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Update filtering

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This commit is contained in:
Sik Yoon 2024-05-25 06:55:29 +09:00
parent c1ed9af720
commit c691999599
2 changed files with 134 additions and 85 deletions
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61
src/strategy_team/future_strategy_long.rs
View File

@ -162,31 +162,58 @@ pub async fn list_up_for_buy(
Ok(()) Ok(())
} }
pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> { pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
let filled_positions = select_filled_positions().await?; let filled_positions = select_filled_positions().await?;
let client = ClientBuilder::new() let client = ClientBuilder::new()
.timeout(tokio::time::Duration::from_millis(5000)) .timeout(tokio::time::Duration::from_millis(5000))
.build() .build()
.unwrap(); .unwrap();
let server_epoch = get_server_epoch().await;
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new(); let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_positions { for element in &filled_positions {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
} }
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_symbols).await?;
for element in filled_positions { for element in filled_positions {
if let Some(stoch_rsis_vec) = stoch_rsis.get(&element.symbol) { let opclo_sample_length: usize = 15; // 15 candle samsples
let mut over_turned = false; let mut target_profit_percent = 0.0;
let mut is_sell = false; if let Some(price_1m_vec) = all_data.rt_price_1m_vec.get(&element.symbol) {
if stoch_rsis_vec.len() > 10 { let vec_len = price_1m_vec.len();
if stoch_rsis_vec.last().unwrap().close_time > server_epoch if let Some(candles) =
&& stoch_rsis_vec[stoch_rsis_vec.len()-1].k < stoch_rsis_vec[stoch_rsis_vec.len()-1].d price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
&& stoch_rsis_vec[stoch_rsis_vec.len()-2].k > stoch_rsis_vec[stoch_rsis_vec.len()-2].d { {
// over_turned = true; 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;
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 * 0.5);
}
}
let mut is_sell = false;
// TODO: BNB 코인이 있으면 // TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered = // let base_qty_to_be_ordered =
@ -196,16 +223,14 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
// ); // );
// TODO: BNB 코인이 없으면 // TODO: BNB 코인이 없으면
if !element.current_price.is_zero() { if !element.current_price.is_zero() && target_profit_percent.is_normal() {
if element.pure_profit_percent >= 0.3 { if element.pure_profit_percent >= target_profit_percent * 2.0 {
is_sell = true; is_sell = true;
} else if element.pure_profit_percent <= -0.3 { } else if element.pure_profit_percent <= target_profit_percent * -1.0 {
is_sell = true; is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 { } else if server_epoch - element.transact_time >= (600_000) * 1 {
// time up selling // time up selling
is_sell = true; is_sell = true;
} else if over_turned == true {
is_sell = true;
} }
if is_sell == true { if is_sell == true {
@ -219,9 +244,9 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
.await; .await;
} }
} }
} }
}
}
Ok(()) Ok(())
} }

60
src/strategy_team/future_strategy_short.rs
View File

@ -162,7 +162,7 @@ pub async fn list_up_for_buy(
Ok(()) Ok(())
} }
pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> { pub async fn list_up_for_sell(all_data: &AllData) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
let filled_positions = select_filled_positions().await?; let filled_positions = select_filled_positions().await?;
let client = ClientBuilder::new() let client = ClientBuilder::new()
@ -175,18 +175,45 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
} }
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_symbols).await?;
for element in filled_positions { for element in filled_positions {
if let Some(stoch_rsis_vec) = stoch_rsis.get(&element.symbol) { let opclo_sample_length: usize = 15; // 15 candle samsples
let mut over_turned = false; let mut target_profit_percent = 0.0;
let mut is_sell = false; if let Some(price_1m_vec) = all_data.rt_price_1m_vec.get(&element.symbol) {
if stoch_rsis_vec.len() > 10 { let vec_len = price_1m_vec.len();
if stoch_rsis_vec.last().unwrap().close_time > server_epoch if let Some(candles) =
&& stoch_rsis_vec[stoch_rsis_vec.len()-1].k > stoch_rsis_vec[stoch_rsis_vec.len()-1].d price_1m_vec.get(vec_len - opclo_sample_length - 2..vec_len - 1)
&& stoch_rsis_vec[stoch_rsis_vec.len()-2].k < stoch_rsis_vec[stoch_rsis_vec.len()-2].d { {
// over_turned = true; 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;
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 * 0.5);
}
}
let mut is_sell = false;
// TODO: BNB 코인이 있으면 // TODO: BNB 코인이 있으면
// let base_qty_to_be_ordered = // let base_qty_to_be_ordered =
@ -196,16 +223,14 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
// ); // );
// TODO: BNB 코인이 없으면 // TODO: BNB 코인이 없으면
if !element.current_price.is_zero() { if !element.current_price.is_zero() && target_profit_percent.is_normal() {
if element.pure_profit_percent >= 0.3 { if element.pure_profit_percent >= target_profit_percent * 2.0 {
is_sell = true; is_sell = true;
} else if element.pure_profit_percent <= -0.3 { } else if element.pure_profit_percent <= target_profit_percent * -1.0 {
is_sell = true; is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 { } else if server_epoch - element.transact_time >= (600_000) * 1 {
// time up selling // time up selling
is_sell = true; is_sell = true;
} else if over_turned == true {
is_sell = true;
} }
if is_sell == true { if is_sell == true {
@ -220,8 +245,7 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
} }
} }
} }
}
}
Ok(()) Ok(())
} }