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Update filtering

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This commit is contained in:
Sik Yoon 2024-05-26 00:48:46 +09:00
parent f438ae502b
commit a4ecc2df5b
4 changed files with 388 additions and 323 deletions
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328
src/strategy_team/future_strategy_long.rs
View File

@ -8,7 +8,8 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal,
sma, sma_open
};
use crate::future::{Position, FuturesExchangeInfo};
@ -30,25 +31,32 @@ pub async fn list_up_for_buy(
filtered_data.insert(symbol.clone(), FilteredDataValue::new());
}
// current Tema(15) > current Tema(30)
// sma3_close(current) > sma3_open (current), sma3_close(prev) < sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let sma3_close = sma(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
if tema10_vec.len() > 10
&& tema30_vec.len() > 10
&& tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
&& tema10_vec.last().unwrap().close_time > server_epoch
&& tema30_vec.last().unwrap().close_time > server_epoch
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
if let (Some(sma3_open_vec), Some(sma3_close_vec), Some(current_info)) = (sma3_open.get(symbol), sma3_close.get(symbol), price_and_closetime) {
if sma3_open_vec.len() > 10
&& sma3_close_vec.len() > 10
&& sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_close_vec.last().unwrap().close_time > server_epoch
{
if tema10_vec[tema10_vec.len()-1].tema_value > tema30_vec[tema30_vec.len()-1].tema_value
&& tema10_vec[tema10_vec.len()-2].tema_value > tema30_vec[tema30_vec.len()-2].tema_value
&& tema10_vec[tema10_vec.len()-1].tema_value > tema10_vec[tema10_vec.len()-2].tema_value
if sma3_open_vec[sma3_open_vec.len()-1].sma_value < sma3_close_vec[sma3_close_vec.len()-1].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_close_vec[sma3_close_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-1].sma_value < sma3_open_vec[sma3_open_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_open_vec[sma3_open_vec.len()-3].sma_value
&& sma3_open_vec[sma3_open_vec.len()-3].sma_value < sma3_open_vec[sma3_open_vec.len()-4].sma_value
&& sma3_close_vec[sma3_close_vec.len()-1].sma_value > sma3_close_vec[sma3_close_vec.len()-2].sma_value
&& sma3_close_vec[sma3_close_vec.len()-2].sma_value < sma3_close_vec[sma3_close_vec.len()-3].sma_value
&& sma3_close_vec[sma3_close_vec.len()-3].sma_value < sma3_close_vec[sma3_close_vec.len()-4].sma_value
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true;
}
}
@ -59,117 +67,146 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 10, multiplier: 3.0, 30m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
let supertrend_1m_map =
supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(supertrend_vec), Some(current_info)) = (
supertrend_1m_map.get(symbol),
price_and_closetime,
) {
if supertrend_vec.last().unwrap().close_time > server_epoch
&& supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::BUY)
{
values.current_price = current_info.0;
values.closetime = current_info.1;
do_buy = true;
}
}
// current Tema(15) > current Tema(30)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
// if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
// if tema10_vec.len() > 10
// && tema30_vec.len() > 10
// && tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
// && tema10_vec.last().unwrap().close_time > server_epoch
// && tema30_vec.last().unwrap().close_time > server_epoch
// {
// if tema10_vec[tema10_vec.len()-1].tema_value > tema30_vec[tema30_vec.len()-1].tema_value
// && tema10_vec[tema10_vec.len()-2].tema_value > tema30_vec[tema30_vec.len()-2].tema_value
// && tema10_vec[tema10_vec.len()-1].tema_value > tema10_vec[tema10_vec.len()-2].tema_value
// {
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 10, multiplier: 3.0, 30m close price)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let server_epoch = get_server_epoch().await;
// let supertrend_1m_map =
// supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
// if let (Some(supertrend_vec), Some(current_info)) = (
// supertrend_1m_map.get(symbol),
// price_and_closetime,
// ) {
// if supertrend_vec.last().unwrap().close_time > server_epoch
// && supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::BUY)
// {
// values.current_price = current_info.0;
// values.closetime = current_info.1;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume(
30,
30,
4.0,
1.5,
0.5,
-0.5,
&filtered_data,
&alldata.rt_price_1m_vec,
)
.await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
if heatmap_volume_vec.len() > 100
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
&& (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
{
do_buy = true;
}
}
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let heatmap_volumes = heatmap_volume(
// 30,
// 30,
// 4.0,
// 1.5,
// 0.5,
// -0.5,
// &filtered_data,
// &alldata.rt_price_1m_vec,
// )
// .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
// {
// do_buy = true;
// }
// }
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let opclo_sample_length: usize = 60; // 15 candle samsples
// let mut target_profit_percent = 0.0;
// if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
// let vec_len = price_1m_vec.len();
// if let Some(candles) =
// price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
// {
// let windows = candles.windows(2);
// let mut sum_amplitude_candles = 0.0;
// let mut sum_ratio_amp_body = 0.0;
// let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
// for window in windows {
// sum_amplitude_candles += ((window.last().unwrap().high_price
// - window.last().unwrap().low_price)
// * 100.0)
// / window.first().unwrap().close_price;
// }
// let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
// let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude + (standard_deviation_amplitude * 2.0);
// let windows = candles.windows(2);
// for window in windows {
// amplitude_variance += ((((window.last().unwrap().high_price
// - window.last().unwrap().low_price)
// * 100.0)
// / window.first().unwrap().close_price)
// - average_amplitude)
// .powi(2);
// }
// amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
// let standard_deviation_amplitude = amplitude_variance.sqrt();
// target_profit_percent =
// average_amplitude + (standard_deviation_amplitude * 2.0);
if target_profit_percent * 2.0 > 0.14 {
do_buy = true;
}
}
}
// if target_profit_percent * 2.0 > 0.14 {
// do_buy = true;
// }
// }
// }
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
// let server_epoch = get_server_epoch().await;
@ -224,47 +261,21 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let sma3_close = sma(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let server_epoch = get_server_epoch().await;
for element in filled_positions {
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = all_data.rt_price_1m_vec.get(&element.symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
let mut is_sell = false;
if let (Some(sma3_open_vec), Some(sma3_close_vec)) = (sma3_open.get(&element.symbol), sma3_close.get(&element.symbol)) {
if sma3_close_vec.len() > 10 && sma3_open_vec.len() > 10 {
if sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().sma_value > sma3_close_vec.last().unwrap().sma_value {
is_sell = true;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude + (standard_deviation_amplitude * 2.0);
}
}
let mut is_sell = false;
// TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered =
// element.base_qty_ordered.round_dp_with_strategy(
@ -273,15 +284,12 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
// );
// TODO: BNB 코인이 없으면
if !element.current_price.is_zero() && target_profit_percent.is_normal() {
if element.pure_profit_percent >= target_profit_percent * 2.5 {
is_sell = true;
} else if element.pure_profit_percent <= target_profit_percent * -2.0 {
is_sell = true;
} else if server_epoch - element.transact_time >= (900_000) * 1 {
// time up selling
is_sell = true;
}
if !element.current_price.is_zero() {
// if element.pure_profit_percent >= target_profit_percent * 2.5 {
// is_sell = true;
// } else if element.pure_profit_percent <= target_profit_percent * -2.0 {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(

