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This commit is contained in:
Sik Yoon 2023-07-22 20:28:32 +09:00
parent 95c7dd4b23
commit a147535dc7
3 changed files with 82 additions and 90 deletions
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123
src/coex/strategy_team.rs
View File

@ -14,15 +14,15 @@ use crate::value_estimation_team::indicators::rsi::RsiData;
use crate::value_estimation_team::indicators::sma::SmaData;
use crate::value_estimation_team::indicators::stoch_rsi::{StochRsiDData, StochRsiKData};
use crate::value_estimation_team::indicators::supertrend::{supertrend, SupertrendData};
use futures::future::try_join_all;
use csv::{DeserializeRecordsIter, StringRecord};
use futures::future::try_join_all;
use rust_decimal::prelude::ToPrimitive;
use rust_decimal::Decimal;
use serde::Deserialize;
use sqlx::FromRow;
use std::{cmp::Ordering, sync::Arc};
use tokio::time::{sleep, Duration, Instant};
use tokio::sync::Mutex;
use tokio::time::{sleep, Duration, Instant};
use crate::signal_association::signal_decision::*;
@ -930,11 +930,10 @@ pub async fn execute_strategists(
pub async fn execute_strategist_for_test_temp(
alldata: &AllData,
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
// 1st filtering: supertrend(ATR period 10, multiplier: 1.3, 30m close price), the area should be in SELL area.
let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new();
let mut filtered_2nd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime)
let mut filtered_2nd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> =
Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime)
let mut task_vec = Vec::new();
let valid_symbol_vec_c = alldata.valid_symbol_vec.clone();
for symbol in valid_symbol_vec_c {
@ -943,33 +942,31 @@ pub async fn execute_strategist_for_test_temp(
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
let filtered_2nd_symbols_arc_c = Arc::clone(&filtered_2nd_symbols_arc);
task_vec.push(tokio::spawn(async move {
let opclo_30m_option = rt_price_30m_vec_c.iter()
.position(|x| *x.0 == symbol);
let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == symbol);
let supertrend_option_30m =
supertrend(&symbol, &rt_price_30m_vec_c, 10, 1.3, true).await;
if opclo_30m_option.is_some() && supertrend_option_30m.is_some() {
opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()]
.1
.clone();
opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone();
supertrend_vec = supertrend_option_30m.unwrap();
if opclo_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 {
let supertrend_search_result = supertrend_vec.binary_search_by_key(
&opclo_30m_vec.last().unwrap().close_time,
|SupertrendData {
band_value,
signal,
area,
close_time,
}| *close_time,
band_value,
signal,
area,
close_time,
}| *close_time,
);
if supertrend_search_result.is_ok() {
if supertrend_vec[supertrend_search_result.unwrap()]
.area
.contains("DOWN")
{
let mut filtered_2nd_symbols_lock = filtered_2nd_symbols_arc_c.lock().await;
let mut filtered_2nd_symbols_lock =
filtered_2nd_symbols_arc_c.lock().await;
filtered_2nd_symbols_lock
.push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time));
}
@ -987,7 +984,8 @@ pub async fn execute_strategist_for_test_temp(
let inspect_table_name_4 = String::from("suggested_coin_list");
let mut filtered_3rd_symbols: Vec<(String, i64)> = Vec::new();
let mut filtered_3rd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_3rd_symbols)); // (symbol, closetime)
let mut filtered_3rd_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> =
Arc::new(Mutex::new(filtered_3rd_symbols)); // (symbol, closetime)
let mut task_vec = Vec::new();
let filtered_2nd_iter = filtered_2nd_symbols_arc.lock().await.clone().into_iter();
@ -1005,10 +1003,14 @@ pub async fn execute_strategist_for_test_temp(
let element_c = element.clone();
let filtered_3rd_symbols_arc_c = Arc::clone(&filtered_3rd_symbols_arc);
task_vec.push(tokio::spawn(async move {
let inspect_result_1 = exists_record(&inspect_table_name_1_c, &exists_condition_c).await;
let inspect_result_2 = exists_record(&inspect_table_name_2_c, &exists_condition_c).await;
let inspect_result_3 = exists_record(&inspect_table_name_3_c, &exists_condition_c).await;
let inspect_result_4 = exists_record(&inspect_table_name_4_c, &exists_condition_c).await;
let inspect_result_1 =
exists_record(&inspect_table_name_1_c, &exists_condition_c).await;
let inspect_result_2 =
