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New strategy

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Sik Yoon 2024-05-15 03:46:49 +09:00
parent 574f4f41f7
commit 7476f46d66
3 changed files with 495 additions and 0 deletions
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1
src/strategy_team/mod.rs
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@ -6,6 +6,7 @@ pub mod strategy_005;
pub mod strategy_006;
pub mod strategy_007;
pub mod strategy_008;
pub mod strategy_009;
pub mod future_strategy;
// pub mod strategy_test;
pub mod strategy_manager;

486
src/strategy_team/strategy_009.rs Normal file
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@ -0,0 +1,486 @@
use crate::value_estimation_team::indicators::wiliams_percent_r;
use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price, get_server_epoch, heatmap_volume,
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR,
};
// BUY conditions
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());
}
// current Dema(30) > current Dema(120)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let dema_30 = dema(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
let dema_120 = dema(120, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
if let (Some(dema30_vec), Some(dema120_vec)) = (dema_30.get(symbol), dema_120.get(symbol)) {
if dema30_vec.len() > 2
&& dema120_vec.len() > 2
&& dema30_vec.last().unwrap().close_time == dema120_vec.last().unwrap().close_time
&& dema30_vec.last().unwrap().close_time > server_epoch
&& dema120_vec.last().unwrap().close_time > server_epoch
{
if dema30_vec.last().unwrap().dema_value > dema120_vec.last().unwrap().dema_value {
} 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;
// Wiliams %R(200) < -60.0
// Wiliams %R(50) < -60.0
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let mut wprs200 = wiliams_percent_r(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let mut wprs50 = wiliams_percent_r(50, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// if let (Some(wpr200_vec), Some(wpr50_vec)) = (wprs200.get(symbol), wprs50.get(symbol)) {
// if wpr200_vec.len() > 15
// && wpr50_vec.len() > 15
// && wpr200_vec.last().unwrap().close_time > server_epoch
// && wpr200_vec.last().unwrap().r_value < -60.0
// && wpr50_vec.last().unwrap().close_time > server_epoch
// && wpr50_vec.last().unwrap().r_value < -60.0
// {
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// current Tema(300) < current Tema(200) < current Tema(100)
// previous Tema(300) < previous Tema(100)
// previous Tema(200) < previous Tema(100)
// previous Tema(300) > previous Tema(200)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_100 = tema(100, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let tema_200 = tema(200, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let tema_300 = tema(300, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// if let (Some(tema100_vec), Some(tema200_vec), Some(tema300_vec)) = (
// tema_100.get(symbol),
// tema_200.get(symbol),
// tema_300.get(symbol),
// ) {
// if (tema100_vec.len() > 15 && tema200_vec.len() > 15 && tema300_vec.len() > 15)
// && tema100_vec.last().unwrap().close_time == tema200_vec.last().unwrap().close_time
// && tema200_vec.last().unwrap().close_time == tema300_vec.last().unwrap().close_time
// && tema100_vec.last().unwrap().close_time > server_epoch
// {
// if tema100_vec.last().unwrap().tema_value > tema300_vec.last().unwrap().tema_value
// && tema200_vec.last().unwrap().tema_value
// > tema300_vec.last().unwrap().tema_value
// && tema200_vec.last().unwrap().tema_value
// < tema100_vec.last().unwrap().tema_value
// && tema100_vec[tema100_vec.len() - 2].tema_value
// > tema300_vec[tema300_vec.len() - 2].tema_value
// && tema200_vec[tema200_vec.len() - 2].tema_value
// < tema300_vec[tema300_vec.len() - 2].tema_value
// && tema200_vec[tema200_vec.len() - 2].tema_value
// < tema100_vec[tema100_vec.len() - 2].tema_value
// && tema100_vec[tema100_vec.len() - 3].tema_value
// > tema300_vec[tema300_vec.len() - 3].tema_value
// && tema200_vec[tema200_vec.len() - 3].tema_value
// < tema300_vec[tema300_vec.len() - 3].tema_value
// && tema200_vec[tema200_vec.len() - 3].tema_value
// < tema100_vec[tema100_vec.len() - 3].tema_value
// {
// } 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 10, multiplier: 3.0, 30m close price)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let server_epoch = get_server_epoch().await;
// let supertrend_30m_map =
// supertrend(10, 3.0, true, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// if let (Some(supertrend_vec), Some(rt_price_vec)) = (
// supertrend_30m_map.get(symbol),
// alldata.rt_price_30m_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();
// let open_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec.last().unwrap().open_price,
// )
// .unwrap();
// let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec.last().unwrap().close_price,
// )
// .unwrap();
// if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
// && band_value < current_price
// && band_value < open_price
// {
// values.current_price = current_price;
// values.closetime = rt_price_vec.last().unwrap().close_time;
// values.stoploss = band_value;
// values.target_price = decimal_add(
// decimal_mul(decimal_sub(current_price, values.stoploss), dec!(10.0)),
// current_price,
// );
// } else if supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN
// && band_value > current_price
// && band_value > open_price
// {
// values.current_price = current_price;
// values.closetime = rt_price_vec.last().unwrap().close_time;
// values.stoploss = decimal_sub(open_price, decimal_sub(band_value, open_price));
// values.target_price = decimal_add(
