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This commit is contained in:
Sik Yoon 2024-05-20 03:21:37 +09:00
parent 5ed1dc4f6a
commit cbac498c3a
7 changed files with 434 additions and 165 deletions
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188
src/strategy_team/future_strategy.rs
View File

@ -2,7 +2,7 @@ use crate::value_estimation_team::indicators::wiliams_percent_r;
use super::{ use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema, adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price, get_server_epoch, heatmap_volume, ema_macd, exists_record, get_server_epoch, heatmap_volume,
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders, insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData, stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo, Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
@ -216,108 +216,108 @@ pub async fn list_up_for_buy(
// remove_keys(&mut filtered_data, keys_to_remove).await; // 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 // 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 mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume( // let heatmap_volumes = heatmap_volume(
30, // 30,
30, // 30,
4.0, // 4.0,
2.5, // 2.5,
1.0, // 1.0,
-0.5, // -0.5,
&filtered_data, // &filtered_data,
&alldata.rt_price_30m_vec, // &alldata.rt_price_30m_vec,
) // )
.await?; // .await?;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) { // if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) {
if heatmap_volume_vec.len() > 50 { // if heatmap_volume_vec.len() > 50 {
let heatmap_volume_trunc = heatmap_volume_vec // let heatmap_volume_trunc = heatmap_volume_vec
.get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1) // .get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1)
.unwrap(); // .unwrap();
let windows = heatmap_volume_trunc.windows(2); // let windows = heatmap_volume_trunc.windows(2);
for slice in windows { // for slice in windows {
if slice[1].heatmap_level == HeatMapLevel::ExtraHigh { // if slice[1].heatmap_level == HeatMapLevel::ExtraHigh {
if let (prev_candle_idx, current_candle_idx) = ( // if let (prev_candle_idx, current_candle_idx) = (
(&alldata // (&alldata
.rt_price_30m_vec // .rt_price_30m_vec
.get(symbol) // .get(symbol)
.unwrap() // .unwrap()
.iter() // .iter()
.position(|x| x.close_time == slice[0].close_time)) // .position(|x| x.close_time == slice[0].close_time))
.unwrap(), // .unwrap(),
(&alldata // (&alldata
.rt_price_30m_vec // .rt_price_30m_vec
.get(symbol) // .get(symbol)
.unwrap() // .unwrap()
.iter() // .iter()
.position(|x| x.close_time == slice[1].close_time)) // .position(|x| x.close_time == slice[1].close_time))
.unwrap(), // .unwrap(),
) { // ) {
let prev_candle = // let prev_candle =
&alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx]; // &alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx];
let current_candle = // let current_candle =
&alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx]; // &alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx];
if current_candle.close_price < prev_candle.close_price // if current_candle.close_price < prev_candle.close_price
|| current_candle.close_price < prev_candle.open_price // || current_candle.close_price < prev_candle.open_price
|| current_candle.close_price < prev_candle.high_price // || current_candle.close_price < prev_candle.high_price
|| current_candle.close_price < prev_candle.low_price // || current_candle.close_price < prev_candle.low_price
{ // {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
} // }
} // }
} // }
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// limit buy price: 0.25 * abs(이전 5 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price // limit buy price: 0.25 * abs(이전 5 개 중 최대값 제거 한 opclo 값 평균 - 현재 open 값) + 현재 open 값 > current_price
let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
let server_epoch = get_server_epoch().await; // let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
if let Some(rt_price_vec) = alldata.rt_price_30m_vec.get(symbol) { // if let Some(rt_price_vec) = alldata.rt_price_30m_vec.get(symbol) {
if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 { // if rt_price_vec.last().unwrap().close_time > server_epoch && rt_price_vec.len() >= 6 {
let mut opclo_vec: Vec<f64> = Vec::new(); // let mut opclo_vec: Vec<f64> = Vec::new();
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 2].opclo_price); // opclo_vec.push(rt_price_vec[rt_price_vec.len() - 2].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 3].opclo_price); // opclo_vec.push(rt_price_vec[rt_price_vec.len() - 3].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 4].opclo_price); // opclo_vec.push(rt_price_vec[rt_price_vec.len() - 4].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 5].opclo_price); // opclo_vec.push(rt_price_vec[rt_price_vec.len() - 5].opclo_price);
opclo_vec.push(rt_price_vec[rt_price_vec.len() - 6].opclo_price); // opclo_vec.push(rt_price_vec[rt_price_vec.len() - 6].opclo_price);
let max_idx = opclo_vec.iter().position(|&x| { // let max_idx = opclo_vec.iter().position(|&x| {
x == *opclo_vec // x == *opclo_vec
.iter() // .iter()
.max_by(|&a, &b| a.partial_cmp(b).unwrap()) // .max_by(|&a, &b| a.partial_cmp(b).unwrap())
.unwrap() // .unwrap()
}); // });
opclo_vec.remove(max_idx.unwrap()); // opclo_vec.remove(max_idx.unwrap());
let mut mean = 0.0; // let mut mean = 0.0;
for element in &opclo_vec { // for element in &opclo_vec {
mean += element; // mean += element;
} // }
mean /= opclo_vec.len() as f64; // mean /= opclo_vec.len() as f64;
let current_price = rt_price_vec.last().unwrap().close_price; // let current_price = rt_price_vec.last().unwrap().close_price;
let difference = (mean - rt_price_vec.last().unwrap().open_price).abs(); // let difference = (mean - rt_price_vec.last().unwrap().open_price).abs();
if current_price > rt_price_vec.last().unwrap().open_price + (0.5 * difference) { // if current_price > rt_price_vec.last().unwrap().open_price + (0.5 * difference) {
} else { // } else {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} else { // } else {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} else { // } else {
keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
} // }
} // }
remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
if filtered_data.keys().len() != 0 { if filtered_data.keys().len() != 0 {
let date_now = chrono::Local::now().to_rfc2822(); let date_now = chrono::Local::now().to_rfc2822();
println!("{} future coins: {:?}", date_now, filtered_data.keys()); println!("{} future coins: {:?}", date_now, filtered_data.keys());
} }
// let final_filtered_data = duplicate_filter(8, &filtered_data).await?; // let final_filtered_data = duplicate_filter(8, &filtered_data).await?;
// insert_pre_suggested_coins(8, false, &final_filtered_data, &alldata).await; // insert_pre_suggested_coins(8, false, &final_filtered_data, &alldata).await;