exists_record(&inspect_table_name_2_c, &exists_condition_c).await;
let inspect_result_3 =
exists_record(&inspect_table_name_3_c, &exists_condition_c).await;
let inspect_result_4 =
exists_record(&inspect_table_name_4_c, &exists_condition_c).await;
if inspect_result_1 == false
&& inspect_result_2 == false
@ -1016,8 +1018,7 @@ pub async fn execute_strategist_for_test_temp(
&& inspect_result_4 == false
{
let mut filtered_3rd_symbols_lock = filtered_3rd_symbols_arc_c.lock().await;
filtered_3rd_symbols_lock
.push(element_c);
filtered_3rd_symbols_lock.push(element_c);
}
}));
}
@ -1032,49 +1033,51 @@ pub async fn execute_strategist_for_test_temp(
&filtered_3rd_symbols_mutex,
)
.await?;
let bb10_30m_data: Vec<(String, Vec<BollingerBandData>)> = value_estimation_team::indicators::bollingerband::bollingerband(
10,
3.0,
&sma10_30m_data,
&alldata.rt_price_30m_vec,
&filtered_3rd_symbols_mutex,
)
.await?;
let bb10_30m_data: Vec<(String, Vec<BollingerBandData>)> =
value_estimation_team::indicators::bollingerband::bollingerband(
10,
3.0,
&sma10_30m_data,
&alldata.rt_price_30m_vec,
&filtered_3rd_symbols_mutex,
)
.await?;
let mut task_vec = Vec::new();
let mut filtered_4th_symbols: Vec<(String, i64)> = Vec::new();
let mut filtered_4th_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> = Arc::new(Mutex::new(filtered_4th_symbols)); // (symbol, closetime)
let mut filtered_4th_symbols_arc: Arc<Mutex<Vec<(String, i64)>>> =
Arc::new(Mutex::new(filtered_4th_symbols)); // (symbol, closetime)
for element in filtered_3rd_iter {
let mut bb10_30m_vec: Vec<BollingerBandData> = Vec::new();
let bb10_30m_option = bb10_30m_data.iter().position(|x| *x.0 == element.0);
let bb10_30m_option_c = bb10_30m_option.clone();
let element_c = element.clone();
let filtered_4th_symbols_arc_c = Arc::clone(&filtered_4th_symbols_arc);
if bb10_30m_option_c.is_some() {
bb10_30m_vec = bb10_30m_data[bb10_30m_option_c.unwrap()].1.clone();
if bb10_30m_vec.len() >= 3 {
let bb10_30m_vec_c = bb10_30m_vec.clone();
let current_price = get_current_price(&element_c.0, &alldata.price_vec)
.await
.unwrap();
.await
.unwrap();
task_vec.push(tokio::spawn(async move {
let bb_search_result = bb10_30m_vec_c.binary_search_by_key(
&element_c.1,
|&BollingerBandData {
sma,
upperband,
lowerband,
close_time,
}| close_time,
sma,
upperband,
lowerband,
close_time,
}| close_time,
);
if bb_search_result.is_ok() {
if bb10_30m_vec_c[bb_search_result.unwrap()].lowerband > current_price {
let mut filtered_4th_symbols_lock = filtered_4th_symbols_arc_c.lock().await;
filtered_4th_symbols_lock
.push(element_c);
let mut filtered_4th_symbols_lock =
filtered_4th_symbols_arc_c.lock().await;
filtered_4th_symbols_lock.push(element_c);
}
}
}));
@ -1082,7 +1085,7 @@ pub async fn execute_strategist_for_test_temp(
}
}
try_join_all(task_vec).await?;
// 4th filtering: RSI (length: 10, 30m close price) the current index should be lower than 30.
let filtered_4th_iter = filtered_4th_symbols_arc.lock().await.clone().into_iter();
let mut rsi10_30m_data: Vec<(String, Vec<RsiData>)> = Vec::new();
@ -1117,31 +1120,19 @@ pub async fn execute_strategist_for_test_temp(
}
}
}
// 5th filtering: heatmap volume(MA length 10, std length 10, 30m close price), the current candle should be over than high at least.
let mut filtered_6th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime)
for element in filtered_5th_symbols {
let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone();
let opclo_30m_option = rt_price_30m_vec_c
.iter()
.position(|x| *x.0 == element.0);
let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == element.0);
if opclo_30m_option.is_some() {
let opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()]
.1
.clone();
let opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone();
if opclo_30m_vec.len() >= 3 {
let heatmap_volume_option = heatmap_volume(
&element.0,
&rt_price_30m_vec_c,
10,
10,
4.0,
2.5,
1.0,
-0.5,
)
.await;
let heatmap_volume_option =
heatmap_volume(&element.0, &rt_price_30m_vec_c, 10, 10, 4.0, 2.5, 1.0, -0.5)
.await;
if heatmap_volume_option.is_some() {
let heatmap_volume_vec = heatmap_volume_option.unwrap();
let heatmap_search_result = heatmap_volume_vec.binary_search_by_key(
@ -1167,7 +1158,7 @@ pub async fn execute_strategist_for_test_temp(
}
}
}
// 6th filtering condition: MACD
// let mut opclo_30m_vec: Vec<RealtimePriceData> = Vec::new();
// let mut ema3_1d_vec: &Vec<EmaData> = &Vec::new();

