Change MACD calculation

src/strategy_team/mod.rs

@@ -18,7 +18,7 @@ use crate::value_estimation_team::indicators::ema::{ema, EmaData};
 use crate::value_estimation_team::indicators::heatmap_volume::{
     heatmap_volume, HeatMapLevel, HeatmapVolumeData,
 };
-use crate::value_estimation_team::indicators::macd::{ema_macd, EmaMacd};
+use crate::value_estimation_team::indicators::macd::{ema_macd, MacdData};
 use crate::value_estimation_team::indicators::rsi::{rsi, RsiData};
 use crate::value_estimation_team::indicators::sma::{sma, SmaData};
 use crate::value_estimation_team::indicators::stoch_rsi::{stoch_rsi, StochRsiData};

src/strategy_team/strategy_manager.rs

@@ -37,6 +37,7 @@ pub async fn execute_list_up_for_buy(
     // let all_data_c4 = all_data.clone();
     let all_data_c5 = all_data.clone();
     let all_data_c6 = all_data.clone();
+    let all_data_ct = all_data.clone();
     // strategist_001(all_data).await?;
     // strategist_002(all_data).await?;
     // task_vec.push(tokio::spawn(async move {
@@ -51,6 +52,9 @@ pub async fn execute_list_up_for_buy(
     task_vec.push(tokio::spawn(async move {
         crate::strategy_team::strategy_006::list_up_for_buy(all_data_c6).await;
     }));
+    task_vec.push(tokio::spawn(async move {
+        crate::strategy_team::strategy_test::strategist_test(all_data_ct).await;
+    }));
 
     try_join_all(task_vec).await?;
     Ok(())

src/strategy_team/strategy_test.rs

@@ -2,7 +2,7 @@ use super::{
     dec, decimal_add, decimal_sub, ema, exists_record, insert_pre_suggested_coins,
     limit_order_sell, rsi, select_filled_buy_orders, stoch_rsi, supertrend, try_join_all, AllData,
     Arc, Client, ClientBuilder, Decimal, EmaData, ExchangeInfo, FilteredData, Mutex,
-    RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData
+    RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SupertrendData, TradeFee, update_record3, adx, AdxData, MacdData, ema_macd
 };
 
 
@@ -25,7 +25,7 @@ pub async fn strategist_test(
     // test_symbols.push(symbol_2);
     // test_symbols.push(symbol_3);
 
-    let a = adx(10, 10, &alldata.rt_price_30m_vec, &test_symbols).await?;
+    let a = ema_macd(3, 7, 3, &alldata.rt_price_1d_vec, &test_symbols).await?;
     println!("{:?}", a);
     
     Ok(())

src/value_estimation_team/indicators/ema.rs

@@ -2,7 +2,6 @@
 #![allow(warnings)]
 use crate::database_control::*;
 use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
-use csv::{DeserializeRecordsIter, StringRecord};
 use futures::future::try_join_all;
 use serde::Deserialize;
 use sqlx::FromRow;

src/value_estimation_team/indicators/macd.rs

@@ -1,15 +1,38 @@
-use crate::value_estimation_team::indicators::ema::EmaData;
+use crate::value_estimation_team::indicators::ema::{EmaData, ema};
+use crate::value_estimation_team::datapoints::price_data::RealtimePriceData;
+use super::FilteredData;
+use std::sync::Arc;
+use tokio::{fs::*, io::AsyncWriteExt, sync::Mutex, time::*};
+use futures::future::try_join_all;
 
 #[derive(Debug, Clone)]
-pub struct EmaMacd {
+pub struct MacdData {
     pub macd_value: f64,
+    pub signal_value: f64,
     pub close_time: i64,
 }
 
-impl EmaMacd {
+impl MacdData {
-    fn new() -> EmaMacd {
+    fn new() -> MacdData {
-        let a = EmaMacd {
+        let a = MacdData {
             macd_value: 0.0,
+            signal_value: 0.0,
+            close_time: 0,
+        };
+        a
+    }
+}
+
+#[derive(Debug, Clone)]
+pub struct TempData {
+    pub value: f64,
+    pub close_time: i64,
+}
+
+impl TempData {
+    fn new() -> TempData {
+        let a = TempData {
+            value: 0.0,
             close_time: 0,
         };
         a
@@ -17,16 +40,32 @@ impl EmaMacd {
 }
 
 pub async fn ema_macd(
-    fast_ema: &Vec<EmaData>,
+    fast_len: usize,
-    slow_ema: &Vec<EmaData>,
+    slow_len: usize,
-    signal_length: usize,
+    signal_smoothing: usize,
-) -> Result<Vec<EmaMacd>, Box<dyn std::error::Error + Send + Sync>> {
+    input_rt_data: &Vec<(String, Vec<RealtimePriceData>)>,
-    let mut macd = EmaMacd::new();
+    filtered_symbols: &Vec<FilteredData>
-    let mut macd_vec: Vec<EmaMacd> = Vec::new();
+) -> Result<Vec<(String, Vec<MacdData>)>, Box<dyn std::error::Error + Send + Sync>> {
-    let mut macd_signal_vec: Vec<EmaMacd> = Vec::new();
+    let mut macd_oscil_vec: Vec<(String, Vec<MacdData>)> = Vec::new();
-    let mut macd_oscil_vec: Vec<EmaMacd> = Vec::new();
 
