Apply threading for filterings
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5f8f613042
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95c7dd4b23
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@ -14,13 +14,15 @@ use crate::value_estimation_team::indicators::rsi::RsiData;
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use crate::value_estimation_team::indicators::sma::SmaData;
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use crate::value_estimation_team::indicators::stoch_rsi::{StochRsiDData, StochRsiKData};
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use crate::value_estimation_team::indicators::supertrend::{supertrend, SupertrendData};
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use futures::future::try_join_all;
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use csv::{DeserializeRecordsIter, StringRecord};
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use rust_decimal::prelude::ToPrimitive;
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use rust_decimal::Decimal;
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use serde::Deserialize;
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use sqlx::FromRow;
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use std::cmp::Ordering;
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use std::{cmp::Ordering, sync::Arc};
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use tokio::time::{sleep, Duration, Instant};
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use tokio::sync::Mutex;
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use crate::signal_association::signal_decision::*;
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@ -31,6 +33,7 @@ pub enum MA {
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Tema,
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}
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#[derive(Debug)]
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pub struct AllData {
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pub price_vec: Vec<CoinPriceData>,
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pub valid_symbol_vec: Vec<String>,
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@ -927,123 +930,161 @@ pub async fn execute_strategists(
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pub async fn execute_strategist_for_test_temp(
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alldata: &AllData,
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) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
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// 1st filtering: supertrend(ATR period 10, multiplier: 1.3, 30m close price), the area should be in SELL area.
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let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
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let mut opclo_30m_vec: Vec<RealtimePriceData> = Vec::new();
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let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
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for symbol in &alldata.valid_symbol_vec {
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let opclo_30m_option = alldata
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.rt_price_30m_vec
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.iter()
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.position(|x| *x.0 == *symbol);
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let supertrend_option_30m =
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supertrend(&symbol, &alldata.rt_price_30m_vec, 10, 1.3, true).await;
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let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new();
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let mut filtered_2nd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime)
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let mut task_vec = Vec::new();
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let valid_symbol_vec_c = alldata.valid_symbol_vec.clone();
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for symbol in valid_symbol_vec_c {
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let mut opclo_30m_vec: Vec<RealtimePriceData> = Vec::new();
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let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
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let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
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let filtered_2nd_symbols_arc_c = Arc::clone(&filtered_2nd_symbols_arc);
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task_vec.push(tokio::spawn(async move {
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let opclo_30m_option = rt_price_30m_vec_c.iter()
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.position(|x| *x.0 == symbol);
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let supertrend_option_30m =
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supertrend(&symbol, &rt_price_30m_vec_c, 10, 1.3, true).await;
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if opclo_30m_option.is_some() && supertrend_option_30m.is_some() {
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opclo_30m_vec = alldata.rt_price_30m_vec[opclo_30m_option.unwrap()]
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.1
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.clone();
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supertrend_vec = supertrend_option_30m.unwrap();
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if opclo_30m_option.is_some() && supertrend_option_30m.is_some() {
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opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()]
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.1
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.clone();
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supertrend_vec = supertrend_option_30m.unwrap();
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if opclo_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 {
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let supertrend_search_result = supertrend_vec.binary_search_by_key(
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&opclo_30m_vec.last().unwrap().close_time,
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|SupertrendData {
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band_value,
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signal,
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area,
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close_time,
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}| *close_time,
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);
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if supertrend_search_result.is_ok() {
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if supertrend_vec[supertrend_search_result.unwrap()]
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.area
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.contains("DOWN")
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{
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filtered_2nd_symbols
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.push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time));
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if opclo_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 {
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let supertrend_search_result = supertrend_vec.binary_search_by_key(
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&opclo_30m_vec.last().unwrap().close_time,
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|SupertrendData {
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band_value,
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signal,
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area,
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close_time,
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}| *close_time,
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);
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if supertrend_search_result.is_ok() {
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if supertrend_vec[supertrend_search_result.unwrap()]
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.area
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.contains("DOWN")
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{
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let mut filtered_2nd_symbols_lock = filtered_2nd_symbols_arc_c.lock().await;
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filtered_2nd_symbols_lock
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.push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time));
