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Update filtering

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This commit is contained in:
Sik Yoon 2024-05-25 19:20:06 +09:00
parent 1e64873e4c
commit 64e6e92747
2 changed files with 102 additions and 0 deletions
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51
src/strategy_team/future_strategy_long.rs
View File

@ -121,6 +121,57 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_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 * 0.5);
if target_profit_percent * 2.0 > 0.14 {
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
// let server_epoch = get_server_epoch().await;
// let mut keys_to_remove: HashSet<String> = HashSet::new();

51
src/strategy_team/future_strategy_short.rs
View File

@ -121,6 +121,57 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_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 * 0.5);
if target_profit_percent * 2.0 > 0.14 {
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
// let server_epoch = get_server_epoch().await;
// let mut keys_to_remove: HashSet<String> = HashSet::new();