From dd234f2448353d508e59a9aa4ccd30e88540865a Mon Sep 17 00:00:00 2001 From: Sik Yoon Date: Sat, 13 Jan 2024 04:17:56 +0900 Subject: [PATCH] New filtering --- src/strategy_team/strategy_001.rs | 799 +++++++++++++++--------------- src/strategy_team/strategy_002.rs | 601 ++++++++++++---------- 2 files changed, 748 insertions(+), 652 deletions(-) diff --git a/src/strategy_team/strategy_001.rs b/src/strategy_team/strategy_001.rs index 880bc1e..ab5e5e5 100644 --- a/src/strategy_team/strategy_001.rs +++ b/src/strategy_team/strategy_001.rs @@ -1,424 +1,425 @@ -// pub async fn strategist_001( -// 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()); +use crate::value_estimation_team::indicators::bollingerband::bollingerband; -// // // 1st filtering: supertrend(ATR period 10, multiplier: 1.3, 30m close price), the area should be in SELL area. -// // let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new(); -// // let mut filtered_2nd_symbols_arc: Arc>> = -// // Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime) -// // let mut task_vec = Vec::new(); -// // let valid_symbol_vec_c = alldata.valid_symbol_vec.clone(); -// // for symbol in valid_symbol_vec_c { -// // let mut opclo_30m_vec: Vec = Vec::new(); -// // let mut supertrend_vec: Vec = Vec::new(); -// // let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); -// // let filtered_2nd_symbols_arc_c = Arc::clone(&filtered_2nd_symbols_arc); -// // task_vec.push(tokio::spawn(async move { -// // let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == symbol); -// // let supertrend_option_30m = -// // supertrend(&symbol, &rt_price_30m_vec_c, 10, 1.3, true).await; +use super::{ + dec, decimal_add, decimal_sub, decimal_div, 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, server_epoch, MacdData, ema_macd, + BollingerBandData, ToPrimitive +}; -// // if opclo_30m_option.is_some() && supertrend_option_30m.is_some() { -// // opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone(); -// // supertrend_vec = supertrend_option_30m.unwrap(); +// BB lowerband + SuperTrend + StochRSI +// SuperTrend length: 20, multiplier: 1.5, BUY signal +// ADX(10, 10) < 25.0 +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()); -// // if opclo_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 { -// // let supertrend_search_result = supertrend_vec.binary_search_by_key( -// // &opclo_30m_vec.last().unwrap().close_time, -// // |SupertrendData { -// // band_value, -// // signal, -// // area, -// // close_time, -// // }| *close_time, -// // ); -// // if supertrend_search_result.is_ok() { -// // if supertrend_vec[supertrend_search_result.unwrap()] -// // .area -// // .contains("DOWN") -// // { -// // let mut filtered_2nd_symbols_lock = -// // filtered_2nd_symbols_arc_c.lock().await; -// // filtered_2nd_symbols_lock -// // .push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time)); -// // } -// // } -// // } -// // } -// // })); -// // } -// // try_join_all(task_vec).await?; + // 1st filtering: lookup tables if the tradepair is already there + let inspect_table_name_1 = String::from("buy_ordered_coin_list"); + let inspect_table_name_2 = String::from("sell_ordered_coin_list"); + let inspect_table_name_3 = String::from("pre_suggested_coin_list"); + let inspect_table_name_4 = String::from("suggested_coin_list"); -// // 1st filtering: making basic form -// let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_2nd_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime) -// let mut task_vec = Vec::new(); -// let valid_symbol_vec_c = alldata.valid_symbol_vec.clone(); -// for symbol in valid_symbol_vec_c { -// let mut opclo_30m_vec: Vec = Vec::new(); + let mut filtered_data_1st: Vec = Vec::new(); + let mut filtered_data_1st_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_1st)); + let mut task_vec = Vec::new(); -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); -// let filtered_2nd_symbols_arc_c = Arc::clone(&filtered_2nd_symbols_arc); -// task_vec.push(tokio::spawn(async move { -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == symbol); + for symbol in &alldata.valid_symbol_vec { + let mut exists_condition_build = String::from("symbol=\'"); + exists_condition_build.push_str(symbol.as_str()); + exists_condition_build.push_str("\' AND registerer="); + exists_condition_build.push_str(1.to_string().as_str()); + // exists_condition_build.push_str("\' AND close_time="); + // exists_condition_build.push_str(element.1.to_string().as_str()); + let exists_condition = Some(exists_condition_build); + let exists_condition_c = exists_condition.clone(); + let inspect_table_name_1_c = inspect_table_name_1.clone(); + let inspect_table_name_2_c = inspect_table_name_2.clone(); + let inspect_table_name_3_c = inspect_table_name_3.clone(); + let inspect_table_name_4_c = inspect_table_name_4.clone(); + let symbol_c = symbol.clone(); + let filtered_data_1st_arc_c = Arc::clone(&filtered_data_1st_arc); + task_vec.push(tokio::spawn(async move { + let mut filtered_data = FilteredData::new(); + let inspect_result_1 = + exists_record(&inspect_table_name_1_c, &exists_condition_c).await; + let inspect_result_2 = + exists_record(&inspect_table_name_2_c, &exists_condition_c).await; + let inspect_result_3 = + exists_record(&inspect_table_name_3_c, &exists_condition_c).await; + let inspect_result_4 = + exists_record(&inspect_table_name_4_c, &exists_condition_c).await; -// if opclo_30m_option.is_some() { -// opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone(); + if inspect_result_1 == false + && inspect_result_2 == false + && inspect_result_3 == false + && inspect_result_4 == false + { + let mut filtered_data_1st_lock = filtered_data_1st_arc_c.lock().await; -// if opclo_30m_vec.len() >= 3 { -// let mut filtered_2nd_symbols_lock = -// filtered_2nd_symbols_arc_c.lock().await; -// filtered_2nd_symbols_lock -// .push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time)); -// } -// } -// })); -// } -// try_join_all(task_vec).await?; + filtered_data.symbol = symbol_c; -// // 2nd filtering: lookup tables if the tradepair is already there -// let inspect_table_name_1 = String::from("buy_ordered_coin_list"); -// let inspect_table_name_2 = String::from("sell_ordered_coin_list"); -// let inspect_table_name_3 = String::from("pre_suggested_coin_list"); -// let inspect_table_name_4 = String::from("suggested_coin_list"); + filtered_data_1st_lock.push(filtered_data); + } + })); + } + try_join_all(task_vec).await?; -// let