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Add kelly criterion

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This commit is contained in:
Sik Yoon 2023-11-18 21:21:43 +09:00
parent 819453aee5
commit bc1e429377
1 changed files with 170 additions and 41 deletions
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211
src/coex/assets_managing_team.rs
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@ -1,4 +1,4 @@
// assets_managing_team manages [asset_manage_announcement] and [wallet] ([wallet_testnet] as well)
// assets_managing_team manages [asset_manage_announcement], [kelly_criterion], and[wallet] ([wallet_testnet] as well)
use crate::coex::exchange_team::*;
use crate::database_control::*;
@ -10,7 +10,27 @@ use rust_decimal::{prelude::ToPrimitive, Decimal, RoundingStrategy};
use rust_decimal_macros::dec;
use serde_json::{Result, Value};
use sqlx::FromRow;
use crate::coex::order_team::DBlist;
use crate::coex::order_team::{DBlist, SellHistoryList};
#[derive(Debug, FromRow)]
pub struct AchievementEvaluationInfo {
pub strategist: u16,
pub invested_usdt: Decimal,
pub usdt_profit: Decimal,
pub profit_percent: f64,
}
impl DBlist for AchievementEvaluationInfo {
fn new() -> AchievementEvaluationInfo {
let a = AchievementEvaluationInfo {
strategist: 0,
invested_usdt: Decimal::new(0, 8),
usdt_profit: Decimal::new(0, 8),
profit_percent: 0.0,
};
a
}
}
#[derive(Debug, FromRow)]
pub struct AssetInfo {
@ -58,37 +78,34 @@ impl DBlist for WalletInfo {
}
}
#[derive(Debug, FromRow)]
pub struct KellyCriterionInfo {
pub betting_rate: f64,
pub win_rate: f64,
pub lose_rate: f64,
pub profit_rate: f64,
pub loss_rate: f64,
}
impl DBlist for KellyCriterionInfo {
fn new() -> KellyCriterionInfo {
let a = KellyCriterionInfo {
betting_rate: 0.0,
win_rate: 0.0,
lose_rate: 0.0,
profit_rate: 0.0,
loss_rate: 0.0,
};
a
}
}
// set unit_trade_usdt
pub async fn set_unit_usdt() {
let asset_info = select_asset_manage_announcement().await;
let mut set_unit_trade_usdt = Decimal::new(0, 8);
if RUNNING_MODE == SIMUL {
set_unit_trade_usdt = dec!(100.0); // $100 for each trade
} else if RUNNING_MODE == REAL {
// define protect_rate and unit_trade_usdt as high as total_usdt_amount
if dec!(0.0) <= asset_info.current_total_usdt && asset_info.current_total_usdt < dec!(1000.0) {
set_unit_trade_usdt = dec!(50.0); // $100 for each trade
// set_unit_trade_usdt = decimal_mul(asset_info.current_total_usdt, dec!(0.8)); // 80% of total usdt
} else if dec!(1000.0) <= asset_info.current_total_usdt
{
// set_unit_trade_usdt = dec!(150.0); // $150 for each trade
set_unit_trade_usdt = decimal_mul(asset_info.current_total_usdt, dec!(0.05));
if set_unit_trade_usdt <= dec!(20) {
set_unit_trade_usdt = dec!(0);
} else {
let truncated = decimal_mul(decimal_mul(set_unit_trade_usdt, dec!(0.1)).trunc(), dec!(10));
let difference = decimal_sub(set_unit_trade_usdt, truncated);
if difference >= dec!(5) {
set_unit_trade_usdt = decimal_add(truncated, dec!(5));
} else {
set_unit_trade_usdt = truncated;
}
}
}
}
set_unit_trade_usdt = dec!(30.0); // $30 for each trade
// update fields in [asset_manage_announcement] table
let update_table_name = String::from("asset_manage_announcement");
@ -177,20 +194,19 @@ pub async fn update_current_total_usdt() {
];
} else {
let asset_info = select_asset_manage_announcement().await;
let mut profit: Decimal;
if asset_info.initial_usdt.is_zero() {
profit = dec!(0.0);
} else {
profit = decimal_sub(
decimal_div(asset_info.current_total_usdt, asset_info.initial_usdt),
dec!(1),
);
}
let achievement_evaluation = select_achievement_evaluation().await;
let balance = decimal_sub(achievement_evaluation.usdt_profit, achievement_evaluation.invested_usdt);
let current_total_usdt = decimal_add(asset_info.initial_usdt, balance);
let profit = decimal_sub(
decimal_div(current_total_usdt, asset_info.initial_usdt),
dec!(1));
update_values = vec![
(
String::from("current_total_usdt"),
asset_info.available_usdt.to_string(),
current_total_usdt.to_string(),
),
(String::from("profit"), profit.to_string()),
(
@ -205,7 +221,6 @@ pub async fn update_current_total_usdt() {
update_record3(&update_table_name, &update_values, &update_condition)
.await
.unwrap();
set_unit_usdt().await;
}
// monitor whether [buy_ordered_coin_list] is empty to update current_total_usdt and available_usdt in [asset_manage_announcement]
@ -235,8 +250,10 @@ pub async fn monitoring_asset_usdt(previous_result: &mut bool, client: &Client)
// (/api, Weight(IP) 10)
}
}
// FIXME: 아래 함수들을 고쳐야함. 순환 오류 빠지는 듯
update_current_total_usdt().await;
set_available_usdt().await;
set_unit_usdt().await;
} else if buy_list_result == false
&& sell_list_result == false
&& *previous_result == true
@ -253,6 +270,60 @@ pub async fn monitoring_asset_usdt(previous_result: &mut bool, client: &Client)
Ok(())
}
// update kelly_criterion table and kelly_betting_usdt
pub async fn update_kelly_criterion() -> Result<()> {
