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

New selling filtering

Browse Source
This commit is contained in:
Sik Yoon 2024-03-10 22:22:36 +09:00
parent 3e7690d998
commit 857763f69e
1 changed files with 27 additions and 52 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

79
src/strategy_team/strategy_006.rs
View File

@ -8,7 +8,7 @@ use super::{
// BUY conditions // BUY conditions
// (1) 1d MACD (3, 7, 30): MACD_current - Signal_current < 0, MACD_prev - Signal_prev < MACD_current - Signal_current // (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 // (2) stoch RSI(30, 30, 2, 2): K_prev < 10, K_prev < K_current
// stoploss: (update) supertrend(10, 1.5) lowerband // stoploss: (update) supertrend(10, 1.5) lowerband
// target price: (fixed) stoploss inverse x 3 times profit // target price: (fixed) stoploss inverse x 3 times profit
pub async fn list_up_for_buy( pub async fn list_up_for_buy(
@ -51,7 +51,7 @@ pub async fn list_up_for_buy(
} }
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
// 1d StochRSI (RSI_len: 3, StochRSI_len: 3, K: 2, D: 2) K_prev < 10, K_prev < K_current // 1d StochRSI (RSI_len: 30, StochRSI_len: 30, K: 3, D: 3) K_prev < 10, K_prev < K_current
let mut keys_to_remove: HashSet<String> = HashSet::new(); let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_1d_vec, &filtered_data).await?; let stoch_rsis = stoch_rsi(30, 30, 3, 3, &alldata.rt_price_1d_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
@ -169,6 +169,7 @@ pub async fn list_up_for_sell(
} }
let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?; let supertrend_1d = supertrend(14, 1.2, true, &all_data.rt_price_1d_vec, &filtered_symbols).await?;
for element in filled_buy_orders { for element in filled_buy_orders {
let mut is_sell = false;
let opclo_sample_length: usize = 10; // 10 candle samsples let opclo_sample_length: usize = 10; // 10 candle samsples
let mut target_profit_percent = 0.0; let mut target_profit_percent = 0.0;
if let Some(price_1d_vec) = all_data if let Some(price_1d_vec) = all_data
@ -198,8 +199,7 @@ pub async fn list_up_for_sell(
let standard_deviation_amplitude = amplitude_variance.sqrt(); let standard_deviation_amplitude = amplitude_variance.sqrt();
// let target_profit_percent = average_amplitude + (standard_deviation_amplitude * (average_ratio_amp_body)); // let target_profit_percent = average_amplitude + (standard_deviation_amplitude * (average_ratio_amp_body));
target_profit_percent = target_profit_percent = (average_amplitude - standard_deviation_amplitude);
3.0 * (average_amplitude - standard_deviation_amplitude);
} }
} }
@ -232,55 +232,19 @@ pub async fn list_up_for_sell(
&& !element.current_price.is_zero() && !element.current_price.is_zero()
{ {
if element.current_price <= element.stoploss { if element.current_price <= element.stoploss {
limit_order_sell( is_sell = true;
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if element.current_price >= element.target_price { } else if element.current_price >= element.target_price {
limit_order_sell( is_sell = true;
&element, } else if element.pure_profit_percent >= target_profit_percent * 3.0 { // absolute sell profit percent
element.current_price, is_sell = true;
base_qty_to_be_ordered, } else if server_epoch - element.transact_time > (86_400_000) * 5 &&
&client, (target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 2.0 <= element.pure_profit_percent){ // scaled selling with time up selling (5 days)
&exchange_info_map, is_sell = true;
&trade_fee_map, } else if server_epoch - element.transact_time > (86_400_000) * 6 &&
) (target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent * 1.5 <= element.pure_profit_percent){ // scaled selling with time up selling (6 days)
.await; is_sell = true;
} else if element.pure_profit_percent >= 20.0 { } else if server_epoch - element.transact_time > (86_400_000) * 7 { // time up selling
limit_order_sell( is_sell = true;
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if target_profit_percent != 0.0 && target_profit_percent.is_sign_positive() && target_profit_percent <= element.pure_profit_percent {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} else if server_epoch - element.transact_time > (86_400_000) * 7 { // 7 days timeout selling
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
} }
// TODO: sell_count가 1일 때 적용하기 // TODO: sell_count가 1일 때 적용하기
// else if (supertrend_vec // else if (supertrend_vec
@ -306,6 +270,17 @@ pub async fn list_up_for_sell(
// ) // )
// .await; // .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;
}
} }
} }
} }