22
src/strategy_team/mod.rs
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@ -7,6 +7,7 @@ pub mod strategy_006;
pub mod strategy_007; pub mod strategy_007;
pub mod strategy_008; pub mod strategy_008;
pub mod strategy_009; pub mod strategy_009;
pub mod strategy_010;
pub mod future_strategy; pub mod future_strategy;
// pub mod strategy_test; // pub mod strategy_test;
pub mod strategy_manager; pub mod strategy_manager;
@ -37,6 +38,7 @@ use crate::value_estimation_team::indicators::wiliams_percent_r::{
}; };
use futures::future::try_join_all; use futures::future::try_join_all;
use reqwest::{Client, ClientBuilder}; use reqwest::{Client, ClientBuilder};
use rust_decimal::prelude::Zero;
use rust_decimal::{prelude::FromPrimitive, prelude::ToPrimitive, Decimal, RoundingStrategy}; use rust_decimal::{prelude::FromPrimitive, prelude::ToPrimitive, Decimal, RoundingStrategy};
use rust_decimal_macros::dec; use rust_decimal_macros::dec;
use sqlx::FromRow; use sqlx::FromRow;
@ -172,18 +174,34 @@ pub async fn remove_keys(
} }
// useful functions for strategists // useful functions for strategists
pub async fn get_current_price( pub async fn get_current_price_f64(
symbol: &String, symbol: &String,
rt_price_map: &HashMap<String, Vec<RealtimePriceData>>, rt_price_map: &HashMap<String, Vec<RealtimePriceData>>,
) -> Option<f64> { ) -> Option<f64> {
if let Some(rt_vec) = rt_price_map.get(symbol) { if let Some(rt_vec) = rt_price_map.get(symbol) {
if rt_vec.last().is_some() { if rt_vec.last().is_some_and(|a| a.close_price.is_normal()) {
return Some(rt_vec.last().unwrap().close_price); return Some(rt_vec.last().unwrap().close_price);
} }
} }
None None
} }
pub async fn get_current_price_decimal(
symbol: &String,
rt_price_map: &HashMap<String, Vec<RealtimePriceData>>,
) -> Option<Decimal> {
if let Some(rt_vec) = rt_price_map.get(symbol) {
if rt_vec.last().is_some_and(|a| a.close_price.is_normal()) {
let current_price = rust_decimal::prelude::FromPrimitive::from_f64(
rt_vec.last().unwrap().close_price,
)
.unwrap();
return Some(current_price);
}
}
None
}
pub async fn get_time_data() -> TimeData { pub async fn get_time_data() -> TimeData {
let table_name = String::from("time"); let table_name = String::from("time");

