Sik/tradingbot
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Update filtering

Browse Source
This commit is contained in:
Sik Yoon 2024-05-30 02:08:26 +09:00
parent f42570edc0
commit 62fad62a4d
6 changed files with 259 additions and 178 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

4
src/future/mod.rs
View File

@ -131,6 +131,8 @@ pub struct PositionCoinList {
pub pnl: f64,
pub entry_price: Decimal,
pub current_price: Decimal,
pub target_percent: f64,
pub stoploss_percent: f64,
pub base_qty_ordered: Decimal,
pub pure_profit_percent: f64,
pub minimum_profit_percent: f64,
@ -154,6 +156,8 @@ impl PositionCoinList {
pnl: 0.0,
entry_price: Decimal::new(0, 8),
current_price: Decimal::new(0, 8),
target_percent: 0.0,
stoploss_percent: 0.0,
base_qty_ordered: Decimal::new(0, 8),
pure_profit_percent: 0.0,
minimum_profit_percent: 0.0,

49
src/initialization.rs
View File

@ -1316,6 +1316,55 @@ async fn initialize_database() {
("pnl", "double", None),
("entry_price", "decimal(16,8)", None),
("current_price", "decimal(16,8)", None),
("target_percent", "double", None),
("stoploss_percent", "double", None),
("base_qty_ordered", "decimal(16,8)", None),
("pure_profit_percent", "double", None),
("minimum_profit_percent", "double", None),
("maximum_profit_percent", "double", None),
];
let table_condition = None;
if exists_result == false {
let mut result = new_table(&table_name, &initial_table, &table_condition).await;
if result.is_err() {
loop {
result = new_table(&table_name, &initial_table, &table_condition).await;
if result.is_ok() {
break;
}
sleep(Duration::from_millis(10)).await;
}
}
}
println!("Ok");
}
{
// future_ordered_coin_list
print!("table 'future_closed_coin_list'...");
io::stdout().flush();
let table_name = String::from("future_closed_coin_list");
let exists_result = exists_table(&table_name).await;
let initial_table = vec![
("id", "integer", Some("PK, AI, UN")),
("order_type", "char(20)", None), // POSITIONING, CLOSING
("status", "char(20)", None), // LISTUP, FILLED, PARTIALLY_FILLED
("symbol", "char(20)", None),
("order_id", "bigint", Some("UN")),
("position", "char(20)", None),
("registered_server_epoch", "bigint", None),
("transact_time", "bigint", None),
("close_time", "bigint", None),
("used_usdt", "decimal(16,8)", None),
("expected_get_usdt", "double", None),
("pnl", "double", None),
("entry_price", "decimal(16,8)", None),
("current_price", "decimal(16,8)", None),
("target_percent", "double", None),
("stoploss_percent", "double", None),
("base_qty_ordered", "decimal(16,8)", None),
("pure_profit_percent", "double", None),
("minimum_profit_percent", "double", None),

