Change input pamaneters
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5858b97667
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@ -3,8 +3,8 @@
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use crate::database_control::*;
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use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
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use crate::value_estimation_team::indicators::sma::SmaData;
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use csv::{DeserializeRecordsIter, StringRecord};
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use crate::value_estimation_team::indicators::sma::{SmaData, sma};
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use crate::strategy_team::FilteredData;
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use futures::future::try_join_all;
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use serde::Deserialize;
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use sqlx::FromRow;
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@ -33,111 +33,96 @@ impl BollingerBandData {
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// Binance Bollingerband (SMA)
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pub async fn bollingerband(
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period: usize, // this value should be same as moving size of sma
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period: usize,
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sd_factor: f64,
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input_sma_data: &Vec<(String, Vec<SmaData>)>,
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input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
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filtered_symbols: &Vec<(String, i64)>,
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filtered_symbols: &Vec<FilteredData>,
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) -> Result<Vec<(String, Vec<BollingerBandData>)>, Box<dyn std::error::Error + Send + Sync>> {
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if filtered_symbols.is_empty() {
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Err(("Err"))?;
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}
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let mut read_rt_data_vec: Vec<(String, Vec<RealtimePriceData>)> = input_rt_data.clone();
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let mut read_sma_data_vec: Vec<(String, Vec<SmaData>)> = input_sma_data.clone();
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let mut sma_data_vec: Vec<(String, Vec<SmaData>)> = sma(period, input_rt_data, filtered_symbols).await?;
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let mut bb_data_wrapper: Vec<(String, Vec<BollingerBandData>)> = Vec::new();
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let mut bb_data_wrapper_arc = Arc::new(Mutex::new(bb_data_wrapper));
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let mut task_vec = Vec::new();
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for symbol in filtered_symbols {
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let symbol_search_result1 = read_rt_data_vec.iter().position(|x| x.0 == *symbol.0);
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let symbol_search_result2 = read_sma_data_vec.iter().position(|x| x.0 == *symbol.0);
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for filtered_symbol in filtered_symbols {
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let filtered_symbol_c = filtered_symbol.clone();
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let rt_data_vec_c: Vec<(String, Vec<RealtimePriceData>)> = input_rt_data.clone();
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let sma_data_vec_c = sma_data_vec.clone();
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let bb_data_wrapper_arc_c = Arc::clone(&bb_data_wrapper_arc);
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task_vec.push(tokio::spawn(async move {
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let search_result1 = rt_data_vec_c.clone().iter().position(|x| x.0 == *filtered_symbol_c.symbol);
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let search_result2 = sma_data_vec_c.iter().position(|x| x.0 == *filtered_symbol_c.symbol);
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match symbol_search_result1 {
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Some(rt_index) => {
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match symbol_search_result2 {
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Some(sma_index) => {
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let bb_data_wrapper_arc_c = Arc::clone(&bb_data_wrapper_arc);
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let mut bb_data = BollingerBandData::new();
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let mut bb_data_vec: Vec<BollingerBandData> = Vec::new();
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let read_rt_data_vec_c = read_rt_data_vec.clone();
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let read_sma_data_vec_c = read_sma_data_vec.clone();
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let symbol_c = symbol.clone();
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task_vec.push(tokio::spawn(async move {
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// if the data has shorter than buffer
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if read_sma_data_vec_c[sma_index].1.len() < period {
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bb_data.sma = 0.0;
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bb_data.upperband = 0.0;
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bb_data.lowerband = 0.0;
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bb_data.close_time = 0;
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bb_data_vec.push(bb_data.clone());
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} else {
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let result = read_rt_data_vec_c[rt_index].1.binary_search_by_key(
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&read_sma_data_vec_c[sma_index].1.first().unwrap().close_time,
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|RealtimePriceData {
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opclo_price,
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open_price,
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close_price,
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high_price,
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low_price,
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close_time,
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quote_asset_volume,
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candle_type,
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}| *close_time,
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);
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if search_result1.is_some() && search_result2.is_some() {
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let mut bb_data = BollingerBandData::new();
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let mut bb_data_vec: Vec<BollingerBandData> = Vec::new();
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match result {
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Ok(T) => {
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if T <= period - 1 {
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let mut read_data_iter =
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read_sma_data_vec_c[sma_index].1.iter();
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for _ in T..period - 1 {
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read_data_iter.next();
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}
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let window_iter =
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read_rt_data_vec_c[rt_index].1.windows(period);
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for buffer in window_iter {
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let mut sd_mean = 0.0;
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let mut standard_deviation = 0.0;
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for element in buffer {
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sd_mean += element.close_price;
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}
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sd_mean /= (period as f64);
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for element in buffer {
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standard_deviation +=
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(element.close_price - sd_mean).powi(2);
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}
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standard_deviation = sd_factor
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* ((standard_deviation / period as f64).sqrt());
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// if the data has shorter than buffer
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if sma_data_vec_c[search_result2.unwrap()].1.len() > period {
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let result = rt_data_vec_c[search_result1.unwrap()].1.binary_search_by_key(
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&sma_data_vec_c[search_result2.unwrap()].1.first().unwrap().close_time,
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|RealtimePriceData {