2
src/strategy_team/strategy_005.rs
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@ -1,6 +1,6 @@
use super::{ use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, duplicate_filter, ema, ema_macd, adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, duplicate_filter, ema, ema_macd,
exists_record, get_current_price, get_server_epoch, insert_pre_suggested_coins, exists_record, get_current_price_decimal, get_server_epoch, insert_pre_suggested_coins,
limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend, limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend,
try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder, try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder,
Decimal, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex, Decimal, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex,

2
src/strategy_team/strategy_006.rs
View File

@ -1,6 +1,6 @@
use super::{ use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema, adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price, get_server_epoch, insert_pre_suggested_coins, ema_macd, exists_record, get_current_price_decimal, get_server_epoch, insert_pre_suggested_coins,
limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend, tema, limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend, tema,
try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder, try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder,
Decimal, DemaData, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex, Decimal, DemaData, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex,

2
src/strategy_team/strategy_007.rs
View File

@ -1,6 +1,6 @@
use super::{ use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, duplicate_filter, ema, ema_macd, adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, duplicate_filter, ema, ema_macd,
exists_record, get_current_price, get_server_epoch, insert_pre_suggested_coins, exists_record, get_current_price_decimal, get_server_epoch, insert_pre_suggested_coins,
limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend, limit_order_sell, remove_keys, rsi, select_filled_buy_orders, stoch_rsi, supertrend,
try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder, try_join_all, update_record3, AdxData, AllData, Arc, BollingerBandData, Client, ClientBuilder,
Decimal, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex, Decimal, EmaData, ExchangeInfo, FilteredDataValue, HashMap, HashSet, MacdData, Mutex,