181
src/strategy_team/future_strategy_long.rs
View File

@ -33,34 +33,27 @@ pub async fn list_up_for_buy(
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let ema3 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let tema3: HashMap<String, Vec<TemaData>> = tema(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema30 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
let ema200 = ema(200, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
if let (Some(sma3_open_vec), Some(tema3_vec), Some(ema3_vec), Some(current_info)) = (sma3_open.get(symbol), tema3.get(symbol), ema3.get(symbol), price_and_closetime) {
if sma3_open_vec.len() > 10
&& tema3_vec.len() > 10
&& ema3_vec.len() > 10
&& ema3_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& tema3_vec.last().unwrap().close_time > server_epoch
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(ema30_vec), Some(ema200_vec), Some(current_info)) = (ema30.get(symbol), ema200.get(symbol), price_and_closetime) {
if ema30_vec.len() > 10
&& ema200_vec.len() > 10
&& ema30_vec.last().unwrap().close_time > server_epoch
&& ema30_vec.last().unwrap().close_time == ema200_vec.last().unwrap().close_time
{
if sma3_open_vec[sma3_open_vec.len()-1].sma_value < tema3_vec[tema3_vec.len()-1].tema_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value > tema3_vec[tema3_vec.len()-2].tema_value
&& sma3_open_vec[sma3_open_vec.len()-1].sma_value < sma3_open_vec[sma3_open_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_open_vec[sma3_open_vec.len()-3].sma_value
&& sma3_open_vec[sma3_open_vec.len()-3].sma_value < sma3_open_vec[sma3_open_vec.len()-4].sma_value
&& tema3_vec[tema3_vec.len()-1].tema_value > tema3_vec[tema3_vec.len()-2].tema_value
&& tema3_vec[tema3_vec.len()-2].tema_value < tema3_vec[tema3_vec.len()-3].tema_value
&& tema3_vec[tema3_vec.len()-3].tema_value < tema3_vec[tema3_vec.len()-4].tema_value
&& current_info.0.to_f64().is_some_and(|a| ema3_vec.last().unwrap().ema_value < a)
if ema30_vec.last().unwrap().ema_value > ema200_vec.last().unwrap().ema_value
&& ema30_vec[ema30_vec.len()-1].ema_value - ema200_vec[ema30_vec.len()-1].ema_value > ema30_vec[ema30_vec.len()-2].ema_value - ema200_vec[ema30_vec.len()-2].ema_value
&& ema30_vec[ema30_vec.len()-2].ema_value - ema200_vec[ema30_vec.len()-2].ema_value > ema30_vec[ema30_vec.len()-3].ema_value - ema200_vec[ema30_vec.len()-3].ema_value
&& ema30_vec[ema30_vec.len()-3].ema_value - ema200_vec[ema30_vec.len()-3].ema_value > ema30_vec[ema30_vec.len()-4].ema_value - ema200_vec[ema30_vec.len()-4].ema_value
&& ema30_vec[ema30_vec.len()-4].ema_value - ema200_vec[ema30_vec.len()-4].ema_value > ema30_vec[ema30_vec.len()-5].ema_value - ema200_vec[ema30_vec.len()-5].ema_value
&& ema30_vec[ema30_vec.len()-5].ema_value - ema200_vec[ema30_vec.len()-5].ema_value > ema30_vec[ema30_vec.len()-6].ema_value - ema200_vec[ema30_vec.len()-6].ema_value
{
values.closetime = current_info.1;
values.current_price = current_info.0;
values.closetime = current_info.1;
do_buy = true;
}
}
@ -71,6 +64,84 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(15, 15) > 20, current ADX > prev ADX
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(15, 15, &alldata.rt_price_1m_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.len() > 10
&& adx_vec[last_idx].adx > 20.0
&& adx_vec[last_idx].adx < 30.0
&& adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
&& adx_vec[last_idx].adx > adx_vec[last_idx-2].adx
&& adx_vec[last_idx].adx > adx_vec[last_idx-3].adx
&& adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx
&& adx_vec[last_idx-1].adx > adx_vec[last_idx-3].adx
&& adx_vec[last_idx-2].adx > adx_vec[last_idx-3].adx {
} 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;
// supertrend(ATR period 30, multiplier: 3.0, 1m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let supertrend_1m_map =
supertrend(30, 3.0, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(supertrend_vec) = supertrend_1m_map.get(symbol)
{
if supertrend_vec.last().unwrap().close_time == values.closetime
&& supertrend_vec.last().unwrap().area == SuperTrendArea::UP {
do_buy = true;
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// set target_price and stop_loss
let mut keys_to_remove: HashSet<String> = HashSet::new();
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(realtime_price_vec) = alldata.rt_price_1m_vec.get(symbol)
{
let element_number = 30;
if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
let min_price = truncated_vec
.iter()
.min_by(|x, y| x.opclo_price.partial_cmp(&y.opclo_price).unwrap())
.unwrap().opclo_price;
if values.current_price.to_f64().is_some_and(|a| a > min_price) {
let stoploss_percent = (min_price - values.current_price.to_f64().unwrap()) / values.current_price.to_f64().unwrap();
values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
let target_percent = stoploss_percent.abs() * 2.0;
values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
if stoploss_percent < - 0.07 {
do_buy = true;
}
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current Tema(15) > current Tema(30)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
@ -247,7 +318,7 @@ pub async fn list_up_for_buy(
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
let final_filtered_data = future_duplicate_filter(Position::Long, &filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?;
Ok(())
@ -260,65 +331,9 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
.timeout(tokio::time::Duration::from_millis(5000))
.build()
.unwrap();
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let tema3 = tema(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let server_epoch = get_server_epoch().await;
for element in filled_positions {
let mut is_sell = false;
let mut over_turned = false;
if let (Some(sma3_open_vec), Some(tema3_vec)) = (sma3_open.get(&element.symbol), tema3.get(&element.symbol)) {
if tema3_vec.len() > 10 && sma3_open_vec.len() > 10 {
if sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().sma_value > tema3_vec.last().unwrap().tema_value {
over_turned = true;
}
}
}
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_30m_vec) = all_data.rt_price_30m_vec.get(&element.symbol) {
let vec_len = price_30m_vec.len();
if let Some(candles) =
price_30m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude - (standard_deviation_amplitude * 1.5);
}
}
let mut is_sell = false;
// TODO: BNB 코인이 있으면
@ -338,11 +353,9 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
// if over_turned == true && server_epoch - element.close_time > 1_800_000 {
// is_sell = true;
// } else
if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent + 0.7 {
if element.pure_profit_percent >= element.target_percent {
is_sell = true;
} else if target_profit_percent.is_normal() && element.pure_profit_percent < (target_profit_percent * -1.0) - 0.7 {
is_sell = true;
} else if server_epoch - element.registered_server_epoch > 1_800_000 * 5 && element.pure_profit_percent >= 0.35{
} else if element.pure_profit_percent <= element.stoploss_percent {
is_sell = true;
}

