diff --git a/src/strategy_team/mod.rs b/src/strategy_team/mod.rs index 527e77f..f739771 100644 --- a/src/strategy_team/mod.rs +++ b/src/strategy_team/mod.rs @@ -3,7 +3,7 @@ pub mod strategy_002; pub mod strategy_003; pub mod strategy_004; pub mod strategy_005; -// pub mod strategy_006; +pub mod strategy_006; // pub mod strategy_test; pub mod strategy_manager; diff --git a/src/strategy_team/strategy_006.rs b/src/strategy_team/strategy_006.rs index 7056986..208b308 100644 --- a/src/strategy_team/strategy_006.rs +++ b/src/strategy_team/strategy_006.rs @@ -1,200 +1,152 @@ use super::{ - dec, decimal_add, decimal_sub, ema, exists_record, insert_pre_suggested_coins, + 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, FilteredData, Mutex, - RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, server_epoch, MacdData, ema_macd, - duplicate_filter + 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 }; -// Triple SuperTrend strategy -// SuperTrend length: 20, multiplier: 1.5, BUY signal -// ADX(10, 10) < 25.0 +// BUY conditions +// (1) 1d MACD (3, 7, 30): MACD_current - Signal_current < 0, MACD_prev - Signal_prev < MACD_current - Signal_current +// (2) stoch RSI(3, 3, 2, 2): K_prev < 10, K_prev < K_current +// stoploss: (update) supertrend(10, 1.5) lowerband +// target price: (fixed) stoploss inverse x 3 times profit pub async fn list_up_for_buy( - alldata: AllData, + 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()); // 1st filtering: filtering valid trade pair - let mut filtered_data_1st: Vec = Vec::new(); + let mut filtered_data: HashMap = HashMap::new(); for symbol in &alldata.valid_symbol_vec { - let mut filtered_data = FilteredData::new(); - filtered_data.symbol = symbol.clone(); - filtered_data_1st.push(filtered_data); + filtered_data.insert(symbol.clone(), FilteredDataValue::new()); } - // 2nd filtering: supertrend(ATR period 20, multiplier: 1.5, 30m close price), signal should be BUY - let mut filtered_data_2nd: Vec = Vec::new(); - let mut filtered_data_2nd_arc: Arc>> = - Arc::new(Mutex::new(filtered_data_2nd)); - let mut task_vec = Vec::new(); - - for element in filtered_data_1st { - let mut rt_30m_vec: Vec = Vec::new(); - let mut supertrend_vec: Vec = Vec::new(); - let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); - let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc); - task_vec.push(tokio::spawn(async move { - let rt_30m_option = rt_price_30m_vec_c - .iter() - .position(|x| *x.0 == element.symbol); - let supertrend_option_30m = - supertrend(&element.symbol, &rt_price_30m_vec_c, 20, 1.5, true).await; - - if rt_30m_option.is_some() && supertrend_option_30m.is_some() { - rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone(); - supertrend_vec = supertrend_option_30m.unwrap(); - let server_epoch = server_epoch().await; - if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch { - let supertrend_search_result = supertrend_vec.binary_search_by_key( - &rt_30m_vec.last().unwrap().close_time, - |SupertrendData { - band_value, - signal, - area, - close_time, - }| *close_time, - ); - if supertrend_search_result.is_ok() { - let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap(); - - if supertrend_vec[supertrend_search_result.unwrap()].signal.as_ref().is_some_and(|x| x.contains("BUY")) - && current_price - < rust_decimal::prelude::FromPrimitive::from_f64( - supertrend_vec[supertrend_search_result.unwrap()-1].band_value * 1.002, - ) - .unwrap() - && supertrend_vec[supertrend_search_result.unwrap()-1].band_value > supertrend_vec[supertrend_search_result.unwrap()].band_value - { - let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await; - let mut filtered_data = FilteredData::new(); - filtered_data.symbol = element.symbol.clone(); - filtered_data.closetime = supertrend_vec[supertrend_search_result.unwrap()].close_time; - filtered_data.current_price = current_price; - filtered_data.stoploss = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap(); - let target_price = decimal_add( - filtered_data.current_price, - decimal_sub(filtered_data.current_price, filtered_data.stoploss), - ); - filtered_data.target_price = target_price; - - filtered_data_2nd_lock.push(filtered_data); - } - } + // 2nd filtering: 1d MACD (3, 7, 30) cross + let mut keys_to_remove: HashSet = HashSet::new(); + let macd_1d_map = ema_macd(3, 7, 30, &alldata.rt_price_1d_vec, &filtered_data).await?; + let server_epoch = get_server_epoch().await; + for (symbol, values) in &mut filtered_data { + if let (Some(macd_vec), Some(rt_price_vec)) = (macd_1d_map.get(symbol), alldata.rt_price_1d_vec.get(symbol)) { + if macd_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time && + rt_price_vec.last().unwrap().close_time > server_epoch { + if (macd_vec[macd_vec.len()-1].macd_value - macd_vec[macd_vec.len()-1].signal_value).is_sign_negative() && + (macd_vec[macd_vec.len()-2].macd_value - macd_vec[macd_vec.len()-2].signal_value).is_sign_negative() && + (macd_vec[macd_vec.len()-1].macd_value - macd_vec[macd_vec.len()-1].signal_value > + macd_vec[macd_vec.len()-2].macd_value - macd_vec[macd_vec.len()-2].signal_value) { + 