143
src/strategy_team/strategy_009.rs
View File

@ -2,7 +2,7 @@ use crate::value_estimation_team::indicators::wiliams_percent_r;
use super::{ use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema, adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price, get_server_epoch, heatmap_volume, ema_macd, exists_record, get_current_price_f64, get_server_epoch, heatmap_volume,
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders, insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData, stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo, Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
@ -31,14 +31,22 @@ pub async fn list_up_for_buy(
let dema_120 = dema(120, &alldata.rt_price_1m_vec, &filtered_data).await?; let dema_120 = dema(120, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await; let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data { for (symbol, values) in &mut filtered_data {
if let (Some(dema30_vec), Some(dema120_vec)) = (dema_30.get(symbol), dema_120.get(symbol)) { if let (Some(dema30_vec), Some(dema120_vec), Some(rt_price_vec)) = (dema_30.get(symbol), dema_120.get(symbol), alldata.rt_price_1m_vec.get(symbol)) {
if dema30_vec.len() > 2 if dema30_vec.len() > 2
&& dema120_vec.len() > 2 && dema120_vec.len() > 2
&& dema30_vec.last().unwrap().close_time == dema120_vec.last().unwrap().close_time && dema30_vec.last().unwrap().close_time == dema120_vec.last().unwrap().close_time
&& dema30_vec.last().unwrap().close_time > server_epoch && dema30_vec.last().unwrap().close_time > server_epoch
&& dema120_vec.last().unwrap().close_time > server_epoch && dema120_vec.last().unwrap().close_time > server_epoch
{ {
if dema30_vec.last().unwrap().dema_value > dema120_vec.last().unwrap().dema_value { if dema30_vec.last().unwrap().dema_value > dema120_vec.last().unwrap().dema_value
&& (dema30_vec[dema30_vec.len()-1].dema_value > dema30_vec[dema30_vec.len()-2].dema_value)
&& (dema30_vec[dema30_vec.len()-2].dema_value > dema30_vec[dema30_vec.len()-3].dema_value) {
values.closetime = dema30_vec.last().unwrap().close_time;
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
rt_price_vec.last().unwrap().close_price,
)
.unwrap();
values.current_price = current_price;
} else { } else {
keys_to_remove.insert(symbol.clone()); keys_to_remove.insert(symbol.clone());
} }
@ -50,21 +58,46 @@ pub async fn list_up_for_buy(
} }
} }
remove_keys(&mut filtered_data, keys_to_remove).await; remove_keys(&mut filtered_data, keys_to_remove).await;
// println!("filtered 1: {}", filtered_data.keys().len());
// Wiliams %R(200) < -60.0
// Wiliams %R(50) < -60.0 // StochRSI (RSI_len: 200, StochRSI_len: 200, K: 3, D: 3) K_current < 70, K_prev < 70, K_prev_1 < 70
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
if stoch_rsis.contains_key(symbol) {
let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap();
let search_result = stoch_rsi_vec
.iter()
.position(|x| x.close_time == values.closetime);
if stoch_rsi_vec.len() > 10
&& search_result.is_some_and(|a| {
stoch_rsi_vec[a].k < 1.0
&& stoch_rsi_vec[a - 1].k < 1.0
})
{
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// Wiliams %R(120) < -95.0
// Wiliams %R(60) < -95.0
// let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
// let mut wprs200 = wiliams_percent_r(200, &alldata.rt_price_30m_vec, &filtered_data).await?; // let mut wprs120 = wiliams_percent_r(120, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let mut wprs50 = wiliams_percent_r(50, &alldata.rt_price_30m_vec, &filtered_data).await?; // let mut wprs60 = wiliams_percent_r(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await; // let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
// if let (Some(wpr200_vec), Some(wpr50_vec)) = (wprs200.get(symbol), wprs50.get(symbol)) { // if let (Some(wpr120_vec), Some(wpr60_vec)) = (wprs120.get(symbol), wprs60.get(symbol)) {
// if wpr200_vec.len() > 15 // if wpr120_vec.len() > 15
// && wpr50_vec.len() > 15 // && wpr60_vec.len() > 15
// && wpr200_vec.last().unwrap().close_time > server_epoch // && wpr120_vec.last().unwrap().close_time > server_epoch
// && wpr200_vec.last().unwrap().r_value < -60.0 // && wpr120_vec.last().unwrap().r_value < -95.0