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opclo_price,
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open_price,
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close_price,
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high_price,
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low_price,
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close_time,
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quote_asset_volume,
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candle_type,
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}| *close_time,
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);
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match read_data_iter.next() {
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Some(T) => {
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bb_data.sma = T.sma_value;
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bb_data.upperband =
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T.sma_value + standard_deviation;
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bb_data.lowerband =
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T.sma_value - standard_deviation;
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bb_data.close_time = T.close_time;
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bb_data_vec.push(bb_data.clone());
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}
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None => {}
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}
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}
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}
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}
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Err(E) => {}
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match result {
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Ok(T) => {
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if T <= period - 1 {
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let mut read_data_iter =
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sma_data_vec_c[search_result2.unwrap()].1.iter();
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for _ in T..period - 1 {
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read_data_iter.next();
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}
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let window_iter =
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rt_data_vec_c[search_result1.unwrap()].1.windows(period);
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for buffer in window_iter {
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let mut sd_mean = 0.0;
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let mut standard_deviation = 0.0;
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for element in buffer {
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sd_mean += element.close_price;
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}
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sd_mean /= (period as f64);
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for element in buffer {
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standard_deviation +=
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(element.close_price - sd_mean).powi(2);
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}
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standard_deviation = sd_factor
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* ((standard_deviation / period as f64).sqrt());
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match read_data_iter.next() {
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Some(T) => {
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bb_data.sma = T.sma_value;
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bb_data.upperband =
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T.sma_value + standard_deviation;
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bb_data.lowerband =
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T.sma_value - standard_deviation;
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bb_data.close_time = T.close_time;
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bb_data_vec.push(bb_data.clone());
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}
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None => {}
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}
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}
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let mut bb_data_wrapper_lock = bb_data_wrapper_arc_c.lock().await;
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bb_data_wrapper_lock
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.push((symbol_c.0.clone(), bb_data_vec.clone()));
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}
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}));
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}
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Err(E) => {}
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}
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None => {}
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let mut bb_data_wrapper_lock = bb_data_wrapper_arc_c.lock().await;
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bb_data_wrapper_lock
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.push((filtered_symbol_c.symbol.clone(), bb_data_vec.clone()));
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}
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}
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None => {}
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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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let a = bb_data_wrapper_arc.lock().await.to_owned();
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@ -3,7 +3,7 @@
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use crate::database_control::*;
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use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
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use csv::{DeserializeRecordsIter, StringRecord};
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use crate::strategy_team::FilteredData;
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use futures::future::try_join_all;
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use serde::Deserialize;
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use sqlx::FromRow;
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@ -29,7 +29,7 @@ impl SmaData {
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pub async fn sma(
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moving_number: usize,
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input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
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filtered_symbols: &Vec<(String, i64)>,
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filtered_symbols: &Vec<FilteredData>,
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) -> Result<Vec<(String, Vec<SmaData>)>, Box<dyn std::error::Error + Send + Sync>> {
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if filtered_symbols.is_empty() {
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Err("Err")?;
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@ -39,13 +39,13 @@ pub async fn sma(
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let mut sma_data_wrapper_arc = Arc::new(Mutex::new(sma_data_wrapper));
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let mut task_vec = Vec::new();
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for symbol in filtered_symbols {
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let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *symbol.0);
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for filtered_symbol in filtered_symbols {
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let symbol_search_result = input_rt_data.iter().position(|x| x.0 == *filtered_symbol.symbol);
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match symbol_search_result {
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Some(T) => {
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let sma_data_wrapper_arc_c = Arc::clone(&sma_data_wrapper_arc);
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let symbol_c = symbol.clone();
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let symbol_c = filtered_symbol.symbol.clone();
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let mut sma_data = SmaData::new();
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let mut sma_data_vec: Vec<SmaData> = Vec::new();
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let input_rt_data_c = input_rt_data.clone();
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@ -69,7 +69,7 @@ pub async fn sma(
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}
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}
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let mut sma_data_wrapper_lock = sma_data_wrapper_arc_c.lock().await;
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sma_data_wrapper_lock.push((symbol_c.0.clone(), sma_data_vec.clone()));
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sma_data_wrapper_lock.push((symbol_c.clone(), sma_data_vec.clone()));
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}));
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}
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None => {}
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