mut filtered_3rd_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_3rd_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_3rd_symbols)); // (symbol, closetime) -// let mut task_vec = Vec::new(); + // 2nd filtering: supertrend(ATR period 20, multiplier: 2, 30m close price) + let filtered_data_1st = filtered_data_1st_arc.lock().await.clone(); + let mut filtered_data_2nd: Vec = Vec::new(); + let mut filtered_data_2nd_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_2nd)); + let mut task_vec = Vec::new(); -// let filtered_2nd_iter = filtered_2nd_symbols_arc.lock().await.clone().into_iter(); -// for element in filtered_2nd_iter { -// let mut exists_condition_build = String::from("symbol=\'"); -// exists_condition_build.push_str(element.0.as_str()); -// exists_condition_build.push_str("\' AND registerer="); -// exists_condition_build.push_str(1.to_string().as_str()); -// // exists_condition_build.push_str("\' AND close_time="); -// // exists_condition_build.push_str(element.1.to_string().as_str()); -// let exists_condition = Some(exists_condition_build); -// let exists_condition_c = exists_condition.clone(); -// let inspect_table_name_1_c = inspect_table_name_1.clone(); -// let inspect_table_name_2_c = inspect_table_name_2.clone(); -// let inspect_table_name_3_c = inspect_table_name_3.clone(); -// let inspect_table_name_4_c = inspect_table_name_4.clone(); -// let element_c = element.clone(); -// let filtered_3rd_symbols_arc_c = Arc::clone(&filtered_3rd_symbols_arc); -// task_vec.push(tokio::spawn(async move { -// let inspect_result_1 = -// exists_record(&inspect_table_name_1_c, &exists_condition_c).await; -// let inspect_result_2 = -// exists_record(&inspect_table_name_2_c, &exists_condition_c).await; -// let inspect_result_3 = -// exists_record(&inspect_table_name_3_c, &exists_condition_c).await; -// let inspect_result_4 = -// exists_record(&inspect_table_name_4_c, &exists_condition_c).await; + for element in filtered_data_1st { + let mut rt_30m_vec: Vec = Vec::new(); + let mut supertrend_vec: Vec = Vec::new(); + let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); + let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc); + task_vec.push(tokio::spawn(async move { + let rt_30m_option = rt_price_30m_vec_c + .iter() + .position(|x| *x.0 == element.symbol); + let supertrend_option_30m = + supertrend(&element.symbol, &rt_price_30m_vec_c, 20, 2.0, true).await; -// if inspect_result_1 == false -// && inspect_result_2 == false -// && inspect_result_3 == false -// && inspect_result_4 == false -// { -// let mut filtered_3rd_symbols_lock = filtered_3rd_symbols_arc_c.lock().await; -// filtered_3rd_symbols_lock.push(element_c); -// } -// })); -// } -// try_join_all(task_vec).await?; + if rt_30m_option.is_some() && supertrend_option_30m.is_some() { + rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone(); + supertrend_vec = supertrend_option_30m.unwrap(); + let server_epoch = server_epoch().await; + if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch { + let supertrend_search_result = supertrend_vec.binary_search_by_key( + &rt_30m_vec.last().unwrap().close_time, + |SupertrendData { + band_value, + signal, + area, + close_time, + }| *close_time, + ); + if supertrend_search_result.is_ok() { + let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap(); + let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = rt_30m_vec.last().unwrap().close_time; + filtered_data.current_price = current_price; + + if supertrend_vec[supertrend_search_result.unwrap()].area.contains("DOWN") + && supertrend_vec[supertrend_search_result.unwrap()].band_value > element.current_price.to_f64().unwrap() + { + let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap(); + let stop_loss = decimal_sub(filtered_data.current_price, decimal_div(decimal_sub(band_value, filtered_data.current_price), dec!(2))); + filtered_data.stoploss = stop_loss; + + filtered_data_2nd_lock.push(filtered_data); + } else if supertrend_vec[supertrend_search_result.unwrap()].area.contains("UP") + && supertrend_vec[supertrend_search_result.unwrap()].band_value < element.current_price.to_f64().unwrap() + { + let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap(); + filtered_data.stoploss = band_value; + + filtered_data_2nd_lock.push(filtered_data); + } + } + } + } + })); + } + try_join_all(task_vec).await?; -// // 3rd filtering: BollingerBand (length 10, stddev: 2.5, 30m close price) the current price should be under the lowerband of BB. -// let filtered_3rd_symbols_c = filtered_3rd_symbols_arc.lock().await.clone(); -// let sma10_30m_data: Vec<(String, Vec)> = sma( -// 10, -// &alldata.rt_price_30m_vec, -// &filtered_3rd_symbols_c, -// ) -// .await?; + // 3rd filtering: the latest 5 30m candle close prices > EMA 200 + let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone(); + let mut filtered_data_3rd: Vec = Vec::new(); + let mut filtered_data_3rd_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_3rd)); + let mut task_vec = Vec::new(); + let ema_vec = ema(200, &alldata.rt_price_30m_vec, &filtered_data_2nd).await?; + for element in filtered_data_2nd { + let mut opclo_30m_vec = alldata.rt_price_30m_vec.clone(); + let mut supertrend_vec: Vec = Vec::new(); + let ema_vec_c = ema_vec.clone(); + let filtered_data_3rd_arc_c = Arc::clone(&filtered_data_3rd_arc); + task_vec.push(tokio::spawn(async move { + let ema_search_result = ema_vec_c.iter().position(|x| x.0 == element.symbol); + let candle_search_result = opclo_30m_vec.iter().position(|x| x.0 == element.symbol); + if ema_search_result.is_some() && candle_search_result.is_some() { + let search_result = ema_vec_c[ema_search_result.unwrap()].1.binary_search_by_key( + &opclo_30m_vec[candle_search_result.unwrap()].1.last().unwrap().close_time, + |EmaData { + ema_value, + close_time, + }| *close_time); + if search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-1].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-1].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-2].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-2].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-3].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-3].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-4].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-4].