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}
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}
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}
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}
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}
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}));
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}
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try_join_all(task_vec).await?;
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// 2nd filtering: lookup tables if the tradepair is already there
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let inspect_table_name_1 = String::from("buy_ordered_coin_list");
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let inspect_table_name_2 = String::from("sell_ordered_coin_list");
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let inspect_table_name_3 = String::from("pre_suggested_coin_list");
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let inspect_table_name_4 = String::from("suggested_coin_list");
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let mut filtered_3rd_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
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for element in filtered_2nd_symbols {
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let mut filtered_3rd_symbols: Vec<(String, i64)> = Vec::new();
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let mut filtered_3rd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_3rd_symbols)); // (symbol, closetime)
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let mut task_vec = Vec::new();
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let filtered_2nd_iter = filtered_2nd_symbols_arc.lock().await.clone().into_iter();
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for element in filtered_2nd_iter {
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let mut exists_condition_build = String::from("symbol=\'");
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exists_condition_build.push_str(element.0.as_str());
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exists_condition_build.push_str("\' AND close_time=");
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exists_condition_build.push_str(element.1.to_string().as_str());
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let exists_condition = Some(exists_condition_build);
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let exists_condition_c = exists_condition.clone();
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let inspect_table_name_1_c = inspect_table_name_1.clone();
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let inspect_table_name_2_c = inspect_table_name_2.clone();
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let inspect_table_name_3_c = inspect_table_name_3.clone();
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let inspect_table_name_4_c = inspect_table_name_4.clone();
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let element_c = element.clone();
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let filtered_3rd_symbols_arc_c = Arc::clone(&filtered_3rd_symbols_arc);
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task_vec.push(tokio::spawn(async move {
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let inspect_result_1 = exists_record(&inspect_table_name_1_c, &exists_condition_c).await;
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let inspect_result_2 = exists_record(&inspect_table_name_2_c, &exists_condition_c).await;
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let inspect_result_3 = exists_record(&inspect_table_name_3_c, &exists_condition_c).await;
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let inspect_result_4 = exists_record(&inspect_table_name_4_c, &exists_condition_c).await;
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let inspect_result_1 = exists_record(&inspect_table_name_1, &exists_condition).await;
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let inspect_result_2 = exists_record(&inspect_table_name_2, &exists_condition).await;
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let inspect_result_3 = exists_record(&inspect_table_name_3, &exists_condition).await;
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let inspect_result_4 = exists_record(&inspect_table_name_4, &exists_condition).await;
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if inspect_result_1 == false
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&& inspect_result_2 == false
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&& inspect_result_3 == false
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&& inspect_result_4 == false
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{
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filtered_3rd_symbols.push(element);
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}
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if inspect_result_1 == false
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&& inspect_result_2 == false
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&& inspect_result_3 == false
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&& inspect_result_4 == false
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{
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let mut filtered_3rd_symbols_lock = filtered_3rd_symbols_arc_c.lock().await;
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filtered_3rd_symbols_lock
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.push(element_c);
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}
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}));
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}
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try_join_all(task_vec).await?;
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// 3rd filtering: BollingerBand (length 10, stddev: 3.0, 30m close price) the current price should be under the lowerband of BB.
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let sma_30m_data: Vec<(String, Vec<SmaData>)> = value_estimation_team::indicators::sma::sma(
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30,
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let filtered_3rd_iter = filtered_3rd_symbols_arc.lock().await.clone().into_iter();
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let filtered_3rd_symbols_mutex = filtered_3rd_symbols_arc.lock().await;
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let sma10_30m_data: Vec<(String, Vec<SmaData>)> = value_estimation_team::indicators::sma::sma(
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10,
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&alldata.rt_price_30m_vec,
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&alldata.valid_symbol_vec,
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&filtered_3rd_symbols_mutex,
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)
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.await?;
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let bb10_30m_data: Vec<(String, Vec<BollingerBandData>)> =
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value_estimation_team::indicators::bollingerband::bollingerband(
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10,
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3.0,
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&sma_30m_data,
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&alldata.rt_price_1m_vec,
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&alldata.valid_symbol_vec,
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)
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.await?;
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let mut bb10_30m_vec: Vec<BollingerBandData> = Vec::new();
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let mut filtered_4th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
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for element in filtered_3rd_symbols {
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let bb10_30m_option = bb10_30m_data.iter().position(|x| *x.0 == element.0);
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let bb10_30m_data: Vec<(String, Vec<BollingerBandData>)> = value_estimation_team::indicators::bollingerband::bollingerband(
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10,
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3.0,
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&sma10_30m_data,
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&alldata.rt_price_30m_vec,
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&filtered_3rd_symbols_mutex,
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)