190
src/strategy_team/future_strategy_short.rs
View File

@ -31,36 +31,29 @@ pub async fn list_up_for_buy(
filtered_data.insert(symbol.clone(), FilteredDataValue::new());
}
// sma3_close(current) < sma3_open (current), sma3_close(prev) > sma3_open (prev)
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let ema3 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let tema3 = tema(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let ema30 = ema(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
let ema200 = ema(200, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
if let (Some(sma3_open_vec), Some(tema3_vec), Some(ema3_vec), Some(current_info)) = (sma3_open.get(symbol), tema3.get(symbol), ema3.get(symbol), price_and_closetime) {
if sma3_open_vec.len() > 10
&& tema3_vec.len() > 10
&& ema3_vec.len() > 10
&& ema3_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& tema3_vec.last().unwrap().close_time > server_epoch
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(ema30_vec), Some(ema200_vec), Some(current_info)) = (ema30.get(symbol), ema200.get(symbol), price_and_closetime) {
if ema30_vec.len() > 10
&& ema200_vec.len() > 10
&& ema30_vec.last().unwrap().close_time > server_epoch
&& ema30_vec.last().unwrap().close_time == ema200_vec.last().unwrap().close_time
{
if sma3_open_vec[sma3_open_vec.len()-1].sma_value > tema3_vec[tema3_vec.len()-1].tema_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value < tema3_vec[tema3_vec.len()-2].tema_value
&& sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_open_vec[sma3_open_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_open_vec[sma3_open_vec.len()-3].sma_value
&& sma3_open_vec[sma3_open_vec.len()-3].sma_value > sma3_open_vec[sma3_open_vec.len()-4].sma_value
&& tema3_vec[tema3_vec.len()-1].tema_value < tema3_vec[tema3_vec.len()-2].tema_value
&& tema3_vec[tema3_vec.len()-2].tema_value > tema3_vec[tema3_vec.len()-3].tema_value
&& tema3_vec[tema3_vec.len()-3].tema_value > tema3_vec[tema3_vec.len()-4].tema_value
&& current_info.0.to_f64().is_some_and(|a| ema3_vec.last().unwrap().ema_value > a)
if ema30_vec.last().unwrap().ema_value < ema200_vec.last().unwrap().ema_value
&& ema30_vec[ema30_vec.len()-1].ema_value - ema200_vec[ema30_vec.len()-1].ema_value < ema30_vec[ema30_vec.len()-2].ema_value - ema200_vec[ema30_vec.len()-2].ema_value
&& ema30_vec[ema30_vec.len()-2].ema_value - ema200_vec[ema30_vec.len()-2].ema_value < ema30_vec[ema30_vec.len()-3].ema_value - ema200_vec[ema30_vec.len()-3].ema_value
&& ema30_vec[ema30_vec.len()-3].ema_value - ema200_vec[ema30_vec.len()-3].ema_value < ema30_vec[ema30_vec.len()-4].ema_value - ema200_vec[ema30_vec.len()-4].ema_value
&& ema30_vec[ema30_vec.len()-4].ema_value - ema200_vec[ema30_vec.len()-4].ema_value < ema30_vec[ema30_vec.len()-5].ema_value - ema200_vec[ema30_vec.len()-5].ema_value
&& ema30_vec[ema30_vec.len()-5].ema_value - ema200_vec[ema30_vec.len()-5].ema_value < ema30_vec[ema30_vec.len()-6].ema_value - ema200_vec[ema30_vec.len()-6].ema_value
{
values.closetime = current_info.1;
values.current_price = current_info.0;
values.closetime = current_info.1;
do_buy = true;
}
}
@ -71,6 +64,84 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(15, 15) > 20, current ADX > prev ADX
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(15, 15, &alldata.rt_price_1m_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.len() > 10
&& adx_vec[last_idx].adx > 20.0
&& adx_vec[last_idx].adx < 30.0
&& adx_vec[last_idx].adx > adx_vec[last_idx-1].adx
&& adx_vec[last_idx].adx > adx_vec[last_idx-2].adx
&& adx_vec[last_idx].adx > adx_vec[last_idx-3].adx
&& adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx
&& adx_vec[last_idx-1].adx > adx_vec[last_idx-3].adx
&& adx_vec[last_idx-2].adx > adx_vec[last_idx-3].adx {
} 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;