37
src/value_estimation_team/indicators/bollingerband.rs
View File

@ -5,11 +5,11 @@ use crate::database_control::*;
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
use crate::value_estimation_team::indicators::sma::SmaData;
use csv::{DeserializeRecordsIter, StringRecord};
use futures::future::try_join_all;
use serde::Deserialize;
use sqlx::FromRow;
use tokio::{fs::*, io::AsyncWriteExt, time::*, sync::Mutex};
use futures::future::try_join_all;
use std::{sync::Arc};
use std::sync::Arc;
use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
#[derive(Clone, Debug)]
pub struct BollingerBandData {
@ -33,7 +33,7 @@ impl BollingerBandData {
// Binance Bollingerband (SMA)
pub async fn bollingerband(
period: usize, // this value should be same as moving size of sma
period: usize, // this value should be same as moving size of sma
sd_factor: f64,
input_sma_data: &Vec<(String, Vec<SmaData>)>,
input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
@ -75,27 +75,27 @@ pub async fn bollingerband(
let result = read_rt_data_vec_c[rt_index].1.binary_search_by_key(
&read_sma_data_vec_c[sma_index].1.first().unwrap().close_time,
|RealtimePriceData {
opclo_price,
open_price,
close_price,
high_price,
low_price,
close_time,
quote_asset_volume,
candle_type,
}| *close_time,
opclo_price,
open_price,
close_price,
high_price,
low_price,
close_time,
quote_asset_volume,
candle_type,
}| *close_time,
);
match result {
Ok(T) => {
if T <= period - 1 {
let mut read_data_iter =
read_sma_data_vec_c[sma_index].1.iter();
read_sma_data_vec_c[sma_index].1.iter();
for _ in T..period - 1 {
read_data_iter.next();
}
let window_iter =
read_rt_data_vec_c[rt_index].1.windows(period);
read_rt_data_vec_c[rt_index].1.windows(period);
for buffer in window_iter {
let mut sd_mean = 0.0;
let mut standard_deviation = 0.0;
@ -128,7 +128,8 @@ pub async fn bollingerband(
Err(E) => {}
}
let mut bb_data_wrapper_lock = bb_data_wrapper_arc_c.lock().await;
bb_data_wrapper_lock.push((symbol_c.0.clone(), bb_data_vec.clone()));
bb_data_wrapper_lock
.push((symbol_c.0.clone(), bb_data_vec.clone()));
}
}));
}
@ -139,6 +140,6 @@ pub async fn bollingerband(
}
}
try_join_all(task_vec).await?;
let a = bb_data_wrapper_arc.lock().await.to_owned();
let a = bb_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}

12
src/value_estimation_team/indicators/sma.rs
View File

@ -4,11 +4,11 @@
use crate::database_control::*;
use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
use csv::{DeserializeRecordsIter, StringRecord};
use futures::future::try_join_all;
use serde::Deserialize;
use sqlx::FromRow;
use tokio::{fs::*, io::AsyncWriteExt, time::*, sync::Mutex};
use futures::future::try_join_all;
use std::{sync::Arc};
use std::sync::Arc;
use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
#[derive(Clone, Debug)]
pub struct SmaData {
@ -36,7 +36,7 @@ pub async fn sma(
}
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 sma_data_wrapper_arc = Arc::new(Mutex::new(sma_data_wrapper));
// let mut sma_data_vec: Vec<SmaData> = Vec::new();
// let mut sma_data_vec_arc = Arc::new(sma_data_vec);
@ -45,7 +45,7 @@ pub async fn sma(
let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *symbol.0);
// let sma_data_vec_arc_c = Arc::clone(&sma_data_vec_arc);
// sma_data_vec_arc_c.clear();
match symbol_search_result {
Some(T) => {
let sma_data_wrapper_arc_c = Arc::clone(&sma_data_wrapper_arc);
@ -80,6 +80,6 @@ pub async fn sma(
}
}
try_join_all(task_vec).await?;
let a = sma_data_wrapper_arc.lock().await.to_owned();
let a = sma_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}