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-5].close_price) { + let mut filtered_3rd_symbols_lock = + filtered_data_3rd_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.stoploss = element.stoploss; + filtered_data.target_price = element.target_price; -// let bb10_30m_data: Vec<(String, Vec)> = -// bollingerband( -// 10, -// 3.0, -// &sma10_30m_data, -// &alldata.rt_price_30m_vec, -// &filtered_3rd_symbols_c, -// ) -// .await?; + filtered_3rd_symbols_lock.push(filtered_data); + } + } + })); + } + try_join_all(task_vec).await?; + + // 4th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0% + let filtered_data_3rd_c = filtered_data_3rd_arc.lock().await.clone(); + let mut filtered_data_4th: Vec = Vec::new(); + let mut filtered_data_4th_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_4th)); + let mut task_vec = Vec::new(); + for element in filtered_data_3rd_c { + let mut supertrend_vec: Vec = Vec::new(); + let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); + let filtered_data_4th_arc_c = Arc::clone(&filtered_data_4th_arc); -// let mut task_vec = Vec::new(); -// let mut filtered_4th_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_4th_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_4th_symbols)); // (symbol, closetime) -// for element in filtered_3rd_symbols_c { -// let mut bb10_30m_vec: Vec = Vec::new(); -// let bb10_30m_option = bb10_30m_data.iter().position(|x| *x.0 == element.0); -// let bb10_30m_option_c = bb10_30m_option.clone(); -// let element_c = element.clone(); -// let filtered_4th_symbols_arc_c = Arc::clone(&filtered_4th_symbols_arc); + task_vec.push(tokio::spawn(async move { + let position_idx = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol); + + if position_idx.is_some() { + let vec_len = rt_price_30m_vec_c[position_idx.unwrap()].1.len(); + if vec_len >= 11 { + let candles = rt_price_30m_vec_c[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap(); + let windows = candles.windows(2); + let mut average_amplitude = 0.0; -// if bb10_30m_option_c.is_some() { -// bb10_30m_vec = bb10_30m_data[bb10_30m_option_c.unwrap()].1.clone(); + for window in windows { + average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price; + } + average_amplitude /= 10.0; -// if bb10_30m_vec.len() >= 3 { -// let bb10_30m_vec_c = bb10_30m_vec.clone(); -// let current_price = get_current_price(&element_c.0, &alldata.rt_price_30m_vec) -// .await -// .unwrap(); -// task_vec.push(tokio::spawn(async move { -// let bb_search_result = bb10_30m_vec_c.binary_search_by_key( -// &element_c.1, -// |&BollingerBandData { -// sma, -// upperband, -// lowerband, -// close_time, -// }| close_time, -// ); -// if bb_search_result.is_ok() { -// if bb10_30m_vec_c[bb_search_result.unwrap()].lowerband > current_price { -// let mut filtered_4th_symbols_lock = -// filtered_4th_symbols_arc_c.lock().await; -// filtered_4th_symbols_lock.push(element_c); -// } -// } -// })); -// } -// } -// } -// try_join_all(task_vec).await?; + if 0.005 <= average_amplitude && average_amplitude <= 0.01 { + let mut filtered_data_4th_lock = filtered_data_4th_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.stoploss = element.stoploss; + filtered_data.target_price = element.target_price; + + filtered_data_4th_lock.push(filtered_data); + } + } + } + })); + } + try_join_all(task_vec).await?; -// // 4th filtering: the current price should be lower than lowest price from the latest 20 candles. -// let mut task_vec = Vec::new(); -// let filtered_4th_symbols_c = filtered_4th_symbols_arc.lock().await.clone(); -// let mut filtered_5th_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_5th_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_5th_symbols)); // (symbol, closetime) -// for element in filtered_4th_symbols_c { -// let rt_price_30m_option = alldata.rt_price_30m_vec.iter().position(|x| *x.0 == element.0); -// let element_c = element.clone(); -// let filtered_5th_symbols_arc_c = Arc::clone(&filtered_5th_symbols_arc); + // 5th filtering: 30m StochRSI (RSI_len: 10, StochRSI_len: 10, K: 3, D: 3) previous K < 5 && current K > previous K + let filtered_data_4th_c = filtered_data_4th_arc.lock().await.clone(); + let mut filtered_data_5th: Vec = Vec::new(); + let mut filtered_data_5th_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_5th)); + let mut task_vec = Vec::new(); + let stoch_rsis = stoch_rsi(10, 10, 3, 3, &alldata.rt_price_30m_vec, &filtered_data_4th_c).await?; + for element in filtered_data_4th_c { + let stoch_rsis_c = stoch_rsis.clone(); + let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); + let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc); -// if rt_price_30m_option.is_some() { -// let mut rt_price_30m_vec_c = alldata.rt_price_30m_vec[rt_price_30m_option.unwrap()].1.clone(); -// let current_price = get_current_price(&element_c.0, &alldata.rt_price_30m_vec) -// .await -// .unwrap(); + task_vec.push(tokio::spawn(async move { + let position_idx = stoch_rsis_c.iter().position(|elem| elem.0 == element.symbol); + + if position_idx.is_some() { + let stoch_rsi_vec = stoch_rsis_c[position_idx.unwrap()].1.clone(); + let search_result = stoch_rsi_vec.iter().position(|x| x.close_time == element.closetime); + if search_result.is_some_and(|a| stoch_rsi_vec[a-1].k < 5.0 && stoch_rsi_vec[a].k > stoch_rsi_vec[a-1].k) { + let mut filtered_data_5th_lock = filtered_data_5th_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.stoploss = element.stoploss; + filtered_data.target_price = element.target_price; + + filtered_data_5th_lock.push(filtered_data); + } + } + })); + } + try_join_all(task_vec).await?; -// task_vec.push(tokio::spawn(async move { -// if rt_price_30m_vec_c.len() >= 21 { -// rt_price_30m_vec_c.pop(); -// rt_price_30m_vec_c.reverse(); -// rt_price_30m_vec_c.truncate(20); + let final_filtered_data = filtered_data_5th_arc.lock().await.clone(); + insert_pre_suggested_coins(1, false, &final_filtered_data, &alldata).await; -// let lowest_price_option = rt_price_30m_vec_c.iter() -// .enumerate() -// .min_by(|(_, a), (_, b)| { -// a.low_price -// .partial_cmp(&b.low_price) -// .expect("Nan was forbidden.") -// }) -// .map(|(index, _)| index); + Ok(()) +} -// if lowest_price_option.is_some() { -// let lowest_price = rt_price_30m_vec_c[lowest_price_option.unwrap()].low_price; -// if lowest_price > current_price { -// let mut filtered_5th_symbols_lock = -// filtered_5th_symbols_arc_c.lock().await; -// filtered_5th_symbols_lock.push(element_c); -// } -// } -// } -// })); -// } -// } -// try_join_all(task_vec).await?; +pub async fn list_up_for_sell( + all_data: &AllData, + exchange_info_vec: &Vec, + trade_fee_vec: &Vec, +) -> Result<(), Box> { + let filled_buy_orders = select_filled_buy_orders(1).await?; -// // 5th filtering: RSI (length: 10, 30m close price) the current index should be lower than 30. -// let filtered_5th_symbol_c = filtered_5th_symbols_arc.lock().await.clone(); -// let mut rsi10_30m_data: Vec<(String, Vec)> = rsi( -// 10, -// &alldata.rt_price_30m_vec, -// &filtered_5th_symbol_c, -// ) -// .await?; -// let mut task_vec = Vec::new(); -// let mut filtered_6th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// let mut filtered_6th_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_6th_symbols)); // (symbol, closetime) + 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 = server_epoch().await; -// for element in filtered_5th_symbol_c { -// let rsi10_30m_option = rsi10_30m_data.iter().position(|x| *x.0 == element.0); -// let filtered_6th_symbols_arc_c = Arc::clone(&filtered_6th_symbols_arc); + let mut filtered_symbol_vec: Vec = Vec::new(); + for element in &filled_buy_orders { + let filltered_data = FilteredData{ + symbol: element.symbol.clone(), + closetime: 0, + stoploss: dec!(0), + target_price: dec!(0), + current_price: dec!(0), + }; + filtered_symbol_vec.push(filltered_data); + } + let stoch_rsis = stoch_rsi(10, 10, 3, 3, &all_data.rt_price_30m_vec, &filtered_symbol_vec).await?; + for element in filled_buy_orders { + if element.used_usdt >= dec!(10.0) { + let lot_step_size_option = exchange_info_vec + .iter() + .position(|exchange_info| exchange_info.symbol == element.symbol); + let quote_commission_precision_option = exchange_info_vec + .iter() + .position(|exchange_info| exchange_info.symbol == element.symbol); + let search_result = stoch_rsis.iter().position(|x| x.0 == element.symbol); + + let opclo_30m_option = all_data + .rt_price_30m_vec + .iter() + .position(|x| *x.0 == element.symbol); + let supertrend_option_30m = + supertrend(&element.symbol, &all_data.rt_price_30m_vec, 20, 1.5, true).await; -// if rsi10_30m_option.is_some() { -// let mut rsi10_30m_vec = rsi10_30m_data[rsi10_30m_option.unwrap()].1.clone(); + if lot_step_size_option.is_some() + && quote_commission_precision_option.is_some() + && search_result.is_some() + && opclo_30m_option.is_some() + && supertrend_option_30m.is_some() + { + // update stoploss + supertrend_vec = supertrend_option_30m.unwrap(); + let band_value: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec.last().unwrap().band_value).unwrap(); + if supertrend_vec.last().unwrap().area.contains("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_vec[lot_step_size_option.unwrap()].stepsize; + let quote_commission_precision = exchange_info_vec + [quote_commission_precision_option.unwrap()] + .quote_commission_precision; + let base_qty_to_be_ordered = + element.base_qty_ordered.round_dp_with_strategy( + lot_step_size.normalize().scale(), + RoundingStrategy::ToZero, + ); + let stoch_rsi_k = stoch_rsis[search_result.unwrap()].1.last().unwrap().k; + let stoch_rsi_k_prev = stoch_rsis[search_result.unwrap()].1[stoch_rsis[search_result.unwrap()].1.len()-2].k; + if (element.is_long == 0 || element.is_long == 1) + && !element.current_price.is_zero() + { + if element.current_price >= element.target_price + { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if element.current_price <= element.stoploss { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if server_epoch - element.transact_time > (1_800_000) * 20 { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if element.pure_profit_percent > 3.0 { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if stoch_rsi_k > 90.0 { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } + // 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 rsi10_30m_vec.len() >= 3 { -// let element_c = element.clone(); -// task_vec.push(tokio::spawn(async move { -// let rsi_search_result = rsi10_30m_vec.binary_search_by_key( -// &element.1, -// |&RsiData { -// rsi_value, -// close_time, -// }| close_time, -// ); -// if rsi_search_result.is_ok() { -// if rsi10_30m_vec[rsi_search_result.unwrap()].rsi_value <= 20.0 { -// let mut filtered_6th_symbols_lock = -// filtered_6th_symbols_arc_c.lock().await; -// filtered_6th_symbols_lock.push(element_c); - -// } -// } -// })); -// } -// } -// } -// try_join_all(task_vec).await?; - -// // 6th filtering: StochRSI (RSI length: 14, Stoch length: 14, smooth k: 3, smooth d: 3) smooth kn <= 10, kn-1 <= 25.0 -// let filtered_6th_symbol_c = filtered_6th_symbols_arc.lock().await.clone(); -// let mut rsi14_30m_data: Vec<(String, Vec)> = rsi( -// 14, -// &alldata.rt_price_30m_vec, -// &filtered_6th_symbol_c, -// ) -// .await?; -// let stoch_rsi_data = stoch_rsi(&rsi14_30m_data, 14, 3, 3).await?; -// let mut stoch_rsi14_30m_vec: Vec = Vec::new(); -// let mut filtered_7th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// for element in filtered_6th_symbol_c { -// let stoch_rsi14_30m_option = stoch_rsi_data.iter().position(|x| *x.0 == element.0); - -// if stoch_rsi14_30m_option.is_some() { -// stoch_rsi14_30m_vec = stoch_rsi_data[stoch_rsi14_30m_option.unwrap()].1.clone(); - -// if stoch_rsi14_30m_vec.len() >= 3 { -// let stoch_rsi_search_result = stoch_rsi14_30m_vec.binary_search_by_key( -// &element.1, -// |&StochRsiData { -// k, -// d, -// close_time, -// }| close_time, -// ); -// if stoch_rsi_search_result.is_ok() { -// if stoch_rsi14_30m_vec[stoch_rsi_search_result.unwrap()].k <= 10.0 && stoch_rsi14_30m_vec[stoch_rsi_search_result.unwrap()-1].k <= 25.0 { -// filtered_7th_symbols.push(element); -// } -// } -// } -// } -// } - -// // 7th filtering: heatmap volume(MA length 10, std length 10, 30m close price), the current candle should be over than high at least. -// let mut filtered_8th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// for element in filtered_7th_symbols { -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == element.0); -// if opclo_30m_option.is_some() { -// let opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone(); - -// if opclo_30m_vec.len() >= 3 { -// let heatmap_volume_option = -// heatmap_volume(&element.0, &rt_price_30m_vec_c, 10, 10, 4.0, 2.5, 1.0, -0.5) -// .await; -// if heatmap_volume_option.is_some() { -// let heatmap_volume_vec = heatmap_volume_option.unwrap(); -// let heatmap_search_result = heatmap_volume_vec.binary_search_by_key( -// &element.1, -// |HeatmapVolumeData { -// heatmap_value, -// heatmap_level, -// close_time, -// }| *close_time, -// ); -// if