// supertrend(ATR period 30, multiplier: 3.0, 1m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let supertrend_1m_map =
supertrend(30, 3.0, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(supertrend_vec) = supertrend_1m_map.get(symbol)
{
if supertrend_vec.last().unwrap().close_time == values.closetime
&& supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN {
do_buy = true;
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// set target_price and stop_loss
let mut keys_to_remove: HashSet<String> = HashSet::new();
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(realtime_price_vec) = alldata.rt_price_1m_vec.get(symbol)
{
let element_number = 30;
if let Some(truncated_vec) = realtime_price_vec.get(realtime_price_vec.len()-element_number..) {
let max_price = truncated_vec
.iter()
.max_by(|x, y| x.opclo_price.partial_cmp(&y.opclo_price).unwrap())
.unwrap().opclo_price;
if values.current_price.to_f64().is_some_and(|a| a < max_price) {
let stoploss_percent = (values.current_price.to_f64().unwrap() - max_price) / values.current_price.to_f64().unwrap();
values.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(stoploss_percent).unwrap();
let target_percent = stoploss_percent.abs() * 2.0;
values.target_price = rust_decimal::prelude::FromPrimitive::from_f64(target_percent).unwrap();
if stoploss_percent < - 0.07 {
do_buy = true;
}
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// current Tema(15) < current Tema(30)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
@ -247,7 +318,7 @@ pub async fn list_up_for_buy(
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
let final_filtered_data = future_duplicate_filter(Position::Short, &filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Short, server_epoch, &final_filtered_data).await?;
Ok(())
@ -260,65 +331,10 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
.timeout(tokio::time::Duration::from_millis(5000))
.build()
.unwrap();
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let tema3 = tema(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let server_epoch = get_server_epoch().await;
for element in filled_positions {
let mut is_sell = false;
let mut over_turned = false;
if let (Some(sma3_open_vec), Some(tema3_vec)) = (sma3_open.get(&element.symbol), tema3.get(&element.symbol)) {
if tema3_vec.len() > 10 && sma3_open_vec.len() > 10 {
if sma3_open_vec.last().unwrap().close_time == tema3_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().sma_value < tema3_vec.last().unwrap().tema_value {
over_turned = true;
}
}
}
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_30m_vec) = all_data.rt_price_30m_vec.get(&element.symbol) {
let vec_len = price_30m_vec.len();
if let Some(candles) =
price_30m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude - (standard_deviation_amplitude * 1.5);
}
}
// TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered =
// element.base_qty_ordered.round_dp_with_strategy(
@ -328,19 +344,9 @@ pub async fn list_up_for_sell(all_data: &AllData, futures_exchange_info_map: &Ha
// TODO: BNB 코인이 없으면
if !element.current_price.is_zero() {
// if element.pure_profit_percent >= target_profit_percent * 2.5 {
// is_sell = true;
// } else if element.pure_profit_percent <= target_profit_percent * -2.0 {
// is_sell = true;
// }
// if over_turned == true && server_epoch - element.close_time > 1_800_000 {
// is_sell = true;
// } else
if target_profit_percent.is_normal() && element.pure_profit_percent > target_profit_percent + 0.7 {
if element.pure_profit_percent >= element.target_percent {
is_sell = true;
} else if target_profit_percent.is_normal() && element.pure_profit_percent < (target_profit_percent * -1.0) - 0.7 {
is_sell = true;
} else if server_epoch - element.registered_server_epoch > 1_800_000 * 5 && element.pure_profit_percent >= 0.35{
} else if element.pure_profit_percent <= element.stoploss_percent {
is_sell = true;
}