333
src/strategy_team/future_strategy_short.rs
View File

@ -8,7 +8,8 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal,
sma, sma_open
};
use crate::future::{Position, FuturesExchangeInfo};
@ -30,25 +31,32 @@ pub async fn list_up_for_buy(
filtered_data.insert(symbol.clone(), FilteredDataValue::new());
}
// current Tema(15) < current Tema(30)
// sma3_close(current) < sma3_open (current), sma3_close(prev) > sma3_open (prev)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
let sma3_open = sma_open(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let sma3_close = sma(3, &alldata.rt_price_30m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
if tema10_vec.len() > 10
&& tema30_vec.len() > 10
&& tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
&& tema10_vec.last().unwrap().close_time > server_epoch
&& tema30_vec.last().unwrap().close_time > server_epoch
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_30m_vec).await;
if let (Some(sma3_open_vec), Some(sma3_close_vec), Some(current_info)) = (sma3_open.get(symbol), sma3_close.get(symbol), price_and_closetime) {
if sma3_open_vec.len() > 10
&& sma3_close_vec.len() > 10
&& sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_close_vec.last().unwrap().close_time > server_epoch
{
if tema10_vec[tema10_vec.len()-1].tema_value < tema30_vec[tema30_vec.len()-1].tema_value
&& tema10_vec[tema10_vec.len()-2].tema_value < tema30_vec[tema30_vec.len()-2].tema_value
&& tema10_vec[tema10_vec.len()-1].tema_value < tema10_vec[tema10_vec.len()-2].tema_value
if sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_close_vec[sma3_close_vec.len()-1].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-1].sma_value > sma3_open_vec[sma3_open_vec.len()-2].sma_value
&& sma3_open_vec[sma3_open_vec.len()-2].sma_value > sma3_open_vec[sma3_open_vec.len()-3].sma_value
&& sma3_open_vec[sma3_open_vec.len()-3].sma_value > sma3_open_vec[sma3_open_vec.len()-4].sma_value
&& sma3_close_vec[sma3_close_vec.len()-1].sma_value < sma3_close_vec[sma3_close_vec.len()-2].sma_value
&& sma3_close_vec[sma3_close_vec.len()-2].sma_value > sma3_close_vec[sma3_close_vec.len()-3].sma_value
&& sma3_close_vec[sma3_close_vec.len()-3].sma_value > sma3_close_vec[sma3_close_vec.len()-4].sma_value
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true;
}
}
@ -59,117 +67,146 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 10, multiplier: 3.0, 30m close price)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
let supertrend_1m_map =
supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(supertrend_vec), Some(current_info)) = (
supertrend_1m_map.get(symbol),
price_and_closetime,
) {
if supertrend_vec.last().unwrap().close_time > server_epoch
&& supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::SELL)
{
values.current_price = current_info.0;
values.closetime = current_info.1;
do_buy = true;
}
}
// current Tema(15) < current Tema(30)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_10 = tema(10, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let tema_30 = tema(30, &alldata.rt_price_30m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
// if let (Some(tema10_vec), Some(tema30_vec), Some(current_info)) = (tema_10.get(symbol), tema_30.get(symbol), price_and_closetime) {
// if tema10_vec.len() > 10
// && tema30_vec.len() > 10
// && tema10_vec.last().unwrap().close_time == tema30_vec.last().unwrap().close_time
// && tema10_vec.last().unwrap().close_time > server_epoch
// && tema30_vec.last().unwrap().close_time > server_epoch
// {
// if tema10_vec[tema10_vec.len()-1].tema_value < tema30_vec[tema30_vec.len()-1].tema_value
// && tema10_vec[tema10_vec.len()-2].tema_value < tema30_vec[tema30_vec.len()-2].tema_value
// && tema10_vec[tema10_vec.len()-1].tema_value < tema10_vec[tema10_vec.len()-2].tema_value
// {
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// supertrend(ATR period 10, multiplier: 3.0, 30m close price)
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let server_epoch = get_server_epoch().await;
// let supertrend_1m_map =
// supertrend(60, 1.5, true, &alldata.rt_price_1m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
// if let (Some(supertrend_vec), Some(current_info)) = (
// supertrend_1m_map.get(symbol),
// price_and_closetime,
// ) {
// if supertrend_vec.last().unwrap().close_time > server_epoch
// && supertrend_vec.last().unwrap().signal.as_ref().is_some_and(|a| *a == SuperTrendSignal::SELL)
// {
// values.current_price = current_info.0;
// values.closetime = current_info.1;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume(
30,
30,
4.0,
1.5,
0.5,
-0.5,
&filtered_data,
&alldata.rt_price_1m_vec,
)
.await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
if heatmap_volume_vec.len() > 100
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
&& (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
|| heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
{
do_buy = true;
}
}
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let heatmap_volumes = heatmap_volume(
