diff --git a/src/strategy_team/mod.rs b/src/strategy_team/mod.rs index f739771..d5e9020 100644 --- a/src/strategy_team/mod.rs +++ b/src/strategy_team/mod.rs @@ -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; diff --git a/src/strategy_team/strategy_007.rs b/src/strategy_team/strategy_007.rs new file mode 100644 index 0000000..15f73c5 --- /dev/null +++ b/src/strategy_team/strategy_007.rs @@ -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> { + // 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 = 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 = 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 = 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 = 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 = 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 = 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 = 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, + trade_fee_map: &HashMap, +) -> Result<(), Box> { + 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 = Vec::new(); + let server_epoch = get_server_epoch().await; + let mut filtered_symbols: HashMap = 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(()) +} diff --git a/src/strategy_team/strategy_manager.rs b/src/strategy_team/strategy_manager.rs index 7a8dbf0..c22a688 100644 --- a/src/strategy_team/strategy_manager.rs +++ b/src/strategy_team/strategy_manager.rs @@ -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(()) }