9
src/strategy_team/mod.rs
View File

@ -37,6 +37,7 @@ use crate::value_estimation_team::indicators::tema::{tema, TemaData};
use crate::value_estimation_team::indicators::wiliams_percent_r::{
wiliams_percent_r, WiliamsPercentR,
};
use crate::future::Position;
use futures::future::try_join_all;
use reqwest::{Client, ClientBuilder};
use rust_decimal::prelude::Zero;
@ -159,6 +160,7 @@ pub async fn duplicate_filter(
}
pub async fn future_duplicate_filter(
position: Position,
original_filtered_data: &HashMap<String, FilteredDataValue>,
future_exchange_info_map: &HashMap<String, FuturesExchangeInfo>
) -> Result<HashMap<String, FilteredDataValue>, Box<dyn std::error::Error + Send + Sync>> {
@ -173,8 +175,11 @@ pub async fn future_duplicate_filter(
let mut exists_condition_build = String::from("symbol=\'");
exists_condition_build.push_str(symbol.as_str());
exists_condition_build.push_str("\' AND close_time=");
exists_condition_build.push_str(filtered_data.closetime.to_string().as_str());
// exists_condition_build.push_str("\' AND close_time=");
// exists_condition_build.push_str(filtered_data.closetime.to_string().as_str());
exists_condition_build.push_str("\' AND position=");
exists_condition_build.push_str(position.to_string().as_str());
let exists_condition = Some(exists_condition_build);
let exists_condition_c = exists_condition.clone();
let inspect_table_name_1_c = inspect_table_name_1.clone();

4
src/strategy_team/strategy_manager.rs
View File

@ -158,6 +158,8 @@ pub async fn insert_future_coins(
"pnl",
"entry_price",
"current_price",
"target_percent",
"stoploss_percent",
"base_qty_ordered",
"pure_profit_percent",
"minimum_profit_percent",
@ -179,6 +181,8 @@ pub async fn insert_future_coins(
0.0.to_string(), // pnl
0.0.to_string(), // entry_price
0.0.to_string(), // current_price
filtered_data.target_price.to_string(), // target_percent
filtered_data.stoploss.to_string(), // stoploss_percent
0.0.to_string(), // base_qty_ordered
0.0.to_string(), // pure_profit_percent
0.0.to_string(), // minimum_profit_percent