// decimal_mul(decimal_sub(open_price, values.stoploss), dec!(10.0)),
// 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;
// current ADX(30, 30) < 10, ADX_n > ADX_n-1 > ADX_n-2 > ADX_n-3
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(10, 10, &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 < 10.0
&& adx_vec[last_idx-1].adx < 10.0
&& adx_vec[last_idx-2].adx < 10.0
&& adx_vec[last_idx-3].adx < 10.0
&& (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-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;
// StochRSI (RSI_len: 200, StochRSI_len: 200, K: 3, D: 3) K_current < 70, K_prev < 70, K_prev_1 < 70
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let stoch_rsis = stoch_rsi(200, 200, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// if stoch_rsis.contains_key(symbol) {
// let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
// let search_result = stoch_rsi_vec
// .iter()
// .position(|x| x.close_time == values.closetime);
// if stoch_rsi_vec.len() > 10
// && search_result.is_some_and(|a| {
// stoch_rsi_vec[a].k < 70.0
// && stoch_rsi_vec[a - 1].k < 70.0
// && stoch_rsi_vec[a - 2].k < 70.0
// })
// {
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// } else {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let heatmap_volumes = heatmap_volume(
// 30,
// 30,
// 4.0,
// 2.5,
// 1.0,
// -0.5,
// &filtered_data,
// &alldata.rt_price_30m_vec,
// )
// .await?;
// for (symbol, values) in &mut filtered_data {
// if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
// if heatmap_volume_vec.len() > 50 {
// let heatmap_volume_trunc = heatmap_volume_vec
// .get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1)
// .unwrap();
// let windows = heatmap_volume_trunc.windows(2);
// for slice in windows {
// if slice[1].heatmap_level == HeatMapLevel::ExtraHigh {
// if let (prev_candle_idx, current_candle_idx) = (
// (&alldata
// .rt_price_30m_vec
// .get(symbol)
// .unwrap()
// .iter()
// .position(|x| x.close_time == slice[0].close_time))
// .unwrap(),
// (&alldata
// .rt_price_30m_vec
// .get(symbol)
// .unwrap()
// .iter()
// .position(|x| x.close_time == slice[1].close_time))
// .unwrap(),
// ) {
// let prev_candle =
// &alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx];
// let current_candle =
// &alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx];
// if current_candle.close_price > prev_candle.close_price
// || current_candle.close_price > prev_candle.open_price
// || current_candle.close_price > prev_candle.high_price
// || current_candle.close_price > prev_candle.low_price
// {
// keys_to_remove.insert(symbol.clone());
// }
// }
// }
// }
// }
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// limit buy price: 0.25 * abs(이전 5 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_30m_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 + (0.5 * 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(9, &filtered_data).await?;
insert_pre_suggested_coins(9, false, &final_filtered_data, &alldata).await;
Ok(())
}
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(9).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_30m =
// supertrend(10, 3.0, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let dema_30 = dema(30, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
let dema_120 = dema(120, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
// let tema_100 = tema(100, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
for element in filled_buy_orders {
let mut is_sell = false;
let mut is_overturned = false;
if element.used_usdt >= dec!(10.0) {
if let (Some(dema30_vec), Some(dema120_vec)) = (
dema_30.get(&element.symbol),
dema_120.get(&element.symbol)
) {
if dema120_vec.len() > 2
&& dema30_vec.len() > 2
&& dema120_vec.last().unwrap().close_time
== dema30_vec.last().unwrap().close_time
&& dema30_vec.last().unwrap().close_time > server_epoch
&& dema120_vec.last().unwrap().close_time > server_epoch
&& ((dema120_vec.last().unwrap().dema_value
> dema30_vec.last().unwrap().dema_value)
&& dema120_vec[dema120_vec.len() - 2].dema_value
< dema30_vec[dema30_vec.len() - 2].dema_value)
{
is_overturned = true;
}
}
if let (Some(exchange_info), Some(tradefee)) = (
exchange_info_map.get(&element.symbol),
trade_fee_map.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;
// TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered =
// element.base_qty_ordered.round_dp_with_strategy(
// lot_step_size.normalize().scale(),
// RoundingStrategy::ToZero,
// );
// TODO: BNB 코인이 없으면
let base_qty_to_be_ordered =
element.base_qty_fee_adjusted.round_dp_with_strategy(
lot_step_size.normalize().scale(),
RoundingStrategy::ToZero,
);
let target_profit_percent = decimal_mul(
decimal_div(
decimal_sub(element.target_price, element.buy_price),
element.buy_price,
),
dec!(100),
)
.to_f64()
.unwrap();
if !element.current_price.is_zero() {
if element.pure_profit_percent >= 1.0 {
is_sell = true;
} else if is_overturned == true {
is_sell = true;
} else if server_epoch - element.transact_time >= (1_800_000) * 4 {
// 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(())
}

8
src/strategy_team/strategy_manager.rs
View File

@ -39,6 +39,7 @@ pub async fn execute_list_up_for_buy(
// crate::strategy_team::strategy_006::list_up_for_buy(all_data).await;
// crate::strategy_team::strategy_007::list_up_for_buy(all_data).await;
crate::strategy_team::strategy_008::list_up_for_buy(all_data).await;
crate::strategy_team::strategy_009::list_up_for_buy(all_data).await;
crate::strategy_team::future_strategy::list_up_for_buy(all_data).await;
Ok(())
@ -73,6 +74,13 @@ pub async fn execute_list_up_for_sell(
)
.await;
crate::strategy_team::strategy_009::list_up_for_sell(
&all_data,
&exchange_info_map,
&trade_fee_map,
)
.await;
Ok(())
}