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New strategy

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This commit is contained in:
Sik Yoon 2024-03-12 02:50:54 +09:00
parent c2698851ed
commit 5799fa5bb7
3 changed files with 289 additions and 0 deletions
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1
src/strategy_team/mod.rs
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@ -4,6 +4,7 @@ pub mod strategy_003;
pub mod strategy_004;
pub mod strategy_005;
pub mod strategy_006;
pub mod strategy_007;
// pub mod strategy_test;
pub mod strategy_manager;

286
src/strategy_team/strategy_007.rs Normal file
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@ -0,0 +1,286 @@
use super::{
dec, decimal_add, decimal_sub, decimal_div, decimal_mul, ema, exists_record, insert_pre_suggested_coins,
limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredDataValue, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, get_server_epoch, MacdData, ema_macd,
BollingerBandData, ToPrimitive, duplicate_filter, HashMap, HashSet, remove_keys, SuperTrendArea, SuperTrendSignal, get_current_price
};
// BUY conditions
// (1) ADX(10,10): increasing, ADX_current < 25
// (2) ADX(5,5): increasing, ADX_current < 40
// (3) RSI (5) < 75
// (4) SuperTrend(14, 2): UP Area
// stoploss: (not update) supertrend(14, 2) lowerband of UP area
// target price: (fixed) stoploss inverse x 3 times profit
pub async fn list_up_for_buy(
alldata: &AllData,
) -> 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());
}
// 1st filtering: the 2 previous ADX(10, 10)s increase, ADX < 25
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(10, 10, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
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[last_idx].adx > adx_vec[last_idx-1].adx &&
adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx &&
adx_vec[last_idx].adx < 25.0 {
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// 2nd filtering: the 2 previous ADX(5, 5)s increase, ADX < 40
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(10, 10, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
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[last_idx].adx > adx_vec[last_idx-1].adx &&
adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx &&
adx_vec[last_idx].adx < 40.0 {
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// 3rd filtering: RSI 5 < 75.0
let mut keys_to_remove: HashSet<String> = HashSet::new();
let rsi_map = rsi(5, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
if let Some(rsi_vec) = rsi_map.get(symbol) {
if let Some(last_idx) = rsi_vec.iter().position(|elem| elem.close_time == values.closetime) {
if rsi_vec[last_idx].rsi_value > 75.0 {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// 4th filtering: supertrend(ATR period 14, multiplier: 1.2, 1d close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
let supertrend_1d_map = supertrend(14, 1.2, true, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
if let (Some(supertrend_vec), Some(rt_price_vec)) = (supertrend_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) {
if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time &&
rt_price_vec.last().unwrap().close_time > server_epoch {
// input stoploss, target_price
let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
if supertrend_vec.last().unwrap().area == SuperTrendArea::UP &&
supertrend_vec.last().unwrap().band_value < values.current_price.to_f64().unwrap()
{
values.current_price = rust_decimal::prelude::FromPrimitive::from_f64(rt_price_vec.last().unwrap().close_price).unwrap();
values.closetime = rt_price_vec.last().unwrap().close_time;
values.stoploss = band_value;
values.target_price = decimal_add(decimal_mul(decimal_sub(values.current_price, values.stoploss), dec!(3.0)), values.current_price);
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// limit buy price: 3 * abs(이전 3 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
if let Some(rt_price_vec) = alldata.rt_price_1d_vec.get(symbol) {
if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 {
let mut opclo_vec: Vec<f64> = Vec::new();
opclo_vec.push(rt_price_vec[rt_price_vec.len()-2].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len()-3].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len()-4].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len()-5].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len()-6].opclo_price);
let max_idx = opclo_vec.iter().position(|&x| x == *opclo_vec.iter().max_by(|&a, &b| a.partial_cmp(b).unwrap()).unwrap());
opclo_vec.remove(max_idx.unwrap());
let mut mean = 0.0;
for element in &opclo_vec {
mean += element;
}
mean /= opclo_vec.len() as f64;
let current_price = rt_price_vec.last().unwrap().close_price;
let difference = (mean - rt_price_vec.last().unwrap().open_price).abs();
if current_price < rt_price_vec.last().unwrap().open_price + (3.0 * difference) {
