Update filtering

src/strategy_team/future_strategy_long.rs

@@ -162,66 +162,91 @@ pub async fn list_up_for_buy(
     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 client = ClientBuilder::new()
         .timeout(tokio::time::Duration::from_millis(5000))
         .build()
         .unwrap();
-    let server_epoch = get_server_epoch().await;
+
     let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
     for element in &filled_positions {
         filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
     }
     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 {
-        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;
 
-                // TODO: BNB 코인이 있으면
+                for window in windows {
-                // let base_qty_to_be_ordered =
+                    sum_amplitude_candles += ((window.last().unwrap().high_price
-                //     element.base_qty_ordered.round_dp_with_strategy(
+                        - window.last().unwrap().low_price)
-                //         lot_step_size.normalize().scale(),
+                        * 100.0)
-                //         RoundingStrategy::ToZero,
+                        / window.first().unwrap().close_price;
-                //     );
-                // TODO: BNB 코인이 없으면
-
-                if !element.current_price.is_zero() {
-                    if element.pure_profit_percent >= 0.3 {
-                        is_sell = true;
-                    } else if element.pure_profit_percent <= -0.3 {
-                        is_sell = true;
-                    } else if server_epoch - element.transact_time >= (600_000) * 1 {
-                        // time up selling
-                        is_sell = true;
-                    } else if over_turned == true {
-                        is_sell = true;
-                    }
-                
-                    if is_sell == true {
-                        limit_order_close(
-                            &element,
-                            TimeInForce::Gtc,
-                            element.current_price,
-                            element.base_qty_ordered,
-                            &client
-                        )
-                        .await;
-                    }
                 }
+                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
+        // let base_qty_to_be_ordered =
+        //     element.base_qty_ordered.round_dp_with_strategy(
+        //         lot_step_size.normalize().scale(),
+        //         RoundingStrategy::ToZero,
+        //     );
+        // TODO: BNB 코인이 없으면
+
+        if !element.current_price.is_zero() && target_profit_percent.is_normal() {
+            if element.pure_profit_percent >= target_profit_percent * 2.0 {
+                is_sell = true;
+            } else if element.pure_profit_percent <= target_profit_percent * -1.0 {
+                is_sell = true;
+            } else if server_epoch - element.transact_time >= (600_000) * 1 {
+                // time up selling
+                is_sell = true;
+            }
+        
+            if is_sell == true {
+                limit_order_close(
+                    &element,
+                    TimeInForce::Gtc,
+                    element.current_price,
+                    element.base_qty_ordered,
+                    &client
+                )
+                .await;
+            }
+        }
+            
+        }
+    
 
     Ok(())
 }

src/strategy_team/future_strategy_short.rs

@@ -162,7 +162,7 @@ pub async fn list_up_for_buy(
     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 client = ClientBuilder::new()
@@ -175,53 +175,77 @@ pub async fn list_up_for_sell(alldata: &AllData) -> Result<(), Box<dyn std::erro
         filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
     }
     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 {
-        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;
 
-                // TODO: BNB 코인이 있으면
+                for window in windows {
-                // let base_qty_to_be_ordered =
+                    sum_amplitude_candles += ((window.last().unwrap().high_price
-                //     element.base_qty_ordered.round_dp_with_strategy(
+                        - window.last().unwrap().low_price)
-                //         lot_step_size.normalize().scale(),
+                        * 100.0)
-                //         RoundingStrategy::ToZero,
+                        / window.first().unwrap().close_price;
-                //     );
-                // TODO: BNB 코인이 없으면
-
-                if !element.current_price.is_zero() {
-                    if element.pure_profit_percent >= 0.3 {
-                        is_sell = true;
-                    } else if element.pure_profit_percent <= -0.3 {
-                        is_sell = true;
-                    } else if server_epoch - element.transact_time >= (600_000) * 1 {
-                        // time up selling
-                        is_sell = true;
-                    } else if over_turned == true {
-                        is_sell = true;
-                    }
-                
-                    if is_sell == true {
-                        limit_order_close(
-                            &element,
-                            TimeInForce::Gtc,
-                            element.current_price,
-                            element.base_qty_ordered,
-                            &client
-                        )
-                        .await;
-                    }
                 }
+                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
+        // let base_qty_to_be_ordered =
+        //     element.base_qty_ordered.round_dp_with_strategy(
+        //         lot_step_size.normalize().scale(),
+        //         RoundingStrategy::ToZero,
+        //     );
+        // TODO: BNB 코인이 없으면
+
+        if !element.current_price.is_zero() && target_profit_percent.is_normal() {
+            if element.pure_profit_percent >= target_profit_percent * 2.0 {
+                is_sell = true;
+            } else if element.pure_profit_percent <= target_profit_percent * -1.0 {
+                is_sell = true;
+            } else if server_epoch - element.transact_time >= (600_000) * 1 {
+                // time up selling
+                is_sell = true;
+            }
+        
+            if is_sell == true {
+                limit_order_close(
+                    &element,
+                    TimeInForce::Gtc,
+                    element.current_price,
+                    element.base_qty_ordered,
+                    &client
+                )
+                .await;
             }
         }
     }
+    
 
     Ok(())
 }