-    if fast_ema.len() >= signal_length && slow_ema.len() >= signal_length {
+    let fast_emas = ema(fast_len, input_rt_data, filtered_symbols).await?;
+    let slow_emas = ema(slow_len, input_rt_data, filtered_symbols).await?;
+    let mut macd_data_wrapper: Vec<(String, Vec<MacdData>)> = Vec::new();
+    let mut macd_data_wrapper_arc = Arc::new(Mutex::new(macd_data_wrapper));
+    let mut task_vec = Vec::new();
+    for filtered_elem in filtered_symbols {
+        let fast_emas_c = fast_emas.clone();
+        let slow_emas_c = slow_emas.clone();
+        let filtered_elem_c = filtered_elem.clone();
+        let macd_data_wrapper_arc_c = Arc::clone(&macd_data_wrapper_arc);
+        task_vec.push(tokio::spawn(async move {
+            let fast_search_result = fast_emas_c.iter().position(|x| x.0 == filtered_elem_c.symbol);
+            let slow_search_result = slow_emas_c.iter().position(|x| x.0 == filtered_elem_c.symbol);
+
+            if fast_search_result.is_some_and(|a| fast_emas_c[a].1.len() >= signal_smoothing) &&
+            slow_search_result.is_some_and(|a| slow_emas_c[a].1.len() >= signal_smoothing) {
+                let fast_ema = fast_emas_c[fast_search_result.unwrap()].1.clone();
+                let slow_ema = slow_emas_c[fast_search_result.unwrap()].1.clone();
                 let result = fast_ema.binary_search_by_key(
                     &slow_ema.first().unwrap().close_time,
                     |&EmaData {
@@ -35,49 +74,87 @@ pub async fn ema_macd(
                      }| close_time,
                 );
                 if result.is_ok() {
+                    // making MACD
                     let temp_vec = fast_ema.get(result.unwrap()..).unwrap();
                     let zipped = temp_vec.iter().zip(slow_ema);
+                    let mut macd = TempData::new();
+                    let mut macd_vec: Vec<TempData> = Vec::new();
                     for element in zipped {
-                macd.macd_value = element.0.ema_value - element.1.ema_value;
+                        macd.value = element.0.ema_value - element.1.ema_value;
                         macd.close_time = element.0.close_time;
                         macd_vec.push(macd.clone());
                     }
         
-            // making signal
+                    // making signal (smoothed MACD)
-            let macd_vec_window = macd_vec.windows(signal_length);
+                    // TODO: this should be calculated in EMA (currently, SMA)
-            for window in macd_vec_window {
+                    // let macd_vec_window = macd_vec.windows(signal_smoothing);
-                let mut sum_value = 0.0;
+                    // let mut macd_signal_vec: Vec<TempData> = Vec::new();
-                for element in window {
+                    // for window in macd_vec_window {
-                    sum_value += element.macd_value;
+                    //     let mut sum_value = 0.0;
+                    //     for element in window {
+                    //         sum_value += element.value;
+                    //     }
+                    //     macd.value = sum_value / signal_smoothing as f64;
+                    //     macd.close_time = window.last().unwrap().close_time;
+                    //     macd_signal_vec.push(macd.clone());
+                    // }
+                    let mut macd_signal = TempData::new();
+                    let mut macd_signal_vec: Vec<TempData> = Vec::new();
+                    let partial_vec1 = macd_vec.get(..signal_smoothing).unwrap();
+                    let partial_vec2 = macd_vec.get(signal_smoothing..).unwrap();
+
+                    let mut sma_for_initial_value = 0.0;
+                    for element in partial_vec1 {
+                        sma_for_initial_value += element.value;
                     }
-                macd.macd_value = sum_value / signal_length as f64;
+                    sma_for_initial_value /= signal_smoothing as f64;
-                macd.close_time = window.last().unwrap().close_time;
+
-                macd_signal_vec.push(macd.clone());
+                    macd_signal.value = sma_for_initial_value;
+                    macd_signal.close_time = partial_vec1.last().unwrap().close_time;
+                    macd_signal_vec.push(macd_signal.clone());
+
+                    let alpha: f64 = 2.0 / (signal_smoothing as f64 + 1.0);
+                    let mut ema_prev = sma_for_initial_value;
+                    for element in partial_vec2 {
+                        let ema_t = (1.0 - alpha) * ema_prev + alpha * element.value;
+
+                        macd_signal.value = ema_t;
+                        macd_signal.close_time = element.close_time;
+                        macd_signal_vec.push(macd_signal.clone());
+
+                        ema_prev = ema_t;
                     }
         
                     let result = macd_vec.binary_search_by_key(
                         &macd_signal_vec.first().unwrap().close_time,
-                |&EmaMacd {
+                        |&TempData {
-                     macd_value,
+                             value,
                              close_time,
                          }| close_time,
                     );
+
                     if result.is_ok() {
                         let result = macd_vec.get(result.unwrap()..);
                         if result.is_some() {
-                    if result.unwrap().len() == macd_signal_vec.len() {
                             let zipped = result.unwrap().iter().zip(macd_signal_vec);
                             
+                            let mut macd_vec: Vec<MacdData> = Vec::new();
                             for element in zipped {
-                            macd.macd_value = element.0.macd_value - element.1.macd_value;
+                                let mut macd = MacdData::new();
+                                macd.macd_value = element.0.value;
+                                macd.signal_value = element.1.value;
                                 macd.close_time = element.0.close_time;
-                            macd_oscil_vec.push(macd.clone());
+                                macd_vec.push(macd);
+                            }
+                            let mut macd_data_wrapper_lock = macd_data_wrapper_arc_c.lock().await;
+                            macd_data_wrapper_lock.push((filtered_elem_c.symbol.clone(), macd_vec.clone()));
                         }
                     }
                 }
             }
+        }));
     }
-    }
+    try_join_all(task_vec).await?;
-
+    let a = macd_data_wrapper_arc.lock().await.to_owned();
-    Ok(macd_oscil_vec)
+    Ok(a)
 }