Add strategy for long position

src/strategy_team/future_strategy_long.rs

@@ -0,0 +1,146 @@
+use crate::value_estimation_team::{datapoints::price_data::CandleType, 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_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, 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, WiliamsPercentR, future_duplicate_filter, insert_future_coins
+};
+
+use crate::future::{Position, FuturesExchangeInfo};
+use crate::future::table_mgmt::select_filled_positions;
+use crate::future::order::{limit_order_close, TimeInForce};
+
+// BUY conditions
+pub async fn list_up_for_buy(
+    alldata: &AllData,
+    future_exchange_info_map: &HashMap<String, FuturesExchangeInfo>
+) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
+    // print rt_price for debugging
+    // let a = alldata.rt_price_30m_vec.iter().position(|a| a.0 == "BTCUSDT");
+    // println!("BTCUSDT: {:?}", alldata.rt_price_30m_vec[a.unwrap()].1.last().unwrap());
+
+    // basic filtering: filtering valid trade pair
+    let mut filtered_data: HashMap<String, FilteredDataValue> = HashMap::new();
+    for symbol in &alldata.valid_symbol_vec {
+        filtered_data.insert(symbol.clone(), FilteredDataValue::new());
+    }
+    let server_epoch = get_server_epoch().await;
+    // current Tema(30) < current Tema(60)
+    let mut keys_to_remove: HashSet<String> = HashSet::new();
+    let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
+    let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
+    let server_epoch = get_server_epoch().await;
+    
+    let mut do_buy = false;
+    if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get("BTCUSDT"), tema_60.get("BTCUSDT")) {
+        if tema15_vec.len() > 10
+            && tema60_vec.len() > 10
+            && tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
+            && tema15_vec.last().unwrap().close_time > server_epoch
+            && tema60_vec.last().unwrap().close_time > server_epoch
+        {
+            if tema15_vec.last().unwrap().tema_value > tema60_vec.last().unwrap().tema_value {
+                do_buy = true;
+            } 
+        } 
+    }
+
+    if do_buy == false {
+        return Ok(());
+    }
+
+    // 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();
+    let heatmap_volumes = heatmap_volume(
+        60,
+        60,
+        4.0,
+        2.5,
+        1.0,
+        -0.5,
+        &filtered_data,
+        &alldata.rt_price_1m_vec,
+    )
+    .await?;
+    let server_epoch = get_server_epoch().await;
+    for (symbol, values) in &mut filtered_data {
+        let mut do_buy = false;
+        if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
+            if heatmap_volume_vec.len() > 100
+            && heatmap_volume_vec.last().unwrap().close_time > server_epoch 
+            && rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time 
+            && heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
+            && rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
+                let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
+                    rt_price_vec_30m.last().unwrap().close_price,
+                )
+                .unwrap();
+                values.closetime = heatmap_volume_vec.last().unwrap().close_time;
+                values.current_price = current_price;
+                do_buy = true;
+            }
+        } 
+        
+        if do_buy == false {
+            keys_to_remove.insert(symbol.clone());
+        }
+    }
+    remove_keys(&mut filtered_data, keys_to_remove).await;
+
+
+    let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
+    insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?;
+
+    Ok(())
+}
+
+pub async fn list_up_for_sell() -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
+    let filled_positions = select_filled_positions().await?;
+
+    let client = ClientBuilder::new()
+        .timeout(tokio::time::Duration::from_millis(5000))
+        .build()
+        .unwrap();
+    let server_epoch = get_server_epoch().await;
+
+    for element in filled_positions {
+        let mut is_sell = false;
+
+        // TODO: BNB 코인이 있으면
+        // let base_qty_to_be_ordered =
+        //     element.base_qty_ordered.round_dp_with_strategy(
+        //         lot_step_size.normalize().scale(),
+        //         RoundingStrategy::ToZero,
+        //     );
+        // TODO: BNB 코인이 없으면
+
+        if !element.current_price.is_zero() {
+            if element.pure_profit_percent >= 0.6 {
+                is_sell = true;
+            } else if element.pure_profit_percent <= -0.8 {
+                is_sell = true;
+            } else if server_epoch - element.transact_time >= (1_800_000) * 1 {
+                // time up selling
+                is_sell = true;
+            }
+        
+            if is_sell == true {
+                limit_order_close(
+                    &element,
+                    TimeInForce::Gtc,
+                    element.current_price,
+                    element.base_qty_ordered,
+                    &client
+                )
+                .await;
+            }
+        }
+    }
+
+    Ok(())
+}

src/strategy_team/mod.rs

@@ -9,6 +9,7 @@ pub mod strategy_008;
 pub mod strategy_009;
 pub mod strategy_010;
 pub mod future_strategy;
+pub mod future_strategy_long;
 // pub mod strategy_test;
 pub mod strategy_manager;
 

src/strategy_team/strategy_manager.rs

@@ -43,6 +43,7 @@ pub async fn execute_list_up_for_buy(
     // crate::strategy_team::strategy_007::list_up_for_buy(all_data).await;
     // crate::strategy_team::strategy_008::list_up_for_buy(all_data).await;
     // crate::strategy_team::strategy_009::list_up_for_buy(all_data).await;
+    crate::strategy_team::future_strategy_long::list_up_for_buy(all_data, &future_exchange_info_map).await;
     crate::strategy_team::future_strategy::list_up_for_buy(all_data, &future_exchange_info_map).await;
 
     Ok(())
@@ -83,6 +84,7 @@ pub async fn execute_list_up_for_sell(
     //     &trade_fee_map,
     // )
     // .await;
+    crate::strategy_team::future_strategy_long::list_up_for_sell().await;
     crate::strategy_team::future_strategy::list_up_for_sell().await;
     Ok(())
 }