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.await?;
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if bb10_30m_option.is_some() {
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bb10_30m_vec = bb10_30m_data[bb10_30m_option.unwrap()].1.clone();
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let mut task_vec = Vec::new();
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let mut filtered_4th_symbols: Vec<(String, i64)> = Vec::new();
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let mut filtered_4th_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_4th_symbols)); // (symbol, closetime)
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for element in filtered_3rd_iter {
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let mut bb10_30m_vec: Vec<BollingerBandData> = Vec::new();
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let bb10_30m_option = bb10_30m_data.iter().position(|x| *x.0 == element.0);
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let bb10_30m_option_c = bb10_30m_option.clone();
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let element_c = element.clone();
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let filtered_4th_symbols_arc_c = Arc::clone(&filtered_4th_symbols_arc);
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if bb10_30m_option_c.is_some() {
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bb10_30m_vec = bb10_30m_data[bb10_30m_option_c.unwrap()].1.clone();
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if bb10_30m_vec.len() >= 3 {
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let bb_search_result = bb10_30m_vec.binary_search_by_key(
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&element.1,
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|&BollingerBandData {
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sma,
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upperband,
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lowerband,
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close_time,
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}| close_time,
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);
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if bb_search_result.is_ok() {
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let current_price = get_current_price(&element.0, &alldata.price_vec)
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.await
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.unwrap();
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if bb10_30m_vec[bb_search_result.unwrap()].lowerband > current_price {
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filtered_4th_symbols.push(element);
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let bb10_30m_vec_c = bb10_30m_vec.clone();
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let current_price = get_current_price(&element_c.0, &alldata.price_vec)
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.await
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.unwrap();
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task_vec.push(tokio::spawn(async move {
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let bb_search_result = bb10_30m_vec_c.binary_search_by_key(
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&element_c.1,
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|&BollingerBandData {
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sma,
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upperband,
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lowerband,
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close_time,
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}| close_time,
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);
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if bb_search_result.is_ok() {
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if bb10_30m_vec_c[bb_search_result.unwrap()].lowerband > current_price {
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let mut filtered_4th_symbols_lock = filtered_4th_symbols_arc_c.lock().await;
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filtered_4th_symbols_lock
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.push(element_c);
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}
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}
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}
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}));
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}
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}
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}
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try_join_all(task_vec).await?;
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// 4th filtering: RSI (length: 10, 30m close price) the current index should be lower than 30.
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let filtered_4th_iter = filtered_4th_symbols_arc.lock().await.clone().into_iter();
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let mut rsi10_30m_data: Vec<(String, Vec<RsiData>)> = Vec::new();
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value_estimation_team::indicators::rsi::rsi(
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10,
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@ -1054,7 +1095,7 @@ pub async fn execute_strategist_for_test_temp(
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.await?;
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let mut rsi10_30m_vec: Vec<RsiData> = Vec::new();
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let mut filtered_5th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
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for element in filtered_4th_symbols {
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for element in filtered_4th_iter {
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let rsi10_30m_option = rsi10_30m_data.iter().position(|x| *x.0 == element.0);
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if rsi10_30m_option.is_some() {
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@ -1080,19 +1121,19 @@ pub async fn execute_strategist_for_test_temp(
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// 5th filtering: heatmap volume(MA length 10, std length 10, 30m close price), the current candle should be over than high at least.
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let mut filtered_6th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
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for element in filtered_5th_symbols {
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let opclo_30m_option = alldata
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.rt_price_30m_vec
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let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
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let opclo_30m_option = rt_price_30m_vec_c
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.iter()
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.position(|x| *x.0 == element.0);
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if opclo_30m_option.is_some() {
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opclo_30m_vec = alldata.rt_price_30m_vec[opclo_30m_option.unwrap()]
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let opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()]
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.1
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.clone();
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if opclo_30m_vec.len() >= 3 {
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let heatmap_volume_option = heatmap_volume(
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&element.0,
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&alldata.rt_price_30m_vec,
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&rt_price_30m_vec_c,
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10,
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10,
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4.0,
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@ -1154,7 +1195,7 @@ pub async fn execute_strategist_for_test_temp(
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// }
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// }
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insert_pre_suggested_coins(1, &filtered_6th_symbols, alldata).await;
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// insert_pre_suggested_coins(1, &filtered_6th_symbols, alldata).await;
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Ok(())
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}
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