// && wpr50_vec.last().unwrap().close_time > server_epoch // && wpr60_vec.last().unwrap().close_time > server_epoch
// && wpr50_vec.last().unwrap().r_value < -60.0 // && wpr60_vec.last().unwrap().r_value < -95.0
// { // {
// } else { // } else {
// keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
@ -185,48 +218,23 @@ pub async fn list_up_for_buy(
// } // }
// remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// current ADX(30, 30) < 10, ADX_n > ADX_n-1 > ADX_n-2 > ADX_n-3 // current ADX(30, 30) < 20, ADX_n > ADX_n-1 > ADX_n-2 > ADX_n-3
let mut keys_to_remove: HashSet<String> = HashSet::new();
let adx_vec = adx(10, 10, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
if let Some(adx_vec) = adx_vec.get(symbol) {
if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
if adx_vec.len() > 10 &&
adx_vec[last_idx].adx < 10.0
&& adx_vec[last_idx-1].adx < 10.0
&& adx_vec[last_idx-2].adx < 10.0
&& adx_vec[last_idx-3].adx < 10.0
&& (adx_vec[last_idx].adx > adx_vec[last_idx-1].adx)
&& (adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx)
&& (adx_vec[last_idx-2].adx > adx_vec[last_idx-3].adx){
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
} else {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 200, StochRSI_len: 200, K: 3, D: 3) K_current < 70, K_prev < 70, K_prev_1 < 70
// let mut keys_to_remove: HashSet<String> = HashSet::new(); // let mut keys_to_remove: HashSet<String> = HashSet::new();
// let stoch_rsis = stoch_rsi(200, 200, 3, 3, &alldata.rt_price_30m_vec, &filtered_data).await?; // let adx_vec = adx(30, 30, &alldata.rt_price_1m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data { // for (symbol, values) in &mut filtered_data {
// if stoch_rsis.contains_key(symbol) { // if let Some(adx_vec) = adx_vec.get(symbol) {
// let stoch_rsi_vec = stoch_rsis.get(symbol).unwrap(); // if let Some(last_idx) = adx_vec.iter().position(|elem| elem.close_time == values.closetime) {
// let search_result = stoch_rsi_vec // if adx_vec.len() > 10 &&
// .iter() // adx_vec[last_idx].adx < 20.0
// .position(|x| x.close_time == values.closetime); // && adx_vec[last_idx-1].adx < 20.0
// if stoch_rsi_vec.len() > 10 // && adx_vec[last_idx-2].adx < 20.0
// && search_result.is_some_and(|a| { // && adx_vec[last_idx-3].adx < 20.0
// stoch_rsi_vec[a].k < 70.0 // && (adx_vec[last_idx].adx > adx_vec[last_idx-1].adx)
// && stoch_rsi_vec[a - 1].k < 70.0 // && (adx_vec[last_idx-1].adx > adx_vec[last_idx-2].adx)
// && stoch_rsi_vec[a - 2].k < 70.0 // && (adx_vec[last_idx-2].adx > adx_vec[last_idx-3].adx){
// }) // } else {
// { // keys_to_remove.insert(symbol.clone());
// }
// } else { // } else {
// keys_to_remove.insert(symbol.clone()); // keys_to_remove.insert(symbol.clone());
// } // }
@ -235,6 +243,7 @@ pub async fn list_up_for_buy(
// } // }
// } // }
// remove_keys(&mut filtered_data, keys_to_remove).await; // remove_keys(&mut filtered_data, keys_to_remove).await;
// println!("filtered 2: {}", filtered_data.keys().len());
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles // 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 mut keys_to_remove: HashSet<String> = HashSet::new();
@ -421,21 +430,23 @@ pub async fn list_up_for_sell(
lot_step_size.normalize().scale(), lot_step_size.normalize().scale(),
RoundingStrategy::ToZero, RoundingStrategy::ToZero,
); );
let target_profit_percent = decimal_mul( // let target_profit_percent = decimal_mul(
decimal_div( // decimal_div(
decimal_sub(element.target_price, element.buy_price), // decimal_sub(element.target_price, element.buy_price),
element.buy_price, // element.buy_price,
), // ),
dec!(100), // dec!(100),
) // )
.to_f64() // .to_f64()
.unwrap(); // .unwrap();
if !element.current_price.is_zero() { if !element.current_price.is_zero() {
if element.pure_profit_percent >= 1.0 { if element.pure_profit_percent >= 0.2 {
is_sell = true;
} else if element.pure_profit_percent <= -1.0 {
is_sell = true; is_sell = true;
} else if is_overturned == true { } else if is_overturned == true {
is_sell = true; is_sell = true;
} else if server_epoch - element.transact_time >= (1_800_000) * 4 { } else if server_epoch - element.transact_time >= (1_800_000) * 1 {
// time up selling // time up selling
is_sell = true; is_sell = true;
} }