heatmap_search_result.is_ok() { -// if heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// == HeatMapLevel::Medium -// || -// heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// == HeatMapLevel::High -// || heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// == HeatMapLevel::ExtraHigh -// { -// filtered_8th_symbols.push(element); -// } -// } -// } -// } -// } -// } - -// // final job: adding price information to filtered results -// let mut filtered_symbols: Vec<(String, i64, f64)> = Vec::new(); // (symbol, closetime, current price) -// let mut filtered_symbols_arc = Arc::new(Mutex::new(filtered_symbols)); -// let mut task_vec = Vec::new(); -// for element in filtered_8th_symbols { -// let mut filtered_symbols_arc_c = Arc::clone(&filtered_symbols_arc); -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); - -// let elememt_c = element.clone(); -// task_vec.push(tokio::spawn(async move { -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == element.0); -// if opclo_30m_option.is_some() { -// if rt_price_30m_vec_c[opclo_30m_option.unwrap()] -// .1 -// .last() -// .is_some() -// { -// let mut filtered_symbols_lock: tokio::sync::MutexGuard< -// '_, -// Vec<(String, i64, f64)>, -// > = filtered_symbols_arc_c.lock().await; -// filtered_symbols_lock.push(( -// elememt_c.0, -// elememt_c.1, -// rt_price_30m_vec_c[opclo_30m_option.unwrap()] -// .1 -// .last() -// .unwrap() -// .close_price, -// )); -// } -// } -// })); -// } - -// try_join_all(task_vec).await?; - -// // 6th filtering condition: MACD -// // let mut opclo_30m_vec: Vec = Vec::new(); -// // let mut ema3_1d_vec: &Vec = &Vec::new(); -// // let mut ema10_1d_vec: &Vec = &Vec::new(); - -// // let mut filtered_7th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// // for element in filtered_6th_symbols { -// // let ema3_1d_option = alldata.ema3_1d_data.iter().position(|x| *x.0 == *element.0); -// // let ema10_1d_option = alldata.ema10_1d_data.iter().position(|x| *x.0 == *element.0); - -// // if ema3_1d_option.is_some() && ema10_1d_option.is_some() { -// // ema3_1d_vec = &alldata.ema3_1d_data[ema3_1d_option.unwrap()].1; -// // ema10_1d_vec = &alldata.ema10_1d_data[ema10_1d_option.unwrap()].1; - -// // if ema3_1d_vec.len() > 20 && ema10_1d_vec.len() > 20 { -// // let macd_vec = ema_macd(&ema3_1d_vec, &ema10_1d_vec, 10).await?; -// // // let macd_search_result = macd_vec.binary_search_by_key(&element.1, |&EmaMacd{macd_value, close_time}|close_time); - -// // // if macd_search_result.is_ok() { -// // if macd_vec.last().unwrap().macd_value - macd_vec[macd_vec.len() -2].macd_value >= 0.0 { -// // filtered_7th_symbols.push(element); -// // } -// // // } -// // } -// // } -// // } -// let a = filtered_symbols_arc.lock().await.clone(); -// insert_pre_suggested_coins(1, false, &a, alldata).await; - -// Ok(()) -// } + Ok(()) +} diff --git a/src/strategy_team/strategy_002.rs b/src/strategy_team/strategy_002.rs index 692f4ca..031d11d 100644 --- a/src/strategy_team/strategy_002.rs +++ b/src/strategy_team/strategy_002.rs @@ -1,277 +1,372 @@ -// pub async fn strategist_002( -// 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()); +use crate::value_estimation_team::indicators::bollingerband::bollingerband; -// // 1st filtering: making basic form -// let mut filtered_2nd_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_2nd_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_2nd_symbols)); // (symbol, closetime) -// let mut task_vec = Vec::new(); -// let valid_symbol_vec_c = alldata.valid_symbol_vec.clone(); -// for symbol in valid_symbol_vec_c { -// let mut opclo_30m_vec: Vec = Vec::new(); +use super::{ + dec, decimal_add, decimal_sub, decimal_div, 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, server_epoch, MacdData, ema_macd, + BollingerBandData, ToPrimitive +}; -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); -// let filtered_2nd_symbols_arc_c = Arc::clone(&filtered_2nd_symbols_arc); -// task_vec.push(tokio::spawn(async move { -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == symbol); +// BB lowerband + SuperTrend + StochRSI +// SuperTrend length: 20, multiplier: 1.5, BUY signal +// ADX(10, 10) < 25.0 +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()); -// if opclo_30m_option.is_some() { -// opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone(); + // 1st filtering: lookup tables if the tradepair is already there + let inspect_table_name_1 = String::from("buy_ordered_coin_list"); + let inspect_table_name_2 = String::from("sell_ordered_coin_list"); + let inspect_table_name_3 = String::from("pre_suggested_coin_list"); + let inspect_table_name_4 = String::from("suggested_coin_list"); -// if opclo_30m_vec.len() >= 3 { -// let mut filtered_2nd_symbols_lock = -// filtered_2nd_symbols_arc_c.lock().await; -// filtered_2nd_symbols_lock -// .push((symbol.clone(), opclo_30m_vec.last().unwrap().close_time)); -// } -// } -// })); -// } -// try_join_all(task_vec).await?; + let mut filtered_data_1st: Vec = Vec::new(); + let mut filtered_data_1st_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_1st)); + let mut task_vec = Vec::new(); -// // 2nd filtering: lookup tables if the tradepair is already there -// let inspect_table_name_1 = String::from("buy_ordered_coin_list"); -// let inspect_table_name_2 = String::from("sell_ordered_coin_list"); -// let inspect_table_name_3 = String::from("pre_suggested_coin_list"); -// let inspect_table_name_4 = String::from("suggested_coin_list"); + for symbol in &alldata.valid_symbol_vec { + let mut exists_condition_build = String::from("symbol=\'"); + exists_condition_build.push_str(symbol.as_str()); + exists_condition_build.push_str("\' AND registerer="); + exists_condition_build.push_str(2.to_string().as_str()); + // exists_condition_build.push_str("\' AND close_time="); + // exists_condition_build.push_str(element.1.to_string().as_str()); + let exists_condition = Some(exists_condition_build); + let exists_condition_c = exists_condition.clone(); + let inspect_table_name_1_c = inspect_table_name_1.clone(); + let inspect_table_name_2_c = inspect_table_name_2.clone(); + let inspect_table_name_3_c = inspect_table_name_3.clone(); + let inspect_table_name_4_c = inspect_table_name_4.clone(); + let symbol_c = symbol.clone(); + let filtered_data_1st_arc_c = Arc::clone(&filtered_data_1st_arc); + task_vec.push(tokio::spawn(async move { + let mut filtered_data = FilteredData::new(); + let inspect_result_1 = + exists_record(&inspect_table_name_1_c, &exists_condition_c).await; + let inspect_result_2 = + exists_record(&inspect_table_name_2_c, &exists_condition_c).await; + let inspect_result_3 = + exists_record(&inspect_table_name_3_c, &exists_condition_c).await; + let inspect_result_4 = + exists_record(&inspect_table_name_4_c, &exists_condition_c).await; -// let mut filtered_3rd_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_3rd_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_3rd_symbols)); // (symbol, closetime) -// let mut task_vec = Vec::new(); + if inspect_result_1 == false + && inspect_result_2 == false + && inspect_result_3 == false + && inspect_result_4 == false + { + let mut filtered_data_1st_lock = filtered_data_1st_arc_c.lock().await; -// let filtered_2nd_iter = filtered_2nd_symbols_arc.lock().await.clone().into_iter(); -// for element in filtered_2nd_iter { -// let mut exists_condition_build = String::from("symbol=\'"); -// exists_condition_build.push_str(element.0.as_str()); -// exists_condition_build.push_str("\' AND registerer="); -// exists_condition_build.push_str(2.to_string().as_str()); -// // exists_condition_build.push_str("\' AND close_time="); -// // exists_condition_build.push_str(element.1.to_string().as_str()); + filtered_data.symbol = symbol_c; -// let exists_condition = Some(exists_condition_build); -// let exists_condition_c = exists_condition.clone(); -// let inspect_table_name_1_c = inspect_table_name_1.clone(); -// let inspect_table_name_2_c = inspect_table_name_2.clone(); -// let inspect_table_name_3_c = inspect_table_name_3.clone(); -// let inspect_table_name_4_c = inspect_table_name_4.clone(); -// let element_c = element.clone(); -// let filtered_3rd_symbols_arc_c = Arc::clone(&filtered_3rd_symbols_arc); -// task_vec.push(tokio::spawn(async move { -// let inspect_result_1 = -// exists_record(&inspect_table_name_1_c, &exists_condition_c).await; -// let inspect_result_2 = -// exists_record(&inspect_table_name_2_c, &exists_condition_c).await; -// let inspect_result_3 = -// exists_record(&inspect_table_name_3_c, &exists_condition_c).await; -// let inspect_result_4 = -// exists_record(&inspect_table_name_4_c, &exists_condition_c).await; + filtered_data_1st_lock.push(filtered_data); + } + })); + } + try_join_all(task_vec).await?; -// if inspect_result_1 == false -// && inspect_result_2 == false -// && inspect_result_3 == false -// && inspect_result_4 == false -// { -// let mut filtered_3rd_symbols_lock = filtered_3rd_symbols_arc_c.lock().await; -// filtered_3rd_symbols_lock.push(element_c); -// } -// })); -// } -// try_join_all(task_vec).await?; + // 2nd filtering: BollingerBand (len:10, multiplier 2.5) previous_30m_price (close or low price) < lower_band + let filtered_data_1st = filtered_data_1st_arc.lock().await.clone(); + let mut filtered_data_2nd: Vec = Vec::new(); + let mut filtered_data_2nd_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_2nd)); + let mut task_vec = Vec::new(); + let bollingerbands = bollingerband(10, 2.5, &alldata.rt_price_30m_vec, &filtered_data_1st).await?; + for element in filtered_data_1st { + let mut rt_30m_vec: Vec = Vec::new(); + let mut bb_vec: Vec = Vec::new(); + let rt_price_30m_vec_c: Vec<(String, Vec)> = alldata.rt_price_30m_vec.clone(); + let bollingerbands_c = bollingerbands.clone(); + let filtered_data_2nd_arc_c = Arc::clone(&filtered_data_2nd_arc); + task_vec.push(tokio::spawn(async move { + let rt_30m_option = rt_price_30m_vec_c + .iter() + .position(|x| *x.0 == element.symbol); + let bb_option_30m = bollingerbands_c.iter().position(|x| x.0 == element.symbol); -// // 3rd filtering: EMA30 > EMA 150 -// let filtered_3rd_symbols_c = filtered_3rd_symbols_arc.lock().await.clone(); -// let ema30_30m_data: Vec<(String, Vec)> = ema( -// 30, -// &alldata.rt_price_30m_vec, -// &filtered_3rd_symbols_c, -// ) -// .await?; -// let ema150_30m_data: Vec<(String, Vec)> = ema( -// 150, -// &alldata.rt_price_30m_vec, -// &filtered_3rd_symbols_c, -// ) -// .await?; + if rt_30m_option.is_some() && bb_option_30m.is_some() { + rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone(); + bb_vec = bollingerbands_c[bb_option_30m.unwrap()].1.clone(); + let server_epoch = server_epoch().await; + if rt_30m_vec.len() >= 3 && bb_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch { + let bb_search_result = bb_vec.binary_search_by_key( + &rt_30m_vec.last().unwrap().close_time, + |BollingerBandData { + sma, + upperband, + lowerband, + close_time, + }| *close_time, + ); + if bb_search_result.is_ok() { + if bb_vec[bb_search_result.unwrap()].lowerband > rt_30m_vec[rt_30m_vec.len()-1].close_price + { + let mut filtered_data_2nd_lock = filtered_data_2nd_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = rt_30m_vec.last().unwrap().close_time; + filtered_data.current_price = rust_decimal::prelude::FromPrimitive::from_f64(rt_30m_vec.last().unwrap().close_price).unwrap(); + filtered_data_2nd_lock.push(filtered_data); + } + } + } + } + })); + } + try_join_all(task_vec).await?; -// let mut task_vec = Vec::new(); -// let mut filtered_4th_symbols: Vec<(String, i64)> = Vec::new(); -// let mut filtered_4th_symbols_arc: Arc>> = -// Arc::new(Mutex::new(filtered_4th_symbols)); // (symbol, closetime) -// for element in filtered_3rd_symbols_c { -// let mut ema30_30m_vec: Vec = Vec::new(); -// let mut ema150_30m_vec: Vec = Vec::new(); -// let ema30_30m_option = ema30_30m_data.iter().position(|x| *x.0 == element.0); -// let ema30_30m_option_c = ema30_30m_option.clone(); -// let ema150_30m_option = ema150_30m_data.iter().position(|x| *x.0 == element.0); -// let ema150_30m_option_c = ema150_30m_option.clone(); -// let element_c = element.clone(); -// let filtered_4th_symbols_arc_c = Arc::clone(&filtered_4th_symbols_arc); + // 3rd filtering: supertrend(ATR period 7, multiplier: 1.5, 30m close price), area should be DOWN + let filtered_data_2nd = filtered_data_2nd_arc.lock().await.clone(); + let mut filtered_data_3rd: Vec = Vec::new(); + let mut filtered_data_3rd_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_3rd)); + let mut task_vec = Vec::new(); -// if ema30_30m_option_c.is_some() && ema150_30m_option_c.is_some() { -// ema30_30m_vec = ema30_30m_data[ema30_30m_option.unwrap()].1.clone(); -// ema150_30m_vec = ema150_30m_data[ema150_30m_option.unwrap()].1.clone(); + for element in filtered_data_2nd { + let mut rt_30m_vec: Vec = Vec::new(); + let mut