New strategy
This commit is contained in:
parent
c2698851ed
commit
5799fa5bb7
|
|
@ -4,6 +4,7 @@ pub mod strategy_003;
|
||||||
pub mod strategy_004;
|
pub mod strategy_004;
|
||||||
pub mod strategy_005;
|
pub mod strategy_005;
|
||||||
pub mod strategy_006;
|
pub mod strategy_006;
|
||||||
|
pub mod strategy_007;
|
||||||
// pub mod strategy_test;
|
// pub mod strategy_test;
|
||||||
pub mod strategy_manager;
|
pub mod strategy_manager;
|
||||||
|
|
||||||
|
|
|
||||||
286
src/strategy_team/strategy_007.rs
Normal file
286
src/strategy_team/strategy_007.rs
Normal file
|
|
@ -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(())
|
||||||
|
}
|
||||||
|
|
@ -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_004::list_up_for_buy(all_data).await;
|
||||||
// crate::strategy_team::strategy_005::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_006::list_up_for_buy(all_data).await;
|
||||||
|
crate::strategy_team::strategy_007::list_up_for_buy(all_data).await;
|
||||||
|
|
||||||
Ok(())
|
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_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_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_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(())
|
Ok(())
|
||||||
}
|
}
|
||||||
|
|
|
||||||
Loading…
Reference in New Issue
Block a user