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; + } else { + keys_to_remove.insert(symbol.clone()); } + } else { + keys_to_remove.insert(symbol.clone()); } - })); + } else { + keys_to_remove.insert(symbol.clone()); + } } - try_join_all(task_vec).await?; + remove_keys(&mut filtered_data, keys_to_remove).await; - // 3rd filtering: the 5 previous ADX(10, 10)s are over 25.0 and increased - let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone(); - let mut filtered_data_3rd: Vec = Vec::new(); - - let adx_vec = adx(10, 10, &alldata.rt_price_30m_vec, &filtered_data_2nd).await?; - for element in filtered_data_2nd { - let idx_result = adx_vec.iter().position(|elem| elem.0 == element.symbol); - - if idx_result.is_some(){ - let closetime_idx_result = adx_vec[idx_result.unwrap()].1.iter().position(|elem| elem.close_time == element.closetime); - if closetime_idx_result.is_some() { - if adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-1].adx > 25.0 && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-2].adx > 25.0 && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-3].adx > 25.0 && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-4].adx > 25.0 && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-5].adx > 25.0 && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-1].adx > adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-2].adx && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-2].adx > adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-3].adx && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-3].adx > adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-4].adx && - adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-4].adx > adx_vec[idx_result.unwrap()].1[closetime_idx_result.unwrap()-5].adx { + // 1d StochRSI (RSI_len: 3, StochRSI_len: 3, K: 2, D: 2) K_prev < 10, K_prev < K_current + let mut keys_to_remove: HashSet = HashSet::new(); + let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_1d_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 search_result.is_some_and(|a| stoch_rsi_vec[a-1].k < 10.0 && + stoch_rsi_vec[a-1].k <= stoch_rsi_vec[a].k) { + } 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: 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::DOWN && + supertrend_vec.last().unwrap().band_value > values.current_price.to_f64().unwrap() + { + values.stoploss = decimal_sub(values.current_price, decimal_sub(band_value, values.current_price)); + values.target_price = decimal_add(decimal_mul(decimal_sub(values.current_price, values.stoploss), dec!(2.0)), values.current_price); - let mut filtered_data = FilteredData::new(); - filtered_data.symbol = element.symbol.clone(); - filtered_data.closetime = element.closetime; - filtered_data.current_price = element.current_price; - filtered_data.stoploss = element.stoploss; - filtered_data.target_price = element.target_price; - - filtered_data_3rd.push(filtered_data); + } else if supertrend_vec.last().unwrap().area == SuperTrendArea::UP && + supertrend_vec.last().unwrap().band_value < values.current_price.to_f64().unwrap() + { + values.stoploss = band_value; + values.target_price = decimal_add(decimal_mul(decimal_sub(values.current_price, values.stoploss), dec!(2.0)), 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; - // 4th filtering: the latest 5 30m candle close prices > EMA 200 - let mut filtered_data_4th: Vec = Vec::new(); - - let ema_vec = ema(200, &alldata.rt_price_30m_vec, &filtered_data_3rd).await?; - for element in filtered_data_3rd { - let ema_search_result = ema_vec.iter().position(|x| x.0 == element.symbol); - let candle_search_result = alldata.rt_price_30m_vec.iter().position(|x| x.0 == element.symbol); - if ema_search_result.is_some() && candle_search_result.is_some() { - let search_result = ema_vec[ema_search_result.unwrap()].1.binary_search_by_key( - &alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.last().unwrap().close_time, - |EmaData { - ema_value, - close_time, - }| *close_time); - if search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-1].close_price) && - search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-1].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-2].close_price) && - search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-2].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-3].close_price) && - search_result.is_ok_and(|x: usize| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-3].