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Add indicators using opclo price

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This commit is contained in:
Sik Yoon 2024-01-07 01:04:34 +09:00
parent c6dd992e86
commit a00cc601c7
3 changed files with 120 additions and 2 deletions
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4
src/strategy_team/mod.rs
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@ -14,13 +14,13 @@ use crate::database_control::*;
use crate::decimal_funcs::*;
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
use crate::value_estimation_team::indicators::bollingerband::{bollingerband, BollingerBandData};
use crate::value_estimation_team::indicators::ema::{ema, EmaData};
use crate::value_estimation_team::indicators::ema::{ema, ema_opclo, EmaData};
use crate::value_estimation_team::indicators::heatmap_volume::{
heatmap_volume, HeatMapLevel, HeatmapVolumeData,
};
use crate::value_estimation_team::indicators::macd::{ema_macd, MacdData};
use crate::value_estimation_team::indicators::rsi::{rsi, RsiData};
use crate::value_estimation_team::indicators::sma::{sma, SmaData};
use crate::value_estimation_team::indicators::sma::{sma, sma_opclo, SmaData};
use crate::value_estimation_team::indicators::stoch_rsi::{stoch_rsi, StochRsiData};
use crate::value_estimation_team::indicators::supertrend::{supertrend, SupertrendData};
use crate::value_estimation_team::indicators::adx::{AdxData, adx};

70
src/value_estimation_team/indicators/ema.rs
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@ -93,3 +93,73 @@ pub async fn ema(
let a = ema_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}
// Binance EMA ((open+close)/2)
pub async fn ema_opclo(
moving_number: usize,
input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
filtered_symbols: &Vec<FilteredData>,
) -> Result<Vec<(String, Vec<EmaData>)>, Box<dyn std::error::Error + Send + Sync>> {
if filtered_symbols.is_empty() {
Err("Err")?;
}
let alpha: f64 = 2.0 / (moving_number as f64 + 1.0);
let mut ema_t: f64 = 0.0;
let mut ema_prev: f64 = 0.0;
let mut ema_data_wrapper: Vec<(String, Vec<EmaData>)> = Vec::new();
let mut ema_data_wrapper_arc = Arc::new(Mutex::new(ema_data_wrapper));
let mut task_vec = Vec::new();
for filtered_elem in filtered_symbols {
let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *filtered_elem.symbol);
match symbol_search_result {
Some(T) => {
let ema_data_wrapper_arc_c = Arc::clone(&ema_data_wrapper_arc);
let filtered_elem_c = filtered_elem.clone();
let mut ema_data = EmaData::new();
let mut ema_data_vec: Vec<EmaData> = Vec::new();
let input_rt_data_c = input_rt_data.clone();
task_vec.push(tokio::spawn(async move {
if input_rt_data_c[T].1.len() < moving_number {
ema_data.ema_value = 0.0;
ema_data.close_time = 0;
ema_data_vec.push(ema_data.clone());
} else {
let partial_vec1 = input_rt_data_c[T].1.get(..moving_number).unwrap();
let partial_vec2 = input_rt_data_c[T].1.get(moving_number..).unwrap();
let mut sma_for_initial_value = 0.0;
for element in partial_vec1 {
sma_for_initial_value += element.opclo_price;
}
sma_for_initial_value /= moving_number as f64;
ema_data.ema_value = sma_for_initial_value;
ema_data.close_time = partial_vec1.last().unwrap().close_time;
ema_data_vec.push(ema_data.clone());
ema_prev = sma_for_initial_value;
for element in partial_vec2 {
ema_t = (1.0 - alpha) * ema_prev + alpha * element.opclo_price;
ema_data.ema_value = ema_t;
ema_data.close_time = element.close_time;
ema_data_vec.push(ema_data.clone());
ema_prev = ema_t;
}
}
let mut ema_data_wrapper_lock = ema_data_wrapper_arc_c.lock().await;
ema_data_wrapper_lock.push((filtered_elem_c.symbol.clone(), ema_data_vec.clone()));
}));
}
None => {}
}
}
try_join_all(task_vec).await?;
let a = ema_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}

48
src/value_estimation_team/indicators/sma.rs
View File

@ -72,3 +72,51 @@ pub async fn sma(
let a = sma_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}
// Binance MA ((open+close)/2)
pub async fn sma_opclo(
moving_number: usize,
input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
filtered_symbols: &Vec<FilteredData>,
) -> Result<Vec<(String, Vec<SmaData>)>, Box<dyn std::error::Error + Send + Sync>> {
if filtered_symbols.is_empty() {
Err("Err")?;
}
let mut sma_data_wrapper: Vec<(String, Vec<SmaData>)> = Vec::new();
let mut sma_data_wrapper_arc = Arc::new(Mutex::new(sma_data_wrapper));
let mut task_vec = Vec::new();
for filtered_symbol in filtered_symbols {
let filtered_symbol_c = filtered_symbol.clone();
let sma_data_wrapper_arc_c = Arc::clone(&sma_data_wrapper_arc);
let input_rt_data_c = input_rt_data.clone();
task_vec.push(tokio::spawn(async move {
let search_result = input_rt_data_c.iter().position(|x| x.0 == *filtered_symbol_c.symbol);
if search_result.is_some() {
let mut sma_data = SmaData::new();
let mut sma_data_vec: Vec<SmaData> = Vec::new();
if input_rt_data_c[search_result.unwrap()].1.len() >= moving_number {
let mut iter = input_rt_data_c[search_result.unwrap()].1.windows(moving_number);
for buffer in iter {
let mut avg = 0.0;
for element in buffer {
avg += element.opclo_price;
}
avg /= (moving_number as f64);
sma_data.sma_value = avg;
sma_data.close_time = buffer.last().unwrap().close_time;
sma_data_vec.push(sma_data.clone());
}
}
let mut sma_data_wrapper_lock = sma_data_wrapper_arc_c.lock().await;
sma_data_wrapper_lock.push((filtered_symbol_c.symbol.clone(), sma_data_vec.clone()));
}
}));
}
try_join_all(task_vec).await?;
let a = sma_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}