240
src/strategy_team/strategy_010.rs Normal file
View File

@ -0,0 +1,240 @@
use crate::value_estimation_team::{datapoints::price_data::CandleType, indicators::wiliams_percent_r};
use super::{
adx, dec, decimal_add, decimal_div, decimal_mul, decimal_sub, dema, duplicate_filter, ema,
ema_macd, exists_record, get_current_price_decimal, get_server_epoch, heatmap_volume,
insert_pre_suggested_coins, limit_order_sell, remove_keys, rsi, select_filled_buy_orders,
stoch_rsi, supertrend, tema, try_join_all, update_record3, wiliams_percent_r, AdxData, AllData,
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,
};
// BUY conditions
pub async fn list_up_for_buy(
alldata: &AllData,
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
// print rt_price for debugging
// let a = alldata.rt_price_30m_vec.iter().position(|a| a.0 == "BTCUSDT");
// println!("BTCUSDT: {:?}", alldata.rt_price_30m_vec[a.unwrap()].1.last().unwrap());
// basic filtering: filtering valid trade pair
let mut filtered_data: HashMap<String, FilteredDataValue> = HashMap::new();
for symbol in &alldata.valid_symbol_vec {
filtered_data.insert(symbol.clone(), FilteredDataValue::new());
}
// 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(
60,
60,
4.0,
2.5,
1.0,
-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), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
if heatmap_volume_vec.len() > 100
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
&& rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
&& heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
&& rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
rt_price_vec_30m.last().unwrap().close_price,
)
.unwrap();
values.closetime = heatmap_volume_vec.last().unwrap().close_time;
values.current_price = current_price;
do_buy = true;
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// Wiliams %R(30) wpr_n-1 < -60.0
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let mut wprs30 = wiliams_percent_r(30, &alldata.rt_price_1m_vec, &filtered_data).await?;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let Some(wpr30_vec) = wprs30.get(symbol) {
// if wpr30_vec.len() > 15
// && wpr30_vec.last().unwrap().close_time > server_epoch
// && wpr30_vec[wpr30_vec.len()-2].r_value < -60.0
// {
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = duplicate_filter(10, &filtered_data).await?;
if !final_filtered_data.is_empty() {
insert_pre_suggested_coins(10, false, &final_filtered_data).await;
}
Ok(())
}
pub async fn list_up_for_sell(
all_data: &AllData,
exchange_info_map: &HashMap<String, ExchangeInfo>,
trade_fee_map: &HashMap<String, TradeFee>,
) -> Result<(), Box<dyn std::error::Error + Send + Sync>> {
let filled_buy_orders = select_filled_buy_orders(10).await?;
if !filled_buy_orders.is_empty() {
let client = ClientBuilder::new()
.timeout(tokio::time::Duration::from_millis(5000))
.build()
.unwrap();
let mut supertrend_vec: Vec<SupertrendData> = Vec::new();
let server_epoch = get_server_epoch().await;
let mut filtered_symbols: HashMap<String, FilteredDataValue> = HashMap::new();
for element in &filled_buy_orders {
filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new());
}
// let supertrend_30m =
// supertrend(10, 3.0, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
// let dema_30 = dema(30, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
// let dema_120 = dema(120, &all_data.rt_price_1m_vec, &filtered_symbols).await?;
// let tema_100 = tema(100, &all_data.rt_price_30m_vec, &filtered_symbols).await?;
for element in filled_buy_orders {
let mut is_sell = false;
let mut is_overturned = false;
if element.used_usdt >= dec!(10.0) {
// if let (Some(dema30_vec), Some(dema120_vec)) = (
// dema_30.get(&element.symbol),
// dema_120.get(&element.symbol)
// ) {
// if dema120_vec.len() > 2
// && dema30_vec.len() > 2
// && dema120_vec.last().unwrap().close_time
// == dema30_vec.last().unwrap().close_time
// && dema30_vec.last().unwrap().close_time > server_epoch
// && dema120_vec.last().unwrap().close_time > server_epoch
// && ((dema120_vec.last().unwrap().dema_value
// > dema30_vec.last().unwrap().dema_value)
// && dema120_vec[dema120_vec.len() - 2].dema_value
// < dema30_vec[dema30_vec.len() - 2].dema_value)
// {
// is_overturned = true;
// }
// }
if let (Some(exchange_info), Some(tradefee)) = (
exchange_info_map.get(&element.symbol),
trade_fee_map.get(&element.symbol),
) {
// update stoploss
// let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// supertrend_vec.last().unwrap().band_value,
// )
// .unwrap();
// if supertrend_vec.last().unwrap().area == SuperTrendArea::UP
// && band_value > element.stoploss
// {
// let update_table_name = String::from("buy_ordered_coin_list");
// let update_value = vec![(String::from("stoploss"), band_value.to_string())];
// let update_condition = vec![(String::from("id"), element.id.to_string())];
// update_record3(&update_table_name, &update_value, &update_condition)
// .await
// .unwrap();
// }
let lot_step_size = exchange_info.stepsize;
let quote_commission_precision = exchange_info.quote_commission_precision;
// 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
let base_qty_to_be_ordered =
element.base_qty_fee_adjusted.round_dp_with_strategy(
lot_step_size.normalize().scale(),
RoundingStrategy::ToZero,
);
// let target_profit_percent = decimal_mul(
// decimal_div(
// decimal_sub(element.target_price, element.buy_price),
// element.buy_price,
// ),
// dec!(100),
// )
// .to_f64()
// .unwrap();
if !element.current_price.is_zero() {
if element.pure_profit_percent >= 1.0 {
is_sell = true;
} else if element.pure_profit_percent <= -0.8 {
is_sell = true;
} else if is_overturned == true {
is_sell = true;
} else if server_epoch - element.transact_time >= (1_800_000) * 1 {
// time up selling
is_sell = true;
}
// TODO: sell_count가 1일 때 적용하기
// else if (supertrend_vec
// .last()
// .unwrap()
// .signal
// .as_ref()
// .is_some_and(|x| x.contains("SELL"))
// || supertrend_vec.last().unwrap().area.contains("DOWN"))
// && (supertrend_vec.last().unwrap().close_time > element.close_time)
// {
// println!(
// "SELL signal selling {} {:.2}",
// element.symbol, element.pure_profit_percent
// );
// limit_order_sell(
// &element,
// element.current_price,
// base_qty_to_be_ordered,
// &client,
// &exchange_info_vec,
// &trade_fee_vec,
// )
// .await;
// }
if is_sell == true {
limit_order_sell(
&element,
element.current_price,
base_qty_to_be_ordered,
&client,
&exchange_info_map,
&trade_fee_map,
)
.await;
}
}
}
}
}
}
Ok(())
}