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-4].close_price) && - search_result.is_ok_and(|x| ema_vec[ema_search_result.unwrap()].1[search_result.unwrap()-4].ema_value < alldata.rt_price_30m_vec[candle_search_result.unwrap()].1[alldata.rt_price_30m_vec[candle_search_result.unwrap()].1.len()-5].close_price) { - - let mut filtered_data = FilteredData::new(); - filtered_data.symbol = element.symbol.clone(); - filtered_data.closetime = element.closetime; - filtered_data.current_price = element.current_price; - filtered_data.stoploss = element.stoploss; - filtered_data.target_price = element.target_price; + // 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()); - filtered_data_4th.push(filtered_data); + 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()); } } - - // 5th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0% - let mut filtered_data_5th: Vec = Vec::new(); - for element in filtered_data_4th { - let position_idx = alldata.rt_price_30m_vec.iter().position(|elem| elem.0 == element.symbol); - - if position_idx.is_some() { - let vec_len = alldata.rt_price_30m_vec[position_idx.unwrap()].1.len(); - if vec_len >= 11 { - let candles = alldata.rt_price_30m_vec[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap(); - let windows = candles.windows(2); - let mut average_amplitude = 0.0; + remove_keys(&mut filtered_data, keys_to_remove).await; - for window in windows { - average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price; - } - average_amplitude /= 10.0; - - if 0.005 <= average_amplitude && average_amplitude <= 0.01 { - let mut filtered_data = FilteredData::new(); - filtered_data.symbol = element.symbol.clone(); - filtered_data.closetime = element.closetime; - filtered_data.current_price = element.current_price; - filtered_data.stoploss = element.stoploss; - filtered_data.target_price = element.target_price; - - filtered_data_5th.push(filtered_data); - } - } - } - } - - let final_filtered_data = duplicate_filter(6, &filtered_data_5th).await?; - insert_pre_suggested_coins(6, false, &final_filtered_data, &alldata).await; + let final_filtered_data = duplicate_filter(6, &filtered_data).await?; + insert_pre_suggested_coins(5, false, &final_filtered_data, &alldata).await; Ok(()) } pub async fn list_up_for_sell( all_data: &AllData, - exchange_info_vec: &Vec, - trade_fee_vec: &Vec, + exchange_info_map: &HashMap, + trade_fee_map: &HashMap, ) -> Result<(), Box> { let filled_buy_orders = select_filled_buy_orders(6).await?; @@ -204,32 +156,19 @@ pub async fn list_up_for_sell( .build() .unwrap(); let mut supertrend_vec: Vec = Vec::new(); - let server_epoch = server_epoch().await; + 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 { if element.used_usdt >= dec!(10.0) { - let lot_step_size_option = exchange_info_vec - .iter() - .position(|exchange_info| exchange_info.symbol == element.symbol); - let quote_commission_precision_option = exchange_info_vec - .iter() - .position(|exchange_info| exchange_info.symbol == element.symbol); - - let opclo_30m_option = all_data - .rt_price_30m_vec - .iter() - .position(|x| *x.0 == element.symbol); - let supertrend_option_30m = - supertrend(&element.symbol, &all_data.rt_price_30m_vec, 20, 1.5, true).await; - - if lot_step_size_option.is_some() - && quote_commission_precision_option.is_some() - && opclo_30m_option.is_some() - && supertrend_option_30m.is_some() - { + 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 - supertrend_vec = supertrend_option_30m.unwrap(); let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap(); - if supertrend_vec.last().unwrap().area.contains("UP") + 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![ @@ -241,52 +180,48 @@ pub async fn list_up_for_sell( .unwrap(); } - let lot_step_size = exchange_info_vec[lot_step_size_option.unwrap()].stepsize; - let quote_commission_precision = exchange_info_vec - [quote_commission_precision_option.unwrap()] - .quote_commission_precision; + 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, ); - + if (element.is_long == 0 || element.is_long == 1) && !element.current_price.is_zero() { - if element.current_price >= element.target_price - && element.pure_profit_percent >= 0.1 - { + if element.current_price <= element.stoploss { limit_order_sell( &element, element.current_price, base_qty_to_be_ordered, &client, - &exchange_info_vec, - &trade_fee_vec, + &exchange_info_map, + &trade_fee_map, ) .await; - } else if element.current_price <= element.stoploss { + } else if element.current_price >= element.target_price { limit_order_sell( &element, element.current_price, base_qty_to_be_ordered, &client, - &exchange_info_vec, - &trade_fee_vec, + &exchange_info_map, + &trade_fee_map, ) .await; - } else if server_epoch - element.transact_time > (1_800_000) * 10 && element.pure_profit_percent.is_sign_positive() { + } else if element.pure_profit_percent >= 20.0 { limit_order_sell( &element, element.current_price, base_qty_to_be_ordered, &client, - &exchange_info_vec, - &trade_fee_vec, + &exchange_info_map, + &trade_fee_map, ) .await; - } + } // TODO: sell_count가 1일 때 적용하기 // else if (supertrend_vec // .last() diff --git a/src/strategy_team/strategy_manager.rs b/src/strategy_team/strategy_manager.rs index a6f0add..979dea4 100644 --- a/src/strategy_team/strategy_manager.rs +++ b/src/strategy_team/strategy_manager.rs @@ -36,6 +36,7 @@ pub async fn execute_list_up_for_buy( crate::strategy_team::strategy_003::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_006::list_up_for_buy(all_data).await; Ok(()) } @@ -50,6 +51,7 @@ pub async fn execute_list_up_for_sell( crate::strategy_team::strategy_003::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_006::list_up_for_sell(&all_data, &exchange_info_map, &trade_fee_map).await; Ok(()) }