From f1d2e3e48c0be689c09ccdd93ad1a03d41de7970 Mon Sep 17 00:00:00 2001 From: Sik Date: Sun, 5 May 2024 15:15:00 +0000 Subject: [PATCH] Add recommendation of future tradepairs (#7) Co-authored-by: Sik Yoon Reviewed-on: http://192.168.1.100:3000/Sik/tradingbot/pulls/7 --- src/strategy_team/future_strategy.rs | 505 ++++++++++++++++++++++++++ src/strategy_team/mod.rs | 26 +- src/strategy_team/strategy_manager.rs | 1 + 3 files changed, 531 insertions(+), 1 deletion(-) create mode 100644 src/strategy_team/future_strategy.rs diff --git a/src/strategy_team/future_strategy.rs b/src/strategy_team/future_strategy.rs new file mode 100644 index 0000000..53aa064 --- /dev/null +++ b/src/strategy_team/future_strategy.rs @@ -0,0 +1,505 @@ +use crate::value_estimation_team::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, 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> { + // 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 = HashMap::new(); + for symbol in &alldata.valid_symbol_vec { + filtered_data.insert(symbol.clone(), FilteredDataValue::new()); + } + + // current Tema(3) > current Tema(10) + // let mut keys_to_remove: HashSet = HashSet::new(); + // let tema_3 = tema(3, &alldata.rt_price_1d_vec, &filtered_data).await?; + // let tema_10 = tema(10, &alldata.rt_price_1d_vec, &filtered_data).await?; + // let server_epoch = get_server_epoch().await; + // for (symbol, values) in &mut filtered_data { + // if let (Some(tema5_vec), Some(tema10_vec)) = (tema_3.get(symbol), tema_10.get(symbol)) { + // if tema5_vec.len() > 2 + // && tema10_vec.len() > 2 + // && tema5_vec.last().unwrap().close_time == tema10_vec.last().unwrap().close_time + // && tema5_vec.last().unwrap().close_time > server_epoch + // && tema10_vec.last().unwrap().close_time > server_epoch + // { + // if tema5_vec.last().unwrap().tema_value > tema10_vec.last().unwrap().tema_value { + // } 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; + + // Wiliams %R(200) > -20.0 + // Wiliams %R(30) > -20.0 + let mut keys_to_remove: HashSet = HashSet::new(); + let mut wprs200 = wiliams_percent_r(200, &alldata.rt_price_30m_vec, &filtered_data).await?; + let mut wprs30 = wiliams_percent_r(30, &alldata.rt_price_30m_vec, &filtered_data).await?; + let server_epoch = get_server_epoch().await; + for (symbol, values) in &mut filtered_data { + if let (Some(wpr200_vec), Some(wpr30_vec)) = (wprs200.get(symbol), wprs30.get(symbol)) { + if wpr200_vec.len() > 15 + && wpr30_vec.len() > 15 + && wpr200_vec.last().unwrap().close_time > server_epoch + && wpr200_vec.last().unwrap().r_value > -20.0 + && wpr30_vec.last().unwrap().close_time > server_epoch + && wpr30_vec.last().unwrap().r_value > -20.0 + { + } else { + keys_to_remove.insert(symbol.clone()); + } + } else { + keys_to_remove.insert(symbol.clone()); + } + } + remove_keys(&mut filtered_data, keys_to_remove).await; + + // current Tema(300) > current Tema(200) > current Tema(100) + let mut keys_to_remove: HashSet = HashSet::new(); + let tema_100 = tema(100, &alldata.rt_price_30m_vec, &filtered_data).await?; + let tema_200 = tema(200, &alldata.rt_price_30m_vec, &filtered_data).await?; + let tema_300 = tema(300, &alldata.rt_price_30m_vec, &filtered_data).await?; + let server_epoch = get_server_epoch().await; + for (symbol, values) in &mut filtered_data { + if let (Some(tema100_vec), Some(tema200_vec), Some(tema300_vec)) = ( + tema_100.get(symbol), + tema_200.get(symbol), + tema_300.get(symbol), + ) { + if (tema100_vec.len() > 15 && tema200_vec.len() > 15 && tema300_vec.len() > 15) + && tema100_vec.last().unwrap().close_time == tema200_vec.last().unwrap().close_time + && tema200_vec.last().unwrap().close_time == tema300_vec.last().unwrap().close_time + && tema100_vec.last().unwrap().close_time > server_epoch + { + if tema100_vec.last().unwrap().tema_value > tema300_vec.last().unwrap().tema_value + && tema200_vec.last().unwrap().tema_value + < tema300_vec.last().unwrap().tema_value + && tema200_vec.last().unwrap().tema_value + > tema100_vec.last().unwrap().tema_value + { + } 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; + + // supertrend(ATR period 10, multiplier: 3.0, 30m close price) + // let mut keys_to_remove: HashSet = HashSet::new(); + // let server_epoch = get_server_epoch().await; + // let supertrend_30m_map = + // supertrend(10, 3.0, true, &alldata.rt_price_30m_vec, &filtered_data).await?; + // for (symbol, values) in &mut filtered_data { + // if let (Some(supertrend_vec), Some(rt_price_vec)) = ( + // supertrend_30m_map.get(symbol), + // alldata.rt_price_30m_vec.get(symbol), + // ) { + // if supertrend_vec.last().unwrap().close_time == rt_price_vec.last().unwrap().close_time + // && rt_price_vec.last().unwrap().close_time > server_epoch + // { + // // input stoploss, target_price + // let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64( + // supertrend_vec.last().unwrap().band_value, + // ) + // .unwrap(); + // let open_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64( + // rt_price_vec.last().unwrap().open_price, + // ) + // .unwrap(); + // let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64( + // rt_price_vec.last().unwrap().close_price, + // ) + // .unwrap(); + // if supertrend_vec.last().unwrap().area == SuperTrendArea::UP + // && band_value < current_price + // && band_value < open_price + // { + // values.current_price = current_price; + // values.closetime = rt_price_vec.last().unwrap().close_time; + // values.stoploss = band_value; + // values.target_price = decimal_add( + // decimal_mul(decimal_sub(current_price, values.stoploss), dec!(10.0)), + // current_price, + // ); + // } else if supertrend_vec.last().unwrap().area == SuperTrendArea::DOWN + // && band_value > current_price + // && band_value > open_price + // { + // values.current_price = current_price; + // values.closetime = rt_price_vec.last().unwrap().close_time; + // values.stoploss = decimal_sub(open_price, decimal_sub(band_value, open_price)); + // values.target_price = decimal_add( + // decimal_mul(decimal_sub(open_price, values.stoploss), dec!(10.0)), + // current_price, + // ); + // } 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; + + // current ADX(15, 15) < 25 + // let mut keys_to_remove: HashSet = HashSet::new(); + // let adx_vec = adx(15, 15, &alldata.rt_price_30m_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 < 25.0 { + // } 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 = HashSet::new(); + // let stoch_rsis = stoch_rsi(200, 200, 3, 3, &alldata.rt_price_30m_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 < 70.0 + // && stoch_rsi_vec[a - 1].k < 70.0 + // && stoch_rsi_vec[a - 2].k < 70.0 + // }) + // { + // } else { + // keys_to_remove.insert(symbol.clone()); + // } + // } else { + // keys_to_remove.insert(symbol.clone()); + // } + // } + // 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 + let mut keys_to_remove: HashSet = HashSet::new(); + let heatmap_volumes = heatmap_volume( + 30, + 30, + 4.0, + 2.5, + 1.0, + -0.5, + &filtered_data, + &alldata.rt_price_30m_vec, + ) + .await?; + for (symbol, values) in &mut filtered_data { + if let