Make calculation in parallel
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ddbaaa0508
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45f640e3bc
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@ -7,7 +7,9 @@ use csv::{DeserializeRecordsIter, StringRecord};
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use serde::Deserialize;
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use sqlx::FromRow;
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use std::f64::NAN;
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use tokio::{fs::*, io::AsyncWriteExt, time::*};
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use futures::future::try_join_all;
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use std::sync::Arc;
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use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
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#[derive(Clone, Debug)]
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pub struct RsiData {
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@ -28,124 +30,129 @@ impl RsiData {
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pub async fn rsi(
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rsi_number: usize,
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input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
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output_rsi_data: &mut Vec<(String, Vec<RsiData>)>,
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filtered_symbols: &Vec<(String, i64)>,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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) -> Result<Vec<(String, Vec<RsiData>)>, Box<dyn std::error::Error + Send + Sync>> {
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let instant = Instant::now();
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let mut read_data_vec: Vec<RealtimePriceData> = Vec::new();
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let mut read_price_buffer: Vec<RealtimePriceData> = Vec::new();
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let mut prev_price: f64 = 0.0;
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let mut current_price: f64 = 0.0;
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let mut sum_increase: f64 = 0.0;
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let mut sum_decrease: f64 = 0.0;
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let mut rsi: f64 = 0.0;
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let mut last_close_time = 0;
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let mut rsi_data_wrapper: Vec<(String, Vec<RsiData>)> = Vec::new();
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let mut rsi_data_vec: Vec<RsiData> = Vec::new();
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let mut rsi_data = RsiData::new();
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for symbol in filtered_symbols {
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read_data_vec.clear();
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read_price_buffer.clear();
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rsi_data_vec.clear();
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let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *symbol.0);
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let mut rsi_data_wrapper_arc = Arc::new(Mutex::new(rsi_data_wrapper));
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let mut task_vec = Vec::new();
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for element in filtered_symbols {
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let element_c = element.clone();
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let rsi_data_wrapper_arc_c = Arc::clone(&rsi_data_wrapper_arc);
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let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *element_c.0);
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match symbol_search_result {
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Some(T) => {
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if input_rt_data[T].1.len() < rsi_number + 1 {
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rsi_data.rsi_value = 0.0;
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rsi_data.close_time = 0;
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rsi_data_vec.push(rsi_data.clone());
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} else {
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read_data_vec = input_rt_data[T].1.clone();
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if read_data_vec.len() >= (150 + rsi_number) as usize {
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read_data_vec.reverse();
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read_data_vec.truncate((150 + rsi_number) as usize);
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read_data_vec.reverse();
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}
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let window_iter = read_data_vec.windows(rsi_number + 1);
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let input_rt_data_c = input_rt_data.clone();
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task_vec.push(tokio::spawn(async move {
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let mut rsi_data_vec: Vec<RsiData> = Vec::new();
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let mut rsi_data = RsiData::new();
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let mut read_data_vec: Vec<RealtimePriceData> = Vec::new();
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let mut read_price_buffer: Vec<RealtimePriceData> = Vec::new();
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let mut prev_price: f64 = 0.0;
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let mut current_price: f64 = 0.0;
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let mut sum_increase: f64 = 0.0;
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let mut sum_decrease: f64 = 0.0;
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let mut rsi: f64 = 0.0;
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let mut last_close_time = 0;
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let mut prev_avg_ups: Option<f64> = None;
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let mut prev_avg_downs: Option<f64> = None;
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let mut current_avg_ups: Option<f64> = None;
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let mut current_avg_downs: Option<f64> = None;
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for buffer in window_iter {
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let mut up_vec: Vec<f64> = Vec::new();
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let mut down_vec: Vec<f64> = Vec::new();
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let buffer_window = buffer.windows(2);
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for element in buffer_window {
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if element.last().unwrap().close_price
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- element.first().unwrap().close_price
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> 0.0
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{
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up_vec.push(
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element.last().unwrap().close_price
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- element.first().unwrap().close_price,
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);
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down_vec.push(0.0);
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} else if element.last().unwrap().close_price
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- element.first().unwrap().close_price
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< 0.0
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{
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up_vec.push(0.0);
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down_vec.push(
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(element.last().unwrap().close_price
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- element.first().unwrap().close_price)
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.abs(),
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);
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} else {
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up_vec.push(0.0);
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down_vec.push(0.0);
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}
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}
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if current_avg_ups == None
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&& current_avg_downs == None
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&& prev_avg_ups == None
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&& prev_avg_downs == None
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{
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// initial averages based on SMA
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let mut avg_ups: f64 = up_vec.iter().sum();
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avg_ups /= rsi_number as f64;
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let mut avg_downs: f64 = down_vec.iter().sum();
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avg_downs /= rsi_number as f64;