let table_name = String::from("sell_history");
let condition = None;
let is_exist = exists_record(&table_name, &condition).await;
if is_exist == true {
let select_columns = String::from("*");
let select_condition = None;
let data_struct = SellHistoryList::new();
let sell_history_vec = select_record(
&table_name,
&select_columns,
&select_condition,
&data_struct,
)
.await
.unwrap();
let least_number = 50; // the least number of sell hostory to calculate kelly criterion
if sell_history_vec.len() >= least_number {
let lose_collection_vec = sell_history_vec.iter().filter(|&a| a.pure_profit_percent < 0.0).collect::<Vec<_>>();
let win_collection_vec = sell_history_vec.iter().filter(|&a| a.pure_profit_percent >= 0.0).collect::<Vec<_>>();
let win_rate: f64 = (win_collection_vec.len() as f64)/(sell_history_vec.len() as f64);
let lose_rate: f64 = 1.0 - win_rate;
let loss_sum = lose_collection_vec.iter().fold(0.0, |acc, x| acc + x.pure_profit_percent);
let loss_rate_avg = (loss_sum * 0.01) / (lose_collection_vec.len() as f64) * -1.0;
let profit_sum = win_collection_vec.iter().fold(0.0, |acc, x| acc + x.pure_profit_percent);
let profit_rate_avg = (profit_sum * 0.01) / (win_collection_vec.len() as f64);
let betting_rate = (win_rate / loss_rate_avg) - (lose_rate / profit_rate_avg);
// update kelly_criterion
let update_table_name = String::from("kelly_criterion");
let update_value = vec![
(String::from("betting_rate"), betting_rate.to_string()),
(String::from("win_rate"), win_rate.to_string()),
(String::from("lose_rate"), lose_rate.to_string()),
(String::from("profit_rate"), profit_rate_avg.to_string()),
(String::from("loss_rate"), loss_rate_avg.to_string()),
]
;
let update_condition = vec![(String::from("id"), String::from("1"))];
update_record3(&update_table_name, &update_value, &update_condition)
.await
.unwrap();
}
}
Ok(())
}
// update realtime_expected_total_usdt and realtime_profit
pub async fn update_realtime_asset() {
let asset_info = select_asset_manage_announcement().await;
@ -304,8 +375,20 @@ pub async fn set_available_usdt() {
let update_table_name = String::from("asset_manage_announcement");
// fetch current_total_usdt
let mut asset_info = select_asset_manage_announcement().await;
let available_usdt = asset_info.current_total_usdt;
let kelly_criterion_info = select_kelly_criterion().await;
let mut available_usdt: Decimal;
if kelly_criterion_info.betting_rate >= 5.0 && kelly_criterion_info.betting_rate < 100.0 {;
available_usdt = decimal_mul(asset_info.current_total_usdt, rust_decimal::prelude::FromPrimitive::from_f64(
kelly_criterion_info.betting_rate * 0.01,
)
.unwrap());
} else if kelly_criterion_info.betting_rate >= 100.0 {
available_usdt = asset_info.current_total_usdt;
} else { // default: 5% of current_total_usdt
available_usdt = decimal_mul(asset_info.current_total_usdt, dec!(0.05));
}
let unit_trade_usdt = asset_info.unit_trade_usdt;
// set available_usdt with current_total_usdt and update is_tradable
@ -398,6 +481,11 @@ pub async fn get_unit_trade_usdt() -> Decimal {
asset_info.unit_trade_usdt
}
pub async fn get_current_total_usdt() -> Decimal {
let asset_info = select_asset_manage_announcement().await;
asset_info.current_total_usdt
}
pub async fn select_asset_manage_announcement() -> AssetInfo {
let mut asset_info = AssetInfo::new();
@ -446,3 +534,44 @@ pub async fn fetch_free_usdt() -> Decimal {
.unwrap();
select_result.first().unwrap().free
}
pub async fn select_kelly_criterion() -> KellyCriterionInfo {
let mut kelly_criterion_info = KellyCriterionInfo::new();
let table_name = String::from("kelly_criterion");
let columns = String::from("*");
let condition = None;
let select_result = select_record(&table_name, &columns, &condition, &kelly_criterion_info)
.await
.unwrap();
let result_vec = select_result.first().unwrap();
kelly_criterion_info.betting_rate = result_vec.betting_rate;
kelly_criterion_info.win_rate = result_vec.win_rate;
kelly_criterion_info.lose_rate = result_vec.lose_rate;
kelly_criterion_info.profit_rate = result_vec.profit_rate;
kelly_criterion_info.loss_rate = result_vec.loss_rate;
kelly_criterion_info
}
pub async fn select_achievement_evaluation() -> AchievementEvaluationInfo {
let mut achievement_evaluation_info = AchievementEvaluationInfo::new();
let table_name = String::from("achievement_evaluation");
let columns = String::from("*");
let condition = None;
// FIXME: this code should be general
let select_result = select_record(&table_name, &columns, &condition, &achievement_evaluation_info)
.await
.unwrap();
let result_vec = &select_result[2]; //strategist #3
achievement_evaluation_info.strategist = result_vec.strategist;
achievement_evaluation_info.invested_usdt = result_vec.invested_usdt;
achievement_evaluation_info.usdt_profit = result_vec.usdt_profit;
achievement_evaluation_info.profit_percent = result_vec.profit_percent;
achievement_evaluation_info
}