Some(heatmap_volume_vec) = heatmap_volumes.get(symbol) { + if heatmap_volume_vec.len() > 50 { + let heatmap_volume_trunc = heatmap_volume_vec + .get(heatmap_volume_vec.len() - 31..heatmap_volume_vec.len() - 1) + .unwrap(); + let windows = heatmap_volume_trunc.windows(2); + for slice in windows { + if slice[1].heatmap_level == HeatMapLevel::ExtraHigh { + if let (prev_candle_idx, current_candle_idx) = ( + (&alldata + .rt_price_30m_vec + .get(symbol) + .unwrap() + .iter() + .position(|x| x.close_time == slice[0].close_time)) + .unwrap(), + (&alldata + .rt_price_30m_vec + .get(symbol) + .unwrap() + .iter() + .position(|x| x.close_time == slice[1].close_time)) + .unwrap(), + ) { + let prev_candle = + &alldata.rt_price_30m_vec.get(symbol).unwrap()[prev_candle_idx]; + let current_candle = + &alldata.rt_price_30m_vec.get(symbol).unwrap()[current_candle_idx]; + if current_candle.close_price < prev_candle.close_price + || current_candle.close_price < prev_candle.open_price + || current_candle.close_price < prev_candle.high_price + || current_candle.close_price < prev_candle.low_price + { + keys_to_remove.insert(symbol.clone()); + } + } + } + } + } + } + } + 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 + let mut keys_to_remove: HashSet = HashSet::new(); + let server_epoch = get_server_epoch().await; + for (symbol, values) in &mut filtered_data { + 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 { + let mut opclo_vec: Vec = 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() - 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() - 5].opclo_price); + opclo_vec.push(rt_price_vec[rt_price_vec.len() - 6].opclo_price); + let max_idx = opclo_vec.iter().position(|&x| { + x == *opclo_vec + .iter() + .max_by(|&a, &b| a.partial_cmp(b).unwrap()) + .unwrap() + }); + opclo_vec.remove(max_idx.unwrap()); + + let mut mean = 0.0; + for element in &opclo_vec { + mean += element; + } + mean /= opclo_vec.len() as f64; + let current_price = rt_price_vec.last().unwrap().close_price; + let difference = (mean - rt_price_vec.last().unwrap().open_price).abs(); + + if current_price > rt_price_vec.last().unwrap().open_price + (0.5 * difference) { + } 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; + + if filtered_data.keys().len() != 0 { + let date_now = chrono::Local::now().to_rfc2822(); + println!("{} future coins: {:?}", date_now, filtered_data.keys()); + } + + // let final_filtered_data = duplicate_filter(8, &filtered_data).await?; + // insert_pre_suggested_coins(8, false, &final_filtered_data, &alldata).await; + + Ok(()) +} + +pub async fn list_up_for_sell( + all_data: &AllData, + exchange_info_map: &HashMap, + trade_fee_map: &HashMap, +) -> Result<(), Box> { + let filled_buy_orders = select_filled_buy_orders(8).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 = Vec::new(); + let server_epoch = get_server_epoch().await; + let mut filtered_symbols: HashMap = HashMap::new(); + for element in &filled_buy_orders { + filtered_symbols.insert(element.symbol.clone(), FilteredDataValue::new()); + } + let supertrend_30m = + supertrend(10, 2.0, true, &all_data.rt_price_30m_vec, &filtered_symbols).await?; + let tema_300 = tema(300, &all_data.rt_price_30m_vec, &filtered_symbols).await?; + let tema_200 = tema(200, &all_data.rt_price_30m_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(tema300_vec), Some(tema200_vec), Some(tema100_vec)) = ( + tema_300.get(&element.symbol), + tema_200.get(&element.symbol), + tema_100.get(&element.symbol), + ) { + if tema200_vec.len() > 2 + && tema100_vec.len() > 2 + && tema300_vec.len() > 2 + && tema200_vec.last().unwrap().close_time + == tema100_vec.last().unwrap().close_time + && tema300_vec.last().unwrap().close_time + == tema100_vec.last().unwrap().close_time + && tema300_vec.last().unwrap().close_time > server_epoch + && tema200_vec.last().unwrap().close_time > server_epoch + && tema100_vec.last().unwrap().close_time > server_epoch + && ((tema200_vec.last().unwrap().tema_value + > tema100_vec.last().unwrap().tema_value + && tema200_vec[tema200_vec.len() - 2].tema_value + < tema100_vec[tema100_vec.len() - 2].tema_value) + || (tema200_vec.last().unwrap().tema_value + > tema300_vec.last().unwrap().tema_value + && tema200_vec[tema200_vec.len() - 2].tema_value + < tema300_vec[tema300_vec.len() - 2].tema_value)) + { + is_overturned = true; + } + } + + if let (Some(exchange_info), Some(tradefee), Some(supertrend_vec)) = ( + exchange_info_map.get(&element.symbol), + trade_fee_map.get(&element.symbol), + supertrend_30m.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.current_price <= element.stoploss { + is_sell = true; + } else if element.current_price >= element.target_price { + is_sell = true; + } else if server_epoch - element.transact_time >= (1_800_000) * 5 + && is_overturned == true + { + is_sell = true; + } + + let minimum_candles = 5; + let maximum_candles = 240; + for count_candles in minimum_candles..=maximum_candles { + if count_candles < maximum_candles + && server_epoch - element.transact_time + > (1_800_000) * count_candles + && (target_profit_percent != 0.0 + && target_profit_percent.is_sign_positive() + && target_profit_percent + * ((maximum_candles - count_candles) as f64 + / (maximum_candles - minimum_candles + 1) as f64) + <= element.pure_profit_percent) + { + is_sell = true; + break; + } else { + break; + } + } + + if server_epoch - element.transact_time >= (1_800_000) * maximum_candles { + // 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(()) +} diff --git a/src/strategy_team/mod.rs b/src/strategy_team/mod.rs index e5dc6ca..94fd5b3 100644 --- a/src/strategy_team/mod.rs +++ b/src/strategy_team/mod.rs @@ -6,6 +6,7 @@ pub mod strategy_005; pub mod strategy_006; pub mod strategy_007; pub mod strategy_008; +pub mod future_strategy; // pub mod strategy_test; pub mod strategy_manager; @@ -66,7 +67,7 @@ impl AllData { } } -#[derive(Debug, FromRow)] +#[derive(Debug, FromRow, Clone)] pub struct TimeData { pub server_epoch: u64, pub local_epoch: u64, @@ -181,3 +182,26 @@ pub async fn get_current_price( } None } + +pub async fn get_time_data() -> TimeData { + + let table_name = String::from("time"); + let columns = String::from("*"); + let condition = None; + + let mut time_info = TimeData { + server_epoch: 0, + local_epoch: 0, + epoch_difference: 0, + server_ymdhs: String::new(), + local_ymdhs: String::new(), + last_server_epoch: 0, + last_server_ymdhs: String::new() }; + + let select_result = select_record(&table_name, &columns, &condition, &time_info) + .await + .unwrap(); + + let a = select_result.first().unwrap().clone(); + a +} diff --git a/src/strategy_team/strategy_manager.rs b/src/strategy_team/strategy_manager.rs index 40068e5..939dc15 100644 --- a/src/strategy_team/strategy_manager.rs +++ b/src/strategy_team/strategy_manager.rs @@ -39,6 +39,7 @@ pub async fn execute_list_up_for_buy( // crate::strategy_team::strategy_006::list_up_for_buy(all_data).await; // crate::strategy_team::strategy_007::list_up_for_buy(all_data).await; crate::strategy_team::strategy_008::list_up_for_buy(all_data).await; + crate::strategy_team::future_strategy::list_up_for_buy(all_data).await; Ok(()) }