// 30,
// 30,
// 4.0,
// 1.5,
// 0.5,
// -0.5,
// &filtered_data,
// &alldata.rt_price_1m_vec,
// )
// .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && (heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec.last().unwrap().heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-3].heatmap_level == HeatMapLevel::High
// || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::ExtraHigh || heatmap_volume_vec[heatmap_volume_vec.len()-4].heatmap_level == HeatMapLevel::High)
// {
// do_buy = true;
// }
// }
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// let opclo_sample_length: usize = 60; // 15 candle samsples
// let mut target_profit_percent = 0.0;
// if let Some(price_1m_vec) = alldata.rt_price_1m_vec.get(symbol) {
// let vec_len = price_1m_vec.len();
// if let Some(candles) =
// price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
// {
// let windows = candles.windows(2);
// let mut sum_amplitude_candles = 0.0;
// let mut sum_ratio_amp_body = 0.0;
// let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
// for window in windows {
// sum_amplitude_candles += ((window.last().unwrap().high_price
// - window.last().unwrap().low_price)
// * 100.0)
// / window.first().unwrap().close_price;
// }
// let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
// let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude + (standard_deviation_amplitude * 2.0);
// let windows = candles.windows(2);
// for window in windows {
// amplitude_variance += ((((window.last().unwrap().high_price
// - window.last().unwrap().low_price)
// * 100.0)
// / window.first().unwrap().close_price)
// - average_amplitude)
// .powi(2);
// }
// amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
// let standard_deviation_amplitude = amplitude_variance.sqrt();
// target_profit_percent =
// average_amplitude + (standard_deviation_amplitude * 2.0);
if target_profit_percent * 2.0 > 0.14 {
do_buy = true;
}
}
}
// if target_profit_percent * 2.0 > 0.14 {
// do_buy = true;
// }
// }
// }
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
// let server_epoch = get_server_epoch().await;
@ -224,47 +261,21 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
let sma3_open = sma_open(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let sma3_close = sma(3, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
let server_epoch = get_server_epoch().await;
for element in filled_positions {
let opclo_sample_length: usize = 60; // 15 candle samsples
let mut target_profit_percent = 0.0;
if let Some(price_1m_vec) = all_data.rt_price_1m_vec.get(&element.symbol) {
let vec_len = price_1m_vec.len();
if let Some(candles) =
price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
{
let windows = candles.windows(2);
let mut sum_amplitude_candles = 0.0;
let mut sum_ratio_amp_body = 0.0;
let mut average_amplitude = 0.0;
for window in windows {
sum_amplitude_candles += ((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price;
let mut is_sell = false;
if let (Some(sma3_open_vec), Some(sma3_close_vec)) = (sma3_open.get(&element.symbol), sma3_close.get(&element.symbol)) {
if sma3_close_vec.len() > 10 && sma3_open_vec.len() > 10 {
if sma3_open_vec.last().unwrap().close_time == sma3_close_vec.last().unwrap().close_time
&& sma3_open_vec.last().unwrap().close_time > server_epoch
&& sma3_open_vec.last().unwrap().sma_value < sma3_close_vec.last().unwrap().sma_value {
is_sell = true;
}
let average_amplitude = sum_amplitude_candles / opclo_sample_length as f64; // percent unit
let mut amplitude_variance = 0.0;
let windows = candles.windows(2);
for window in windows {
amplitude_variance += ((((window.last().unwrap().high_price
- window.last().unwrap().low_price)
* 100.0)
/ window.first().unwrap().close_price)
- average_amplitude)
.powi(2);
}
amplitude_variance = amplitude_variance / (opclo_sample_length - 1) as f64;
let standard_deviation_amplitude = amplitude_variance.sqrt();
target_profit_percent =
average_amplitude + (standard_deviation_amplitude * 2.0);
}
}
let mut is_sell = false;
// TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered =
// element.base_qty_ordered.round_dp_with_strategy(
@ -273,15 +284,12 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
// );
// TODO: BNB 코인이 없으면
if !element.current_price.is_zero() && target_profit_percent.is_normal() {
if element.pure_profit_percent >= target_profit_percent * 2.5 {
is_sell = true;
} else if element.pure_profit_percent <= target_profit_percent * -2.0 {
is_sell = true;
} else if server_epoch - element.transact_time >= (900_000) * 1 {
// time up selling
is_sell = true;
}
if !element.current_price.is_zero() {
// if element.pure_profit_percent >= target_profit_percent * 2.5 {
// is_sell = true;
// } else if element.pure_profit_percent <= target_profit_percent * -2.0 {
// is_sell = true;
// }
if is_sell == true {
limit_order_close(
@ -294,7 +302,8 @@ pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::err
.await;
}
}
}
}
Ok(())