supertrend_vec: Vec = Vec::new(); + let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); + let filtered_data_3rd_arc_c = Arc::clone(&filtered_data_3rd_arc); + task_vec.push(tokio::spawn(async move { + let rt_30m_option = rt_price_30m_vec_c + .iter() + .position(|x| *x.0 == element.symbol); + let supertrend_option_30m = + supertrend(&element.symbol, &rt_price_30m_vec_c, 7, 1.5, true).await; -// if ema30_30m_vec.len() >= 10 && ema150_30m_vec.len() >= 10 { -// let ema30_30m_vec_c = ema30_30m_vec.clone(); -// let ema150_30m_vec_c = ema150_30m_vec.clone(); + if rt_30m_option.is_some() && supertrend_option_30m.is_some() { + rt_30m_vec = rt_price_30m_vec_c[rt_30m_option.unwrap()].1.clone(); + supertrend_vec = supertrend_option_30m.unwrap(); + let server_epoch = server_epoch().await; + if rt_30m_vec.len() >= 3 && supertrend_vec.len() >= 3 && rt_30m_vec.last().unwrap().close_time > server_epoch { + let supertrend_search_result = supertrend_vec.binary_search_by_key( + &rt_30m_vec.last().unwrap().close_time, + |SupertrendData { + band_value, + signal, + area, + close_time, + }| *close_time, + ); + if supertrend_search_result.is_ok() { + if supertrend_vec[supertrend_search_result.unwrap()].area.contains("DOWN") + && supertrend_vec[supertrend_search_result.unwrap()].band_value > element.current_price.to_f64().unwrap() + { + let mut filtered_data_3rd_lock = filtered_data_3rd_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.target_price = rust_decimal::prelude::FromPrimitive::from_f64(supertrend_vec[supertrend_search_result.unwrap()].band_value).unwrap(); + let stop_loss = decimal_sub(filtered_data.current_price, decimal_div(decimal_sub(filtered_data.target_price, filtered_data.current_price), dec!(2))); + filtered_data.stoploss = stop_loss; + + filtered_data_3rd_lock.push(filtered_data); + } + } + } + } + })); + } + try_join_all(task_vec).await?; -// task_vec.push(tokio::spawn(async move { -// let ema30_search_result = ema30_30m_vec_c.binary_search_by_key( -// &element_c.1, -// |&EmaData { -// ema_value, -// close_time, -// }| close_time, -// ); -// let ema150_search_result = ema150_30m_vec_c.binary_search_by_key( -// &element_c.1, -// |&EmaData { -// ema_value, -// close_time, -// }| close_time, -// ); + // 4th filtering: the latest 5 30m candle close prices > EMA 200 + let filtered_data_3rd = filtered_data_3rd_arc.lock().await.clone(); + let mut filtered_data_4th: Vec = Vec::new(); + let mut filtered_data_4th_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_4th)); + let mut task_vec = Vec::new(); + let ema_vec = ema(200, &alldata.rt_price_30m_vec, &filtered_data_3rd).await?; + for element in filtered_data_3rd { + let mut opclo_30m_vec = alldata.rt_price_30m_vec.clone(); + let mut supertrend_vec: Vec = Vec::new(); + let ema_vec_c = ema_vec.clone(); + let filtered_data_4th_arc_c = Arc::clone(&filtered_data_4th_arc); + task_vec.push(tokio::spawn(async move { + let ema_search_result = ema_vec_c.iter().position(|x| x.0 == element.symbol); + let candle_search_result = opclo_30m_vec.iter().position(|x| x.0 == element.symbol); + if ema_search_result.is_some() && candle_search_result.is_some() { + let search_result = ema_vec_c[ema_search_result.unwrap()].1.binary_search_by_key( + &opclo_30m_vec[candle_search_result.unwrap()].1.last().unwrap().close_time, + |EmaData { + ema_value, + close_time, + }| *close_time); + if search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-1].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-1].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-2].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-2].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-3].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-3].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-4].close_price) && + search_result.is_ok_and(|x| ema_vec_c[ema_search_result.unwrap()].1[search_result.unwrap()-4].ema_value < opclo_30m_vec[candle_search_result.unwrap()].1[opclo_30m_vec[candle_search_result.unwrap()].1.len()-5].close_price) { + let mut filtered_4th_symbols_lock = + filtered_data_4th_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.stoploss = element.stoploss; + filtered_data.target_price = element.target_price; -// if ema30_search_result.is_ok() && ema150_search_result.is_ok() { -// if ema30_30m_vec_c[ema30_search_result.unwrap()-3].ema_value > ema150_30m_vec_c[ema150_search_result.unwrap()-3].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()-2].ema_value > ema150_30m_vec_c[ema150_search_result.unwrap()-2].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()-1].ema_value > ema150_30m_vec_c[ema150_search_result.unwrap()-1].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()].ema_value > ema150_30m_vec_c[ema150_search_result.unwrap()].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()].ema_value > ema30_30m_vec_c[ema30_search_result.unwrap()-1].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()-1].ema_value > ema30_30m_vec_c[ema30_search_result.unwrap()-2].ema_value && -// ema30_30m_vec_c[ema30_search_result.unwrap()-2].ema_value > ema30_30m_vec_c[ema30_search_result.unwrap()-3].ema_value -// { -// let mut filtered_4th_symbols_lock = -// filtered_4th_symbols_arc_c.lock().await; -// filtered_4th_symbols_lock.push(element_c); -// } -// } -// })); -// } -// } -// } -// try_join_all(task_vec).await?; + filtered_4th_symbols_lock.push(filtered_data); + } + } + })); + } + try_join_all(task_vec).await?; + + // 5th filtering: 0.5% <= the average amplitude of the latest 10 30m candles <= 1.0% + let filtered_data_4th_c = filtered_data_4th_arc.lock().await.clone(); + let mut filtered_data_5th: Vec = Vec::new(); + let mut filtered_data_5th_arc: Arc>> = + Arc::new(Mutex::new(filtered_data_5th)); + let mut task_vec = Vec::new(); + for element in filtered_data_4th_c { + let mut supertrend_vec: Vec = Vec::new(); + let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); + let filtered_data_5th_arc_c = Arc::clone(&filtered_data_5th_arc); -// // 6th filtering: StochRSI (RSI length: 10, Stoch length: 10, smooth k: 3, smooth d: 3) smooth dn == 0, kn == 0, kn-1 < 5 -// let filtered_4th_symbol_c = filtered_4th_symbols_arc.lock().await.clone(); -// let mut rsi10_30m_data: Vec<(String, Vec)> = rsi( -// 10, -// &alldata.rt_price_30m_vec, -// &filtered_4th_symbol_c, -// ) -// .await?; -// let stoch_rsi_data = stoch_rsi(&rsi10_30m_data, 10, 3, 3).await?; -// let mut stoch_rsi10_30m_vec: Vec = Vec::new(); -// let