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = duplicate_filter(7, &filtered_data).await?;
insert_pre_suggested_coins(7, false, &final_filtered_data, &alldata).await;
Ok(())
}
// (1) 15일 까지 지켜봄
// (2) 7일 까지는 target_price 까지 기다림
// (3) 8~15 까지는 target_price가 이루려는 profit percent의 절반 될 때까지 선형으로 줄어듦
pub async fn list_up_for_sell(
all_data: &AllData,
exchange_info_map: &HashMap<String, ExchangeInfo>,
trade_fee_map: &HashMap<String, TradeFee>,
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
let filled_buy_orders = select_filled_buy_orders(6).await?;
if !filled_buy_orders.is_empty() {
let client = ClientBuilder::new()
.timeout(tokio::time::Duration::from_millis(5000))
.build()
.unwrap();
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
let server_epoch = get_server_epoch().await;
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_buy_orders {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?;
for element in filled_buy_orders {
let mut is_sell = false;
if element.used_usdt >= dec!(10.0) {
if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) =
(exchange_info_map.get(&element.symbol), trade_fee_map.get(&element.symbol), supertrend_1d.get(&element.symbol)) {
// update stoploss
let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap();
if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
&& band_value > element.stoploss {
let update_table_name = String::from("buy_ordered_coin_list");
let update_value = vec![
(String::from("stoploss"), band_value.to_string()),
];
let update_condition = vec![(String::from("id"), element.id.to_string())];
update_record3(&update_table_name, &update_value, &update_condition)
.await
.unwrap();
}
let lot_step_size = exchange_info.stepsize;
let quote_commission_precision = exchange_info.quote_commission_precision;
let base_qty_to_be_ordered =
element.base_qty_ordered.round_dp_with_strategy(
lot_step_size.normalize().scale(),
RoundingStrategy::ToZero,
);
let target_profit_percent = decimal_div(decimal_sub(element.stoploss, element.buy_price), element.buy_price).to_f64().unwrap();
if (element.is_long == 0 || element.is_long == 1)
&& !element.current_price.is_zero()
{
if element.current_price <= element.stoploss {
is_sell = true;
} else if element.current_price >= element.target_price {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 8 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (13.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 9 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (12.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 10 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (11.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 11 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (10.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 12 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (9.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 13 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (8.0/14.0) <= element.pure_profit_percent) {
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 14 &&
(target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * (1.0/2.0) <= element.pure_profit_percent) { // scaled selling with time up selling (6 days){
is_sell = true;
} else if server_epoch - element.transact_time > (86_400_000) * 15 { // time up selling
is_sell = true;
}
// TODO: sell_count가 1일 때 적용하기
// else if (supertrend_vec
// .last()
// .unwrap()
// .signal
// .as_ref()
// .is_some_and(|x| x.contains("SELL"))
// || supertrend_vec.last().unwrap().area.contains("DOWN"))
// && (supertrend_vec.last().unwrap().close_time > element.close_time)
// {
// println!(
// "SELL signal selling {} {:.2}",
// element.symbol, element.pure_profit_percent
// );
// limit_order_sell(
// &element,
// element.current_price,
// base_qty_to_be_ordered,
// &client,
// &exchange_info_vec,
// &trade_fee_vec,
// )
// .await;
// }
if is_sell == true {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
}
}
}
}
}
}
Ok(())
}

2
src/strategy_team/strategy_manager.rs
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@ -37,6 +37,7 @@ pub async fn execute_list_up_for_buy(
// crate::strategy_team::strategy_004::list_up_for_buy(all_data).await;
// crate::strategy_team::strategy_005::list_up_for_buy(all_data).await;
crate::strategy_team::strategy_006::list_up_for_buy(all_data).await;
crate::strategy_team::strategy_007::list_up_for_buy(all_data).await;
Ok(())
}
@ -52,6 +53,7 @@ pub async fn execute_list_up_for_sell(
// crate::strategy_team::strategy_004::list_up_for_sell(&all_data, &exchange_info_map, &trade_fee_map).await;
// crate::strategy_team::strategy_005::list_up_for_sell(&all_data, &exchange_info_map, &trade_fee_map).await;
crate::strategy_team::strategy_006::list_up_for_sell(&all_data, &exchange_info_map, &trade_fee_map).await;
crate::strategy_team::strategy_007::list_up_for_sell(&all_data, &exchange_info_map, &trade_fee_map).await;
Ok(())
}