pub mod sma;
pub mod stoch_rsi;
pub mod supertrend;
pub mod tema;
pub mod wiliams_percent_r;
use crate::strategy_team::FilteredDataValue;
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;

83
src/value_estimation_team/indicators/wiliams_percent_r.rs Normal file
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@ -0,0 +1,83 @@
#![allow(unused)]
#![allow(warnings)]
use super::HashMap;
use crate::database_control::*;
use crate::strategy_team::FilteredDataValue;
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
use futures::future::try_join_all;
use serde::Deserialize;
use sqlx::FromRow;
use std::sync::Arc;
use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
#[derive(Clone, Debug)]
pub struct WiliamsPercentR {
pub r_value: f64,
pub close_time: i64,
}
impl WiliamsPercentR {
fn new() -> WiliamsPercentR {
let a = WiliamsPercentR {
r_value: 0.0,
close_time: 0,
};
a
}
}
// Binance Wiliams %R
pub async fn wiliams_percent_r(
period: usize,
input_rt_data: &HashMap<String, Vec<RealtimePriceData>>,
filtered_symbols: &HashMap<String, FilteredDataValue>,
) -> Result<HashMap<String, Vec<WiliamsPercentR>>, Box<dyn std::error::Error + Send + Sync>> {
if filtered_symbols.is_empty() {
Err("Err")?;
}
let mut wpr_data_wrapper: HashMap<String, Vec<WiliamsPercentR>> = HashMap::new();
let mut wpr_data_wrapper_arc = Arc::new(Mutex::new(wpr_data_wrapper));
let mut task_vec = Vec::new();
for (symbol, filtered_data) in filtered_symbols {
if let Some(vec) = input_rt_data.get(symbol) {
let wpr_data_wrapper_arc_c = Arc::clone(&wpr_data_wrapper_arc);
let symbol_c = symbol.clone();
let rt_price_data = vec.clone();
task_vec.push(tokio::spawn(async move {
let mut wpr_data = WiliamsPercentR::new();
let mut wpr_data_vec: Vec<WiliamsPercentR> = Vec::new();
if rt_price_data.len() >= period {
let mut iter = rt_price_data.windows(period);
for buffer in iter {
let highest_high = buffer
.iter()
.max_by(|x, y| x.high_price.partial_cmp(&y.high_price).unwrap())
.unwrap()
.high_price;
let lowest_low = buffer
.iter()
.min_by(|x, y| x.low_price.partial_cmp(&y.low_price).unwrap())
.unwrap()
.low_price;
let close_price = buffer.last().unwrap().close_price;
let wpr =
(highest_high - close_price) / (highest_high - lowest_low) * -100.0;
wpr_data.r_value = wpr;
wpr_data.close_time = buffer.last().unwrap().close_time;
wpr_data_vec.push(wpr_data.clone());
}
}
let mut wpr_data_wrapper_lock = wpr_data_wrapper_arc_c.lock().await;
wpr_data_wrapper_lock.insert(symbol_c, wpr_data_vec.clone());
}));
}
}
try_join_all(task_vec).await?;
let a = wpr_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}