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current_avg_ups = Some(avg_ups);
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current_avg_downs = Some(avg_downs);
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} else {
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// [EMA]
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let alpha = 1.0 / (rsi_number as f64); // Wilder's weight
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current_avg_ups = Some(
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alpha * up_vec.last().unwrap()
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+ ((1.0 - alpha) * prev_avg_ups.unwrap()),
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);
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current_avg_downs = Some(
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alpha * down_vec.last().unwrap()
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+ ((1.0 - alpha) * prev_avg_downs.unwrap()),
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);
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}
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prev_avg_ups = current_avg_ups;
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prev_avg_downs = current_avg_downs;
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let rs =
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current_avg_ups.unwrap() / (current_avg_downs.unwrap() + 0.00000001); // 0.00000001 is used to avoid division by 0
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let rsi = 100.0 - (100.0 / (1.0 + rs));
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rsi_data.rsi_value = rsi;
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rsi_data.close_time = buffer.last().unwrap().close_time;
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if input_rt_data_c[T].1.len() < rsi_number + 1 {
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rsi_data.rsi_value = 0.0;
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rsi_data.close_time = 0;
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rsi_data_vec.push(rsi_data.clone());
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} else {
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read_data_vec = input_rt_data_c[T].1.clone();
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if read_data_vec.len() >= (150 + rsi_number) as usize {
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read_data_vec.reverse();
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read_data_vec.truncate((150 + rsi_number) as usize);
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read_data_vec.reverse();
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}
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let window_iter = read_data_vec.windows(rsi_number + 1);
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let mut prev_avg_ups: Option<f64> = None;
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let mut prev_avg_downs: Option<f64> = None;
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let mut current_avg_ups: Option<f64> = None;
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let mut current_avg_downs: Option<f64> = None;
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for buffer in window_iter {
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let mut up_vec: Vec<f64> = Vec::new();
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let mut down_vec: Vec<f64> = Vec::new();
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let buffer_window = buffer.windows(2);
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for element in buffer_window {
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if element.last().unwrap().close_price
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- element.first().unwrap().close_price
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> 0.0
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{
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up_vec.push(
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element.last().unwrap().close_price
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- element.first().unwrap().close_price,
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);
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down_vec.push(0.0);
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} else if element.last().unwrap().close_price
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- element.first().unwrap().close_price
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< 0.0
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{
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up_vec.push(0.0);
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down_vec.push(
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(element.last().unwrap().close_price
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- element.first().unwrap().close_price)
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.abs(),
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);
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} else {
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up_vec.push(0.0);
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down_vec.push(0.0);
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}
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}
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if current_avg_ups == None
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&& current_avg_downs == None
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&& prev_avg_ups == None
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&& prev_avg_downs == None
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{
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// initial averages based on SMA
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let mut avg_ups: f64 = up_vec.iter().sum();
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avg_ups /= rsi_number as f64;
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let mut avg_downs: f64 = down_vec.iter().sum();
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avg_downs /= rsi_number as f64;
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current_avg_ups = Some(avg_ups);
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current_avg_downs = Some(avg_downs);
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} else {
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// [EMA]
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let alpha = 1.0 / (rsi_number as f64); // Wilder's weight
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current_avg_ups = Some(
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alpha * up_vec.last().unwrap()
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+ ((1.0 - alpha) * prev_avg_ups.unwrap()),
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);
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current_avg_downs = Some(
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alpha * down_vec.last().unwrap()
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+ ((1.0 - alpha) * prev_avg_downs.unwrap()),
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);
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}
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prev_avg_ups = current_avg_ups;
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prev_avg_downs = current_avg_downs;
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let rs =
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current_avg_ups.unwrap() / (current_avg_downs.unwrap() + 0.00000001); // 0.00000001 is used to avoid division by 0
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let rsi = 100.0 - (100.0 / (1.0 + rs));
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rsi_data.rsi_value = rsi;
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rsi_data.close_time = buffer.last().unwrap().close_time;
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rsi_data_vec.push(rsi_data.clone());
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}
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let mut rsi_data_wrapper_lock = rsi_data_wrapper_arc_c.lock().await;
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rsi_data_wrapper_lock.push((element_c.0.clone(), rsi_data_vec.clone()));
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}
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rsi_data_wrapper.push((symbol.0.clone(), rsi_data_vec.clone()));
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}
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}));
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}
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None => {}
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}
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}
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*output_rsi_data = rsi_data_wrapper;
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// println!(" indicators/rsi{} 완료 elapsed:{:.2}s", rsi_number, instant.elapsed().as_secs_f32());
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Ok(())
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try_join_all(task_vec).await?;
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let a = rsi_data_wrapper_arc.lock().await.to_owned();
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Ok(a)
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}
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