mut filtered_5th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// for element in filtered_4th_symbol_c { -// let stoch_rsi10_30m_option = stoch_rsi_data.iter().position(|x| *x.0 == element.0); + task_vec.push(tokio::spawn(async move { + let position_idx = rt_price_30m_vec_c.iter().position(|elem| elem.0 == element.symbol); + + if position_idx.is_some() { + let vec_len = rt_price_30m_vec_c[position_idx.unwrap()].1.len(); + if vec_len >= 11 { + let candles = rt_price_30m_vec_c[position_idx.unwrap()].1.get(vec_len-12..vec_len-1).unwrap(); + let windows = candles.windows(2); + let mut average_amplitude = 0.0; -// if stoch_rsi10_30m_option.is_some() { -// stoch_rsi10_30m_vec = stoch_rsi_data[stoch_rsi10_30m_option.unwrap()].1.clone(); + for window in windows { + average_amplitude += (window.last().unwrap().high_price - window.last().unwrap().low_price) / window.first().unwrap().close_price; + } + average_amplitude /= 10.0; -// if stoch_rsi10_30m_vec.len() >= 3 { -// let stoch_rsi_search_result = stoch_rsi10_30m_vec.binary_search_by_key( -// &element.1, -// |&StochRsiData { -// k, -// d, -// close_time, -// }| close_time, -// ); -// if stoch_rsi_search_result.is_ok() { -// if stoch_rsi10_30m_vec[stoch_rsi_search_result.unwrap()].k <= 5.0 && -// stoch_rsi10_30m_vec[stoch_rsi_search_result.unwrap()].d <= 5.0 && -// stoch_rsi10_30m_vec[stoch_rsi_search_result.unwrap()-1].k <= 5.0 { -// filtered_5th_symbols.push(element); -// } -// } -// } -// } -// } + if 0.005 <= average_amplitude && average_amplitude <= 0.01 { + let mut filtered_data_5th_lock = filtered_data_5th_arc_c.lock().await; + let mut filtered_data = FilteredData::new(); + filtered_data.symbol = element.symbol.clone(); + filtered_data.closetime = element.closetime; + filtered_data.current_price = element.current_price; + filtered_data.stoploss = element.stoploss; + filtered_data.target_price = element.target_price; + + filtered_data_5th_lock.push(filtered_data); + } + } + } + })); + } + try_join_all(task_vec).await?; -// // 7th filtering: heatmap volume(MA length 10, std length 10, 30m close price), the current candle should be over than high at least. -// let mut filtered_6th_symbols: Vec<(String, i64)> = Vec::new(); // (symbol, closetime) -// for element in filtered_5th_symbols { -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == element.0); -// if opclo_30m_option.is_some() { -// let opclo_30m_vec = rt_price_30m_vec_c[opclo_30m_option.unwrap()].1.clone(); + let final_filtered_data = filtered_data_5th_arc.lock().await.clone(); + insert_pre_suggested_coins(2, false, &final_filtered_data, &alldata).await; -// if opclo_30m_vec.len() >= 3 { -// let heatmap_volume_option = -// heatmap_volume(&element.0, &rt_price_30m_vec_c, 10, 10, 4.0, 2.5, 1.0, -0.5) -// .await; -// if heatmap_volume_option.is_some() { -// let heatmap_volume_vec = heatmap_volume_option.unwrap(); -// let heatmap_search_result = heatmap_volume_vec.binary_search_by_key( -// &element.1, -// |HeatmapVolumeData { -// heatmap_value, -// heatmap_level, -// close_time, -// }| *close_time, -// ); -// if heatmap_search_result.is_ok() { -// if -// // heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// // == HeatMapLevel::Medium -// // || -// heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// == HeatMapLevel::High -// || heatmap_volume_vec[heatmap_search_result.unwrap()].heatmap_level -// == HeatMapLevel::ExtraHigh -// { -// filtered_6th_symbols.push(element); -// } -// } -// } -// } -// } -// } + Ok(()) +} -// // final job: adding price information to filtered results -// let mut filtered_symbols: Vec<(String, i64, f64)> = Vec::new(); // (symbol, closetime, current price) -// let mut filtered_symbols_arc = Arc::new(Mutex::new(filtered_symbols)); -// let mut task_vec = Vec::new(); -// for element in filtered_6th_symbols { -// let mut filtered_symbols_arc_c = Arc::clone(&filtered_symbols_arc); -// let rt_price_30m_vec_c = alldata.rt_price_30m_vec.clone(); +pub async fn list_up_for_sell( + all_data: &AllData, + exchange_info_vec: &Vec, + trade_fee_vec: &Vec, +) -> Result<(), Box> { + let filled_buy_orders = select_filled_buy_orders(2).await?; -// let elememt_c = element.clone(); -// task_vec.push(tokio::spawn(async move { -// let opclo_30m_option = rt_price_30m_vec_c.iter().position(|x| *x.0 == element.0); -// if opclo_30m_option.is_some() { -// if rt_price_30m_vec_c[opclo_30m_option.unwrap()] -// .1 -// .last() -// .is_some() -// { -// let mut filtered_symbols_lock: tokio::sync::MutexGuard< -// '_, -// Vec<(String, i64, f64)>, -// > = filtered_symbols_arc_c.lock().await; -// filtered_symbols_lock.push(( -// elememt_c.0, -// elememt_c.1, -// rt_price_30m_vec_c[opclo_30m_option.unwrap()] -// .1 -// .last() -// .unwrap() -// .close_price, -// )); -// } -// } -// })); -// } + 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 = server_epoch().await; + for element in filled_buy_orders { + if element.used_usdt >= dec!(10.0) { + let lot_step_size_option = exchange_info_vec + .iter() + .position(|exchange_info| exchange_info.symbol == element.symbol); + let quote_commission_precision_option = exchange_info_vec + .iter() + .position(|exchange_info| exchange_info.symbol == element.symbol); + + if lot_step_size_option.is_some() + && quote_commission_precision_option.is_some() + { + let lot_step_size = exchange_info_vec[lot_step_size_option.unwrap()].stepsize; + let quote_commission_precision = exchange_info_vec + [quote_commission_precision_option.unwrap()] + .quote_commission_precision; + let base_qty_to_be_ordered = + element.base_qty_ordered.round_dp_with_strategy( + lot_step_size.normalize().scale(), + RoundingStrategy::ToZero, + ); -// try_join_all(task_vec).await?; + if (element.is_long == 0 || element.is_long == 1) + && !element.current_price.is_zero() + { + if element.current_price >= element.target_price + { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if element.current_price <= element.stoploss { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } else if server_epoch - element.transact_time > (1_800_000) * 20 { + limit_order_sell( + &element, + element.current_price, + base_qty_to_be_ordered, + &client, + &exchange_info_vec, + &trade_fee_vec, + ) + .await; + } + // 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; + // } + } + } + } + } + } -// let a = filtered_symbols_arc.lock().await.clone(); -// insert_pre_suggested_coins(2, false, &a, alldata).await; - -// Ok(()) -// } + Ok(()) +}