2
src/strategy_team/mod.rs
View File

@ -28,7 +28,7 @@ use crate::value_estimation_team::indicators::heatmap_volume::{
};
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, sma_opclo, SmaData};
use crate::value_estimation_team::indicators::sma::{sma, sma_opclo,sma_open, SmaData};
use crate::value_estimation_team::indicators::stoch_rsi::{stoch_rsi, StochRsiData};
use crate::value_estimation_team::indicators::supertrend::{
supertrend, SuperTrendArea, SuperTrendSignal, SupertrendData,

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

@ -119,3 +119,51 @@ pub async fn sma_opclo(
let a = sma_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}
// Binance MA (open)
pub async fn sma_open(
moving_number: usize,
input_rt_data: &HashMap<String, Vec<RealtimePriceData>>,
filtered_symbols: &HashMap<String, FilteredDataValue>,
) -> Result<HashMap<String, Vec<SmaData>>, Box<dyn std::error::Error + Send + Sync>> {
if filtered_symbols.is_empty() {
Err("Err")?;
}
let mut sma_data_wrapper: HashMap<String, Vec<SmaData>> = HashMap::new();
let mut sma_data_wrapper_arc = Arc::new(Mutex::new(sma_data_wrapper));
let mut task_vec = Vec::new();
for (symbol, filtered_data) in filtered_symbols {
if let Some(vec) = input_rt_data.get(symbol) {
let sma_data_wrapper_arc_c = Arc::clone(&sma_data_wrapper_arc);
let symbol_c = symbol.clone();
let rt_price_data = vec.clone();
task_vec.push(tokio::spawn(async move {
let mut sma_data = SmaData::new();
let mut sma_data_vec: Vec<SmaData> = Vec::new();
if rt_price_data.len() >= moving_number {
let mut iter = rt_price_data.windows(moving_number);
for buffer in iter {
let mut avg = 0.0;
for element in buffer {
avg += element.open_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.insert(symbol_c, sma_data_vec.clone());
}));
}
}
try_join_all(task_vec).await?;
let a = sma_data_wrapper_arc.lock().await.to_owned();
Ok(a)
}